Tata Institute of Fundamental Research

On Some Calculus of Variations Problems for Rare Event Asymptotics

STCS Seminar
Speaker: Amarjit Budhiraja (University of North Carolina, USA)
Organiser: Sandeep K Juneja
Date: Tuesday, 19 Nov 2019, 14:30 to 15:30
Venue: A-201 (STCS Seminar Room)

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Abstract:  Abstract: The theory of large deviations gives decay rates of  probabilities of rare events in terms of certain optimal control problems. In general these control problems do not admit simple form solutions and one needs numerical methods in order to obtain useful information. In this talk I will present some large deviation problems where one can use methods of calculus of variations to give explicit solutions to the associated optimal control problems.  These solutions then yield explicit asymptotic formulas for probability decay  rates  in several settings.  Join-the-shortest queue model will be discussed in some detail.