Applied Probability and Stochastics (APS) seminar

Friday, April 20, 2012 Instructional Center (IC) room 105

Bob Foley, Professor in ISyE at Georgia Tech, will be speaking on:

Rare events and Markov chains: a constructive large deviations theory

The talk will be held on Friday, April 20 from 12:00 to 1:00 PM in the Instructional Center (IC) room 105. Lunch will be served before the talk, from 11:45 – 12:00 pm, in the same room. For directions to the venue, please use the following link: http://www.isye.gatech.edu/visitors/maps/ .  

Abstract:   Rare events are events that have small probabilities of occurring. Even though the probabilities are small, rare events can be important. Rare events might correspond to queue lengths exploding or buffers overflowing in a manufacturing system. Even though these "large deviations" are rare, it can be important to know just how rare.

Consider a system that can be modelled as a Markov process and has a stationary distribution that cannot be computed explicitly. We are developing methods for deriving exact asymptotic expressions of the stationary distribution. Furthermore, the methodology gives insight into how various large deviations develop, which allows system designers to know how to improve the system.

During the seminar, I will illustrate the methodology by analyzing a particular queueing system. I will also point out how some of the ideas in this research can be used in rare event simulation.