Project level: PhD, Masters, Honours

Large deviations theory describes how random processes behave away from their usual regime. In this project you will investigate the role that Information Theory and Large Deviations play in the theory of rare-event estimation, via concepts such as the Kullback-Leibler cross-entropy, Shannon entropy and Radon-Nykodym derivatives. It requires a good knowledge of probability theory and mathematical statistics.

Project members

Professor Dirk Kroese

School of Mathematics and Physics