Rare-Event Probability Estimation with Adaptive Monte Carlo Methods

The estimation of rare event probability is a crucial issue in areas such as reliability, telecommunications, and aerospace systems. However, conventional simulation-based reliability methods like direct Monte Carlo (MC) and subset simulation struggle to efficiently estimate small failure probabilities in complex scenarios as they require numerous simulations. In this project, we will develop novel importance sampling-based methods for enhancing the efficiency of rare-event simulations in complex systems (high-dimensional, non-linear, multimodal, etc). More specifically, we aim to address the inherent weakness and limitations of the original time-consuming MC method and enhance its accuracy and efficiency through combining advanced adaptive importance sampling technique. We will depart by exploring the design of optimal adaptation of mixture proposals in a multilevel fashion, given some challenging contexts. Then, we will explore the combination of state-of-the-art machine learning methods with Bayesian filtering techniques, with a special focus on sequential and dynamic settings.

MAC-MIGS develops computational modelling and its application to a range of economic sectors, including high-value manufacturing, energy, finance and healthcare. These fields contribute over £500 billion to the UK economy. The CDT involves collaborations with more than a dozen companies and organisations, including large corporations (AkzoNobel, IBM, Dassault, P&G, Aberdeen Standard Investments, Intel), mid-size firms, particularly in the engineering and power sectors (NM Group, which provides monitoring services to power grid operators in 30 countries, Artemis Intelligent Power, the world leader in digital displacement hydraulics, Leonardo, a provider of defense, security and aerospace services, and Oliver Wymans, a management consultancy firm) and startups such as Brainnwave, which develops data-modelling solutions, and Opengosim which designs state-of-the-art and massively parallel software for subsurface reservoir simulation. Government and other agencies involved will include the British Geological Survey, Forestry Commission, James Hutton Institute, and Scottish National Heritage. Engagement will be via internships, short projects and PhD projects. BIS has stated that "Organisations using computer generated modelling and simulations and Big Data analytics create better products, get greater insights, and gain competitive advantage over traditional development processes". Our partners share this vision and are keen to develop deeper collaborations with us over the duration of the CDT.

Our CDT will achieve the following:

- Produce 76 highly skilled mathematical scientists and professionals, ready to take up positions in academia or in companies such as our partners. The students will have exposure to projects, modelling camps and high-level international collaborations.

- Deliver economic and societal benefits through student research projects developed in close collaboration with our partners in industry, business and government and other agencies.

- Create pathways for impact on computer science, chemistry, physics and engineering by involving interdisciplinary partners from Heriot-Watt and Edinburgh Universities in the supervision and training of our students.

- Organise a large number of lectures and seminars which will be open to staff and students of the two universities. Such lectures will inform the wide university communities about the state-of-the-art in computational and mathematical modelling.

- Work with other CDTs both in Edinburgh and beyond to organise a series of workshops for undergraduates, intended to foster an increased uptake of PhD studentship places in technical areas by female students and those from ethnic minorities, with potential impact on the broader UK CDT landscape.

- Organise industrial sandpits and modelling camps which offer the possibility for our partners to present a challenge arising in their work, and to explore innovative ways to tackle that challenge, fully involving the CDT students. This will kick-start a change in the corporate mindset by exposing the relevant staff to new approaches.

- Develop a new course, "Entrepreneurship for Doctoral Students in the Mathematical Sciences" in conjunction with Converge Challenge (Scotland's largest entrepreneurial training programme) and UoE's School of Business. This and other support measures will develop an innovation culture and facilitate the translation of our students' ideas into commercial activities.