RESIM 2012

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RESIM 2012 - Program

An archive of all talks you find here.

Monday June 25

11:00 – 12:00	Registration and coffee
12:00 – 13:30	Lunch
13:30 – 13:45	Welcome Geir E. Øien Dean of the Faculty of Information Technology, Mathematics and Electrical Engineering NTNU
13:45 – 14:45	Invited presentation 1 Chair: Poul E. Heegaard, NTNU Speaker: Ad Ridder Affiliation: Department of Econometrics and Operations Research, Faculty of Economics and Business Administration, Vrije Universiteit, Amsterdam, The Netherlands Title: Minimum cross-entropy methods for rare-event simulation Abstract: In this work we consider an importance sampling simulation procedure for estimating rare-event probabilities. Typical examples are buffer overflows in queueing systems or machine unavailability in reliability systems. The main idea of our approach is to associate with the original problem an auxiliary single-constrained convex optimization program of a special type, namely, the minimization of the Kullback-Leibler divergence, subject to an integral equation. We propose to do the importance sampling from the solution of this program. For a special case we prove that the optimal pdf is a zero variance pdf. Next we consider more general problems and obtain state- and time-dependent importance sampling estimators, which are logarithmic efficient. Finally, we present results of simulation experiments in a range of applications including comparisons between our algorithms and others from the literature. The talk is based on joint work with Reuven Rubinstein and Thomas Taimre.
14:45 – 15:15	Break
15:15 – 16:45	Session 1: RESTART - Splitting Chair: Michele Pagano, University of Pisa Importance Function Derivation for RESTART Simulations of Petri Nets. Armin Zimmermann, Paulo Maciel Asymptotic Analysis of RESTART Estimators in Highly Dependable Systems. José Villén-Altamirano Soft level splitting for rare event estimation. Frederic Cerou, Arnaud Guyader, Nicolas Hengartner

Tuesday June 26

09:00 – 10:00	Invited presentation 2 Chair: Bjarne E. Helvik, NTNU Speaker: Henrik Hult Affiliation: Department of Mathematics, Royal Institute of Technology (KTH), Stockholm, Sweden Title: Efficient Monte Carlo algorithms for computing high quantiles Abstract: Extreme risks in a financial or actuarial context is often quantified by a quantile or other tail-based risk measure. Efficient calculation of such risk measures is important as they influence management and allocation decisions. In many ways the computation of a high quantile is similar to computing the probability of the event that the portfolio value falls below a low threshold. The main difference is that there may be a need to compute many rare-event probabilities for an accurate evaluation of a risk measure. In this talk we present several adapted importance sampling algorithms where the adaption takes advantage of the shape of the asymptotic tail to improve accuracy. The algorithms are illustrated in the context of computing high quantiles for a heavy-tailed random walk. The talk is partly based on joint work with Jens Svensson and Cecile Mercadier.
10:00 – 10:30	Break
10:30 – 12:00	Session 2: Reliability and risk Chair: Gerardo Rubino, INRIA Some Advances in Importance Sampling of Reliability Models Based on Zero Variance Approximation. Daniel Reijsbergen, Pieter-Tjerk de Boer, Werner Scheinhardt, Sandeep Juneja Fast Simulation for Slow Paths in Markov Models. Daniel Reijsbergen, Pieter-Tjerk de Boer, Werner Scheinhardt, Boudewijn Haverkort Sequential Monte Carlo simulation of air traffic using Periodic Boundary Condition. G.J.(Bert) Bakker, Anindya Goswami, Henk A.P. Blom
12:00 – 13:30	Lunch
13:30 – 15:00	Session 3: Sampling of rare events Chair: Pieter-Tjerk de Boer, University of Twente Sampling Rare Events in Non-Equilibrium and Non-Stationary Systems. Kai Kratzer, Axel Arnold, Tanja Schilling, Joshua T. Berryman Importance sampling in the neighborhood of a stable equilibrium point. Paul Dupuis, Konstantinos Spiliopoulos, Xiang Zhou Rare-event Analysis and Simulations for Gaussian and Its Related Processes. Jingchen Liu, Xiang Zhou
15:00 – 15:30	Break
15:30 – 16:30	Session 4: Applied techniques Chair: José Villén-Altamirano, Technical University of Madrid On Conditional Monte Carlo in Rare Event Probability Estimation. Leslie Murray, Héctor Cancela, Gerardo Rubino On the Infinite Swapping Limit for Parallel Tempering. Paul Dupuis, Yufei Liu, Nuria Plattner, Jimmie Doll

18:30-	Social event 18:30 - Bus from Radisson Blu Royal Garden Hotel (city center) 18:45 - Guided tour at Ringve 19:45 - Bus from Ringve to Lian Restaurant 20:00 - Dinner at Lian restaurant

Wednesday June 27

09:00 – 10:00	Session 5: Performance of importance sampling techniques Chair: Paul Dupuis, Brown University Performance analysis of Bridge Monte-Carlo Estimator. Oleg Lukashenko, Evsey Morozov, Michele Pagano Large deviations for the weighted empirical measures arising in importance sampling. Henrik Hult, Pierre Nyquist
10:00 – 10:30	Break
10:30 – 12:00	Session 6: Random walks Chair: Werner Sandmann, Clausthal University of Technology A conditional limit theorem for random walks with application to Importance Sampling for rare events. Michel Broniatowski, Virgile Caron Markov chain Monte Carlo for computing probabilities of rare events in a heavy-tailed random walk. Thorbjørn Gudmundsson, Henrik Hult One approach to the sequential change-point problem. Tatiana Polushina, Georgy Sofronov
12:00 – 13:30	Lunch