Tuesday, July 6, 2010

IME: Coping with Uncertainty: Spatio-temporal heterogeneities

The second uncertainty seminar dealt with spatio-temporal problems. This seminar series is not meant to teach us new techniques but to create an awareness that one shouldn't automatically use the stock standard stochastic tools available like averaging, regression etc.

When analysing spatio-temporal problems they often have multiple scales, high dimensionality and multimodal dimensions. There are methods available to deal with this, most notably discounting and Fast Monte Carlo simulations. Consider the scatter plot above, its multimodal. How do you describe the multi-dimensional density function?
The Adaptive Monte Carlo STO procedure can be used for optimization module (structural and non-structural decision, production allocation).

All these techniques are all of interest to me currently. I'm currently designing a decision framework and to cope with the uncertainty one needs to implement some sort of robust solution. Note the some sort, I haven't got there yet.

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