Ninth IMACS Seminar on Monte Carlo Methods
July 15 - July 19, 2013
Annecy-le-Vieux, France

Invited Speakers/ Title of their talks

Program of the Conference (Download the program and abstracts of the conference )

Monday morning, July 15


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 SDEsfield 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

Monday afternoon, July 15

Auditorium 012 Auditorium 108
Stochastic Computation Stochastic
and Complexity of High Differential and
Dimensional Problems Integral Equations
Chair: Frances Kuo Chair: Jérôme Lelong

14h00-14h30Wozniakowski Henryk Charton Paul
How much randomization Optimal Operation of a
helps for multivariate Storage Unit for Wind
approximation? Electricity Producers
14h30-15h00Gnewuch Michael Deaconu Madalina
Optimal randomized algorithmsSimulation of hitting times
for integration on for Bessel processes
the Sequence Space
15h00-15h30Hefter 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

15h30-16h00tea & 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
16h00-16h30Weimar Markus Ogawa Shigeyoshi
Integration of On the stochastic Fourier
permutation-invariant functionstransformation and its
16h30-17h00Kritzer Peter Turkedjiev Plamen
Approximation of analytic Numerical methods
functions in weighted for BSDEs with general
Korobov spaces driver and terminal condition
17h00-17h30Leobacher Gunther Dermoune Azzouz
Some tractability results Penalized least squares
for high-dimensional estimate and MCMC
integration over d algorithms

Tuesday morning, July 16

Invited talk: auditorium 012
09h00-10h00Robert Christian
ABC and empirical likelihood
Chair: Pierre L'Ecuyer

10h00-10h30tea & 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

10h30-11h00Przybyłowicz Paweł Georgieva Rayna
Optimal approximation of Advanced Monte Carlo
SDEs with time-irregular Algorithms for Solving
coefficients in the asymptotic Integral Equations
11h00-11h30Geiss 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
11h30-12h00Li Sangmeng Mehazzem Allal
Multilevel Monte Carlo Monte Carlo Method imposed
for Lévy-driven SDEs: by periodic electric field
a central limit theorem
12h00-12h30Szpruch 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

12h30-14h00lunch break

Tuesday afternoon, July 16

Invited talk: auditorium 012
14h00-15h00L’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

15h00-15h30Nagapetyan Tigran Sellier Jean Michel
Multilevel Monte Carlo methodA benchmark study of the
for CDF approximation on a Wigner Monte-Carlo method
compact interval
15h30-16h00Suryanarayana Gowri Sipin Alexander
Collocation for non-periodic Monte Carlo algorithms for
functions with lattice points the Parabolic Cauchy Problem
16h00-16h30Giles Mike Tesei Francesco
Fast evaluation of the Multi Level Monte Carlo
inverse Poisson cumulative methods with Control
distribution function Variate for elliptic SPDEs

16h30-17h00Chi Hongmei Mori Makoto
Community Detection in New Construction of
Complex Networks Based on higher dimensional low
Bio-inspired Computing discrepancy sequences

18h00: Reception at the Town Hall

Wednesday morning, July 17

Invited talk: auditorium 012
09h00-10h00Niederreiter Harald
New Constructions of
Low-Discrepancy Sequences
Chair: Henri Faure

10h00-10h30tea & coffee break

Auditorium 012 Auditorium 108
Stochastic Computation Variance Reduction
and Complexity of High Methods
Dimensional Problems
Chair: Henryk WozniakowskiChair: Gunther Leobacher

10h30-11h00Kuo Frances Hajji Kaouther
Higher order QMC Galerkin Importance Sampling and
discretization for parametric Statistical Romberg method
operator equations
11h00-11h30Heinrich Stefan Lelong Jérôme
Complexity of parametric Importance sampling for
integration in various Lévy processes
smoothness classes
11h30-12h00Heinrich Stefan Sak Halis
Complexity of parametric Multi-objective Risk Simulation
inital value problems Using Stratified Importance
12h00-12h30Schreck AmandineFakhereddine Rana
A Bayesian Method for sparse Stratified Monte Carlo and
Regression randomized quasi-Monte Carlo
for integration and simulation

12h30-14h00lunch break

Wednesday afternoon, July 17

14h30 - Excursion: castles, cruise or hiking

19h00 - Conference dinner, Les Pensières

Thursday morning, July 18

Invited talk: auditorium 012
09h00-10h00Giles Mike
Multilevel estimation of
mean exit times
Chair: Philippe Briand

10h00-10h30tea & coffee break

Auditorium 012 Auditorium 108
Random Walk-Based Quasi-Random Point Sets
Algorithms and Sequences
Chair: Sylvain Maire Chair: Peter Kritzer

10h30-11h00Şengil Nevsa Chi Hongmei
Monte Carlo based non-linear Optimal Halton Sequences
Poisson equation solver Revisited
11h00-11h30Chatterjee Kausik Faure Henri
A New Green’s Function Monte A variant of Atanassov’s
Carlo Algorithm for the Solutionmethod for (t,s)-sequences
of Partial Differential Equations
Subject to Neumann and Mixed
Boundary Conditions Without
Reflection at the Boundaries
11h30-12h00Lukinov Vitaly Hofer Markus
The method of random walk on Ergodic properties of
spheres for solving BVP’s from beta-adic Halton sequences
elasticity theory
12h00-12h30Mascagni Michael Ziegler Volker
Efficient Implementation of On the uniform distribution
Random Walk-Based Monte modulo 1 of multidimensional
Carlo Algorithms on GPUs LS-sequences

12h30-14h00lunch break

Thursday afternoon, July 18

Auditorium 012 Auditorium 108
Random Walk-Based Applications in
Algorithms biology
Chair: Robert Patterson Chair: Philippe Briand

14h00-14h30Whitlock Paula Ghysels An
Insights from graph theory on Oxygen diffusion profiles
Metropolis random walks in through lipid membranes
one dimension derived from Monte Carlo
14h30-15h00Chatterjee Kausik Vilanova Pedro
A New Green’s Function MonteHybrid Chernoff Tau-leap
Carlo Algorithm for Nonlinear
Partial Differential Equations:
Application to the Modeling
of a Plasma Sheath around a
Charged Conductor
15h00-15h30Antonov Anton Moraes Alvaro
Empirical convergence bounds Hybrid Multilevel Chernoff
for Quasi-Monte Carlo Tau-leap

15h30-16h00tea & coffee break

Auditorium 012 Auditorium 108
Monte Carlo Methods Sensitivity Analysis
for Discontinuous Media
Chair: Michael Mascagni Chair: Ivan Dimov

16h00-16h30Lenôtre 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
16h30-17h00Maire 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
17h00-17h30Niklitschek-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

Friday morning, July 19

Invited talk: auditorium 012
09h00-10h00Del Moral Pierre
Particle approximation of
multiple object nonlinear
filtering problems
Chair: Céline Labart

10h00-10h30tea & coffee break

Auditorium 012 Auditorium 108
Randomization Methods Applications in
in Linear Algebra Finance
Chair: Christian Lécot Chair: Céline Labart

10h30-11h00Alexandrov 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
11h00-11h30Dmitriev Aleksei Ben Hadj Saifeddine
Monte Carlo Method and Infinitesimal Perturbation
Asynchronous Iterations analysis for nested simulation
in portfolio risk management
11h30-12h00Smirnov Sergey Ben Jabeur Sami
About some modifications of A Comparative Study for
Monte Carlo method for solvingVarious Methods of
large systems of linear Classification
12h00-12h30Sabelfeld Karl Sharma Suresh, Kumar
Stochastic Collocation MethodsEfficiency of Various
for solving PDEs and some Smoothers in generalized
applications Additive Models

12h30-14h00lunch break

Friday afternoon, July 19

Auditorium 012
14h00-14h30Tsvetkov Egor
Chair: Christian Lécot

Variance reduction techniques
on product of probability spaces

The topics cover the following theoretical developments:

  • Algorithms for high dimensional problems and complexity
  • Computational stochastic differential equations
  • Generation of random numbers
  • Low discrepancy point sets and sequences
  • Markov Chain Monte Carlo
  • Multilevel Monte Carlo

Special interest may focus on the areas of applications:
  • Biology
  • Chemical Engineering
  • Computational finance
  • Nanostructures
  • Particle physics
  • Semiconductor devices

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