Oberwolfach Seminar: Applied Time Series Analysis in Scientific Computing

Date:
November 23rd - November 29th, 2008
Organizers:
Ilia Horenko, Berlin
Rupert Klein, Berlin
Christoph Schütte, Berlin
Programme:

The seminar will give an introduction to techniques from time series analysis, parameter estimation and automatic dimension reduction applied to the automated generation of models for the effective dynamics of complex systems with many degrees of freedom.

Each morning, two lectures will introduce fundamental concepts and their respective algorithmic realization in the following fields:
  1. Markov chains and Hidden Markov Models,
  2. Standard linear vs. non-linear approaches to time series analysis in multiple dimensions,
  3. Dimension reduction and qualitative dynamics,
  4. Parameterization of stochastic differential equations,
  5. Combination of time series analysis, dimension reduction and parameter estimation for complex systems with many degrees of freedom.
We will in detail address application of such techniques to problems that originate from
  1. molecular dynamics,
  2. climate and atmosphere dynamics and
  3. to the dynamical behaviour of economic systems.
The afternoons will be devoted to more informal "How to?"-sessions concerning the application of the techniques presented in the respective morning.

The seminar will be devised for an interdisciplinary audience. Some background in numerical mathematics, stochastics/statistics, and linear algebra will be required and students with some expertise in the two first fields are especially welcome. A detailed manuscript will be made available.

Prerequisites/Literature:
Will be announced later.
Deadline for applications:
October 1, 2008

The seminars take place at the Mathematisches Forschungsinstitut Oberwolfach. The number of participants is restricted to 24. The Institute covers accommodation and food. Travel expenses cannot be reimbursed. Applications including

should be sent as hard copy or by e-mail (.ps or .pdf file) to:

Prof. Dr. Gert-Martin Greuel
Universität Kaiserslautern
Fachbereich Mathematik
Erwin Schrödingerstr.
67663 Kaiserslautern, Germany
.


Mathematisches Forschungsinstitut Oberwolfach   updated: Dezember 3, 2007