Program of the Conference
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07h45-08h45 | Registration | |
Auditorium 012 | ||
08h45-09h00 | Opening session | |
Christian Lécot | ||
Invited talk: auditorium 012 | ||
09h00-10h00 | Dimov Ivan | |
Efficient Monte Carlo | ||
algorithms with applications | ||
to sensitivity analysis | ||
Chair: Christian Lécot | ||
10h00-10h30 | tea & coffee break | |
Auditorium 012 | Auditorium 108 | |
Stochastic Computation | Stochastic | |
and Complexity of High | Particle Methods | |
Dimensional Problems | ||
Chair: Stefan Heinrich | Chair: Christian Lécot | |
| ||
10h30-11h00 | Neuenkirch Andreas | Del Moral Pierre |
First order strong | An introduction to mean | |
approximations of scalar SDEs | field particle methods | |
with values in a domain | for Monte Carlo integration | |
11h00-11h30 | Geiss Stefan | Morohosi Hozumi |
On first exit times of | A computational study | |
continuous Itô-processes | of likelihood estimation by | |
randomized quasi-Monte | ||
Carlo method for | ||
filtering problems | ||
11h30-12h00 | Yaroslavtseva Larisa | Patterson Robert |
Computing deterministic | Stochastic Particle | |
quadrature rules for | Methods for Population | |
marginals of SDEs | Balance Boundary | |
Value Problems | ||
12h00-12h30 | Jentzen Arnulf | Wagner Wolfgang |
Loss of regularity for | Stochastic weighted | |
Kolmogorov equations | algorithms for | |
coagulation problems | ||
12h30-14h00 | lunch break | |
Auditorium 012 | Auditorium 108 | |
Stochastic Computation | Stochastic | |
and Complexity of High | Differential and | |
Dimensional Problems | Integral Equations | |
Chair: Frances Kuo | Chair: Jérôme Lelong | |
| ||
14h00-14h30 | Wozniakowski Henryk | Charton Paul |
How much randomization | Optimal Operation of a | |
helps for multivariate | Storage Unit for Wind | |
approximation? | Electricity Producers | |
14h30-15h00 | Gnewuch Michael | Deaconu Madalina |
Optimal randomized algorithms | Simulation of hitting times | |
for integration on | for Bessel processes | |
the Sequence Space | ||
15h00-15h30 | Hefter Mario | Morkisz Paweł |
Integration w.r.t. the | Optimality of the randomized | |
Standard Gaussian Measure | Euler algorithm for the | |
on the Sequence Space | approximation of SDEs with | |
time-irregular coefficients | ||
15h30-16h00 | tea & coffee break | |
Auditorium 012 | Auditorium 108 | |
Stochastic Computation | Stochastic | |
and Complexity of High | Differential and | |
Dimensional Problems | Integral Equations | |
Chair: Michael Gnewuch | Chair: Wolfgang Wagner | |
16h00-16h30 | Weimar Markus | Ogawa Shigeyoshi |
Integration of | On the stochastic Fourier | |
permutation-invariant functions | transformation and its | |
applications | ||
16h30-17h00 | Kritzer Peter | Turkedjiev Plamen |
Approximation of analytic | Numerical methods | |
functions in weighted | for BSDEs with general | |
Korobov spaces | driver and terminal condition | |
—————————————– | ||
17h00-17h30 | Leobacher Gunther | Dermoune Azzouz |
Some tractability results | Penalized least squares | |
for high-dimensional | estimate and MCMC | |
integration over ℝ^{d} | algorithms | |
Invited talk: auditorium 012 | ||
09h00-10h00 | Robert Christian | |
ABC and empirical likelihood | ||
Chair: Pierre L'Ecuyer | ||
10h00-10h30 | tea & coffee break | |
Auditorium 012 | Auditorium 108 | |
Stochastic Computation | Monte Carlo Methods | |
and Complexity of High | for Partial Differential | |
Dimensional Problems | and Integral Equations | |
Chair: Andreas Neuenkirch | Chair: Dirk Nuyens | |
| ||
10h30-11h00 | Przybyłowicz Paweł | Georgieva Rayna |
Optimal approximation of | Advanced Monte Carlo | |
SDEs with time-irregular | Algorithms for Solving | |
coefficients in the asymptotic | Integral Equations | |
setting | ||
11h00-11h30 | Geiss Christel | Matyokub Bakoev |
Forward backward stochastic | Monte Carlo Methods for | |
differential equations driven | Solving Initial Boundary Value | |
by Lévy noise: discretization | Problems for Ultraparabolic | |
Equations and its Application | ||
in Asian Option Pricing | ||
11h30-12h00 | Li Sangmeng | Mehazzem Allal |
Multilevel Monte Carlo | Monte Carlo Method imposed | |
for Lévy-driven SDEs: | by periodic electric field | |
a central limit theorem | ||
12h00-12h30 | Szpruch Lukasz | Rasulov Abdujabar |
Antithetic multilevel Monte | Monte Carlo Method for | |
Carlo estimation for Barrier | Solution of Initial-Boundary | |
and Related Exotic Options | Value Problems for Nonlinear | |
Parabolic Equations | ||
12h30-14h00 | lunch break | |
Invited talk: auditorium 012 | ||
14h00-15h00 | L’Écuyer Pierre | |
Tailor-Made Lattice Rules: | ||
Principles and Software Tools | ||
Chair: Harald Niederreiter | ||
Auditorium 012 | Auditorium 108 | |
Stochastic Computation | Monte Carlo Methods | |
and Complexity of High | for Partial Differential | |
Dimensional Problems | and Integral Equations | |
Chair: Stefan Geiss | Chair: Rayna Georgieva | |
| ||
15h00-15h30 | Nagapetyan Tigran | Sellier Jean Michel |
Multilevel Monte Carlo method | A benchmark study of the | |
for CDF approximation on a | Wigner Monte-Carlo method | |
compact interval | ||
15h30-16h00 | Suryanarayana Gowri | Sipin Alexander |
Collocation for non-periodic | Monte Carlo algorithms for | |
functions with lattice points | the Parabolic Cauchy Problem | |
—————————————— | ||
16h00-16h30 | Giles Mike | Tesei Francesco |
Fast evaluation of the | Multi Level Monte Carlo | |
inverse Poisson cumulative | methods with Control | |
distribution function | Variate for elliptic SPDEs | |
16h30-17h00 | Chi Hongmei | Mori Makoto |
Community Detection in | New Construction of | |
Complex Networks Based on | higher dimensional low | |
Bio-inspired Computing | discrepancy sequences | |
| ||
09h00-10h00 | Niederreiter Harald | |
New Constructions of | ||
Low-Discrepancy Sequences | ||
Chair: Henri Faure | ||
10h00-10h30 | tea & coffee break | |
Auditorium 012 | Auditorium 108 | |
Stochastic Computation | Variance Reduction | |
and Complexity of High | Methods | |
Dimensional Problems | ||
Chair: Henryk Wozniakowski | Chair: Gunther Leobacher | |
| ||
10h30-11h00 | Kuo Frances | Hajji Kaouther |
Higher order QMC Galerkin | Importance Sampling and | |
discretization for parametric | Statistical Romberg method | |
operator equations | ||
11h00-11h30 | Heinrich Stefan | Lelong Jérôme |
Complexity of parametric | Importance sampling for | |
integration in various | Lévy processes | |
smoothness classes | ||
11h30-12h00 | Heinrich Stefan | Sak Halis |
Complexity of parametric | Multi-objective Risk Simulation | |
inital value problems | Using Stratified Importance | |
Sampling | ||
—————————————– | ||
12h00-12h30 | Schreck Amandine | Fakhereddine Rana |
A Bayesian Method for sparse | Stratified Monte Carlo and | |
Regression | randomized quasi-Monte Carlo | |
for integration and simulation | ||
12h30-14h00 | lunch break | |
14h30 - Excursion: castles, cruise or hiking
19h00 - Conference dinner, Les Pensières
Invited talk: auditorium 012 | ||
09h00-10h00 | Giles Mike | |
Multilevel estimation of | ||
mean exit times | ||
Chair: Philippe Briand | ||
10h00-10h30 | tea & coffee break | |
Auditorium 012 | Auditorium 108 | |
Random Walk-Based | Quasi-Random Point Sets | |
Algorithms | and Sequences | |
Chair: Sylvain Maire | Chair: Peter Kritzer | |
| ||
10h30-11h00 | Şengil Nevsa | Chi Hongmei |
Monte Carlo based non-linear | Optimal Halton Sequences | |
Poisson equation solver | Revisited | |
11h00-11h30 | Chatterjee Kausik | Faure Henri |
A New Green’s Function Monte | A variant of Atanassov’s | |
Carlo Algorithm for the Solution | method for (t,s)-sequences | |
of Partial Differential Equations | ||
Subject to Neumann and Mixed | ||
Boundary Conditions Without | ||
Reflection at the Boundaries | ||
11h30-12h00 | Lukinov Vitaly | Hofer Markus |
The method of random walk on | Ergodic properties of | |
spheres for solving BVP’s from | beta-adic Halton sequences | |
elasticity theory | ||
12h00-12h30 | Mascagni Michael | Ziegler Volker |
Efficient Implementation of | On the uniform distribution | |
Random Walk-Based Monte | modulo 1 of multidimensional | |
Carlo Algorithms on GPUs | LS-sequences | |
12h30-14h00 | lunch break | |
Auditorium 012 | Auditorium 108 | |
Random Walk-Based | Applications in | |
Algorithms | biology | |
Chair: Robert Patterson | Chair: Philippe Briand | |
| ||
14h00-14h30 | Whitlock Paula | Ghysels An |
Insights from graph theory on | Oxygen diffusion profiles | |
Metropolis random walks in | through lipid membranes | |
one dimension | derived from Monte Carlo | |
14h30-15h00 | Chatterjee Kausik | Vilanova Pedro |
A New Green’s Function Monte | Hybrid Chernoff Tau-leap | |
Carlo Algorithm for Nonlinear | ||
Partial Differential Equations: | ||
Application to the Modeling | ||
of a Plasma Sheath around a | ||
Charged Conductor | ||
—————————————– | ||
15h00-15h30 | Antonov Anton | Moraes Alvaro |
Empirical convergence bounds | Hybrid Multilevel Chernoff | |
for Quasi-Monte Carlo | Tau-leap | |
Integration | ||
15h30-16h00 | tea & coffee break | |
Auditorium 012 | Auditorium 108 | |
Monte Carlo Methods | Sensitivity Analysis | |
for Discontinuous Media | ||
Chair: Michael Mascagni | Chair: Ivan Dimov | |
| ||
16h00-16h30 | Lenôtre Lionel | Fidanova Stefka |
Numerical simulation of an | Algorithm Parameters | |
advection-diffusion problem in | Sensitivity of Monte Carlo | |
porous media | Algorithm for E.coli | |
Cultivation Process Modeling | ||
16h30-17h00 | Maire Sylvain | Ostromsky Tzvetan |
Finite differences tools for the | A Monte Carlo Method for | |
Monte Carlo simulations of | Sensitivity analysis of an Air | |
diffusions in stratified media | Pollution Model - | |
Implementation, Performance | ||
and Results | ||
—————————————– | ||
17h00-17h30 | Niklitschek-Soto Sebastian | Alexandrov Nia |
Discretization of | The significance of Stcohastic | |
one-dimensional stochastic | Methods as part of | |
differential equations with | Post graduate reseach | |
discontinous coefficients | Skills teaching | |
Invited talk: auditorium 012 | ||
09h00-10h00 | Del Moral Pierre | |
Particle approximation of | ||
multiple object nonlinear | ||
filtering problems | ||
Chair: Céline Labart | ||
10h00-10h30 | tea & coffee break | |
Auditorium 012 | Auditorium 108 | |
Randomization Methods | Applications in | |
in Linear Algebra | Finance | |
Chair: Christian Lécot | Chair: Céline Labart | |
| ||
10h30-11h00 | Alexandrov Vassil | Dingeç Kemal Dinçer |
A Parallel Hybrid Monte Carlo | Control Variates and | |
Method for Solving Systems of | Conditional Monte Carlo | |
Linear Equations based on | for Asian and Basket Options | |
Sparse Approximate Inverse | ||
11h00-11h30 | Dmitriev Aleksei | Ben Hadj Saifeddine |
Monte Carlo Method and | Infinitesimal Perturbation | |
Asynchronous Iterations | analysis for nested simulation | |
in portfolio risk management | ||
11h30-12h00 | Smirnov Sergey | Ben Jabeur Sami |
About some modifications of | A Comparative Study for | |
Monte Carlo method for solving | Various Methods of | |
large systems of linear | Classification | |
equations | ||
—————————————– | ||
12h00-12h30 | Sabelfeld Karl | Sharma Suresh, Kumar |
Stochastic Collocation Methods | Efficiency of Various | |
for solving PDEs and some | Smoothers in generalized | |
applications | Additive Models | |
12h30-14h00 | lunch break | |
Auditorium 012 | ||
14h00-14h30 | Tsvetkov Egor | |
Chair: Christian Lécot | ||
| ||
Variance reduction techniques | ||
on product of probability spaces | ||
The topics cover the following theoretical developments:
Contacts : LAMA, Unité Mixte de Recherche 5127 CNRS - Université de Savoie, Bâtiment Chablais, Campus Scientifique
73376 Le Bourget-du-Lac Cedex, France
Tél. : (+33) 4 79 75 87 20; Fax : (+33) 4 79 75 81 42
Last modification, November 25th 2012