Rare events occur in many different applications including finance, nuclear engineering and health care. Efficiently simulating these scenarios and accurately estimating the probability of such events occurring is challenging, yet crucial for prediction, uncertainty quantification, safety and regulation. Since exact solutions are rarely available and standard Monte Carlo techniques are usually inefficient, it is necessary to develop clever, more advanced techniques to simulate rare events well.

This workshop will look at some of these techniques and various applications where rare event sampling is pertinent.