{"id":372,"date":"2012-10-04T14:01:29","date_gmt":"2012-10-04T12:01:29","guid":{"rendered":"https:\/\/samovar2022.int-evry.fr\/index.php\/2012\/10\/04\/soutenance-these-de-cyrille-dubarry\/"},"modified":"2020-09-04T18:46:58","modified_gmt":"2020-09-04T16:46:58","slug":"soutenance-these-de-cyrille-dubarry","status":"publish","type":"post","link":"https:\/\/samovar.telecom-sudparis.eu\/index.php\/2012\/10\/04\/soutenance-these-de-cyrille-dubarry\/","title":{"rendered":"Soutenance : Th\u00e8se de Cyrille DUBARRY"},"content":{"rendered":"

mardi 9 octobre<\/strong> \u00e0 16h30<\/strong> sur le campus Jussieu<\/strong> de l’UPMC \u00e0 l’adresse suivante :
\nSalle 1525-1-01
\n4 place Jussieu 75252 Paris cedex 05<\/p>\n

\u00ab\u00a0M\u00e9thodes de lissage et d’estimation dans des mod\u00e8les \u00e0 variables latentes par des m\u00e9thodes de Monte-Carlo s\u00e9quentielles\u00a0\u00bb<\/strong><\/p>\n

La salle 101 se trouve au premier \u00e9tage du couloir reliant les tours 15 et 25 (entr\u00e9e par la tour 25 comme indiqu\u00e9 sur le plan ci-joint). La soutenance sera suivie d’un pot dans le m\u00eame b\u00e2timent, en salle 1525-3-26 (salle 326 au troisi\u00e8me \u00e9tage).<\/p>\n


\nRapporteurs :<\/strong><\/p>\n

– GOBET Emmanuel, Professeur, CMAP – Ecole Polytechnique
\n– ROBERT Christian, Professeur, C\u00e9r\u00e9made – Universit\u00e9 Paris Dauphine<\/p>\n

Le jury :<\/strong><\/p>\n

– DEL MORAL Pierre, Directeur de recherche INRIA, Universit\u00e9 Bordeaux I, Examinateur
\n– DOUC Randal, Professeur, Telecom SudParis, Directeur de th\u00e8se
\n– GOBET Emmanuel, Professeur, CMAP – Ecole Polytechnique, Rapporteur
\n– LE GLAND Fran\u00e7ois, Directeur de recherche INRIA Rennes, Campus de Beaulieu, Examinateur
\n– MOULINES Eric, Professeur, Institut T\u00e9l\u00e9com \/ T\u00e9l\u00e9com ParisTech (ENST), Examinateur
\n– PIECZYNSKI Wojciech, Professeur, Telecom SudParis, Examinateur
\n– ROSENBAUM Mathieu, Professeur, UPMC, Examinateur<\/p>\n

R\u00e9sum\u00e9 de th\u00e8se :<\/strong><\/p>\n

Les mod\u00e8les de cha\u00eenes de Markov cach\u00e9es ou plus g\u00e9n\u00e9ralement ceux de Feynman-Kac sont aujourd’hui tr\u00e8s largement utilis\u00e9s. Ils permettent de mod\u00e9liser une grande diversit\u00e9 de s\u00e9ries temporelles (en finance, biologie, traitement du signal, …) La complexit\u00e9 croissante de ces mod\u00e8les a conduit au d\u00e9veloppement d’approximations via diff\u00e9rentes m\u00e9thodes de Monte-Carlo, dont le Markov Chain Monte-Carlo (MCMC) et le Sequential Monte-Carlo (SMC). Les m\u00e9thodes de SMC appliqu\u00e9es au filtrage et au lissage particulaires font l’objet de cette th\u00e8se. Elles consistent \u00e0 approcher la loi d’int\u00e9r\u00eat \u00e0 l’aide d’une population de particules d\u00e9finies s\u00e9quentiellement. Diff\u00e9rents algorithmes ont d\u00e9j\u00e0 \u00e9t\u00e9 d\u00e9velopp\u00e9s et \u00e9tudi\u00e9s dans la litt\u00e9rature. Nous raffinons certains de ces r\u00e9sultats dans le cas du Forward Filtering Backward Smoothing et du Forward Filtering Backward Simulation gr\u00e2ce \u00e0 des in\u00e9galit\u00e9s de d\u00e9viation exponentielle et \u00e0 des contr\u00f4les non asymptotiques de l’erreur moyenne. Nous proposons \u00e9galement un nouvel algorithme de lissage consistant \u00e0 am\u00e9liorer une population de particules par des it\u00e9rations MCMC, et permettant d’estimer la variance de l’estimateur sans aucune autre simulation. Une partie du travail pr\u00e9sent\u00e9 dans cette th\u00e8se concerne \u00e9galement les possibilit\u00e9s de mise en parall\u00e8le du calcul des estimateurs particulaires. Nous proposons ainsi diff\u00e9rentes interactions entre plusieurs populations de particules. Enfin nous illustrons l’utilisation des cha\u00eenes de Markov cach\u00e9es dans la mod\u00e9lisation de donn\u00e9es financi\u00e8res en d\u00e9veloppant un algorithme utilisant l’Expectation-Maximization pour calibrer les param\u00e8tres du mod\u00e8le exponentiel d’Ornstein-Uhlenbeck multi-\u00e9chelles.<\/p>\n

\n","protected":false},"excerpt":{"rendered":"

mardi 9 octobre \u00e0 16h30 sur le campus Jussieu de l’UPMC \u00e0 l’adresse suivante : Salle 1525-1-01 4 place Jussieu 75252 Paris cedex 05 \u00ab\u00a0M\u00e9thodes de lissage et d’estimation dans des mod\u00e8les \u00e0 variables latentes par des m\u00e9thodes de Monte-Carlo s\u00e9quentielles\u00a0\u00bb La salle 101 se trouve au premier \u00e9tage du couloir reliant les tours 15 […]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"ocean_post_layout":"","ocean_both_sidebars_style":"","ocean_both_sidebars_content_width":0,"ocean_both_sidebars_sidebars_width":0,"ocean_sidebar":"","ocean_second_sidebar":"","ocean_disable_margins":"enable","ocean_add_body_class":"","ocean_shortcode_before_top_bar":"","ocean_shortcode_after_top_bar":"","ocean_shortcode_before_header":"","ocean_shortcode_after_header":"","ocean_has_shortcode":"","ocean_shortcode_after_title":"","ocean_shortcode_before_footer_widgets":"","ocean_shortcode_after_footer_widgets":"","ocean_shortcode_before_footer_bottom":"","ocean_shortcode_after_footer_bottom":"","ocean_display_top_bar":"default","ocean_display_header":"default","ocean_header_style":"","ocean_center_header_left_menu":"","ocean_custom_header_template":"","ocean_custom_logo":0,"ocean_custom_retina_logo":0,"ocean_custom_logo_max_width":0,"ocean_custom_logo_tablet_max_width":0,"ocean_custom_logo_mobile_max_width":0,"ocean_custom_logo_max_height":0,"ocean_custom_logo_tablet_max_height":0,"ocean_custom_logo_mobile_max_height":0,"ocean_header_custom_menu":"","ocean_menu_typo_font_family":"","ocean_menu_typo_font_subset":"","ocean_menu_typo_font_size":0,"ocean_menu_typo_font_size_tablet":0,"ocean_menu_typo_font_size_mobile":0,"ocean_menu_typo_font_size_unit":"px","ocean_menu_typo_font_weight":"","ocean_menu_typo_font_weight_tablet":"","ocean_menu_typo_font_weight_mobile":"","ocean_menu_typo_transform":"","ocean_menu_typo_transform_tablet":"","ocean_menu_typo_transform_mobile":"","ocean_menu_typo_line_height":0,"ocean_menu_typo_line_height_tablet":0,"ocean_menu_typo_line_height_mobile":0,"ocean_menu_typo_line_height_unit":"","ocean_menu_typo_spacing":0,"ocean_menu_typo_spacing_tablet":0,"ocean_menu_typo_spacing_mobile":0,"ocean_menu_typo_spacing_unit":"","ocean_menu_link_color":"","ocean_menu_link_color_hover":"","ocean_menu_link_color_active":"","ocean_menu_link_background":"","ocean_menu_link_hover_background":"","ocean_menu_link_active_background":"","ocean_menu_social_links_bg":"","ocean_menu_social_hover_links_bg":"","ocean_menu_social_links_color":"","ocean_menu_social_hover_links_color":"","ocean_disable_title":"default","ocean_disable_heading":"default","ocean_post_title":"","ocean_post_subheading":"","ocean_post_title_style":"","ocean_post_title_background_color":"","ocean_post_title_background":0,"ocean_post_title_bg_image_position":"","ocean_post_title_bg_image_attachment":"","ocean_post_title_bg_image_repeat":"","ocean_post_title_bg_image_size":"","ocean_post_title_height":0,"ocean_post_title_bg_overlay":0.5,"ocean_post_title_bg_overlay_color":"","ocean_disable_breadcrumbs":"default","ocean_breadcrumbs_color":"","ocean_breadcrumbs_separator_color":"","ocean_breadcrumbs_links_color":"","ocean_breadcrumbs_links_hover_color":"","ocean_display_footer_widgets":"default","ocean_display_footer_bottom":"default","ocean_custom_footer_template":"","ocean_post_oembed":"","ocean_post_self_hosted_media":"","ocean_post_video_embed":"","ocean_link_format":"","ocean_link_format_target":"self","ocean_quote_format":"","ocean_quote_format_link":"post","ocean_gallery_link_images":"on","ocean_gallery_id":[],"footnotes":""},"categories":[418],"tags":[],"class_list":["post-372","post","type-post","status-publish","format-standard","hentry","category-theses-2012-fr","entry"],"_links":{"self":[{"href":"https:\/\/samovar.telecom-sudparis.eu\/index.php\/wp-json\/wp\/v2\/posts\/372","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/samovar.telecom-sudparis.eu\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/samovar.telecom-sudparis.eu\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/samovar.telecom-sudparis.eu\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/samovar.telecom-sudparis.eu\/index.php\/wp-json\/wp\/v2\/comments?post=372"}],"version-history":[{"count":1,"href":"https:\/\/samovar.telecom-sudparis.eu\/index.php\/wp-json\/wp\/v2\/posts\/372\/revisions"}],"predecessor-version":[{"id":1885,"href":"https:\/\/samovar.telecom-sudparis.eu\/index.php\/wp-json\/wp\/v2\/posts\/372\/revisions\/1885"}],"wp:attachment":[{"href":"https:\/\/samovar.telecom-sudparis.eu\/index.php\/wp-json\/wp\/v2\/media?parent=372"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/samovar.telecom-sudparis.eu\/index.php\/wp-json\/wp\/v2\/categories?post=372"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/samovar.telecom-sudparis.eu\/index.php\/wp-json\/wp\/v2\/tags?post=372"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}