Efficient Monte Carlo

Programme

Monday, 14 July

12:00-13:00 Lunch
13:00-13:15 Opening
13:15-14:00 Søren Asmussen Importance sampling algorithms for failure recovery probabilities in computing and data transmission
14:00-14:25 Don McLeish Intelligent importance sampling and rare event simulation
14:25-14:50
14:50-15:10 Coffee/tea
15:10-15:35 Reuven Rubinstein My personal view on simulation, Monte Carlo, rare events, counting and stochastic optimization
15:35-16:00 Reuven Rubinstein My personal view on simulation, Monte Carlo, rare events, counting and stochastic optimization
16:00-16:25 Asger Hobolth Importance sampling for the infinite sites model
18:00 Dinner

Tuesday, 15 July

09:00-09:45 Dirk Kroese Recent developments in the Cross-Entropy method
09:45-10:10 Ad Ridder Minimum cross-entropy methods for rare-event simulation
10:10-10:35 Thomas Taimre State-dependent importance sampling schemes via minimum cross-entropy
10:35-10:55 Coffee/tea
10:55-11:20 Nahum Shimkin Cross entropy based data association for multi-target tracking
11:20-11:45 Sandeep Juneja Nested simulation in portfolio risk measurement
11:45-12:10 Jeremy Staum Response surface methodology for simulating hedging and trading strategies
12:10-13:10 Lunch
13:15-14:00 Christian Robert Adaptive importance sampling in general mixture classes
14:00-14:25 Leonardo Rojas-Nandayapa Efficient simulation of sums of Lognormal Random Variable with Gaussian Copula
14:25-14:50 Adam Guetz Importance sampling for network growth models
14:50-15:10 Coffee/tea
15:10-15:35 José Blanchet Efficient simulation for random walks avoiding hard obstacles
15:35-16:00 Paul Dupuis Importance sampling for stochastic networks
16:00-16:25 Tito Homem-de-Melo Quasi-Monte Carlo methods for stochastic optimization
16:25-16:50 Shane Henderson Comparing two systems using Gaussian copulae
18:00 Dinner

Wednesday, 16 July

Excursion. Departure from Sandbjerg at 08:45.
19:00 Dinner

Thursday, 17 July

09:00-09:45 Boris Polyak Randomized methods for control and optimization
09:45-10:10 Pieter-Tjerk de Boer Improving adaptive importance sampling simulation of Markovian queueing models using non-parametric smoothing
10:10-10:35 Denis Miretskiy State-dependent large-deviations based importance sampling for a slow-down tandem queue
10:35-10:55 Coffee/tea
10:55-11:20 Pierre L'Ecuyer Approximating zero-variance importance sampling in reliability settings
11:20-11:45 Victor Nicola State-dependent importance sampling for efficient simulation of Jackson networks
11:45-12:10 Ishay Weissman The volume of a certain polytope and its connection to multivariate extremes and uniform spacings
12:10-13:10 Lunch
13:15-14:00 Georg Pflug Sensitivity analysis for risk functionals
14:00-14:25 Felisa Vázques-Abad On-line optimisation of Markov decision processes via dynamic thresholds
14:25-14:50 Bernd Heidergott Gradient estimation for random horizon experiments
14:50-15:10 Coffee/tea
15:10-15:35 Kengo Kamatani Large sample theory for the EM algorithm and the Gibbs sampling
15:35-16:00 Jerzy Filar Hamiltonian cycle problem and cross entropy: Passing through the nodes by learning
16:00-16:25 Mohammed Alkafi The Hamiltonian Monte Carlo algorithm with overrelaxation and adaptive-step discretization: Numerical experiments with Gaussian targets
19:00 Conference Dinner

Friday, 18 July

09:00-09:45 Alexander Shapiro Some recent developments in stochastic programming
09:45-10:10 Julien Cornebise Monte Carlo maximum likelihood estimation in nonlinear state-space model with application to a multiscale stochastic volatility model
10:10-10:35 Gareth Evans Efficient parallel cross-entropy
10:35-10:55 Coffee/tea
10:55-11:45 Peter Glynn On initial transient detection in the setting of steady-state simulation
11:45 Closing address
12:10 Lunch
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Revised 24.09.2018