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Performance Analysis of Monte Carlo Methods (November 28-30, 2012)


Organizing Committee

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Description

Monte Carlo methods have become increasingly important in Engineering and the Sciences. These application areas have posed challenges and opportunities in the analysis of modern Monte Carlo algorithms. The workshop's main focus is on: a) the mathematical techniques and aspects that have been key in the analysis of these algorithms, and b) the identification of techniques that are likely to play a role in future analysis.

  • Loyce Adams
    (University of Washington)
  • Mohammadreza Aghajani
    (Brown University)
  • Julio Cesar Andrade
    (University of Bristol)
  • Winfried Barta
    (George Washington University)
  • Mylene Bedard *
    (University of Montreal)
  • Jose Blanchet
    (Columbia University)
  • Ana Busic
    (INRIA )
  • Wei Cai
    (University of North Carolina - Charlotte)
  • Yang Cao
    (Virginia Tech)
  • Daniel Cargill
    (New Jersey Institute of Technology)
  • Bob Carpenter
    (Columbia University)
  • Xinyun Chen
    (Columbia University)
  • Yanlai Chen
    (University of Massachusetts)
  • Donna Chernyk
    (Springer)
  • Radu Craiu
    (University of Toronto)
  • Jing Dong
    (Columbia University)
  • Paul Dupuis *
    (Brown University)
  • Ibrahim Fatkullin
    (University of Arizona)
  • Jim Fill *
    (Johns Hopkins University)
  • Gersende Fort
    (Centre National de la Recherche Scientifique (CNRS))
  • Sergey Foss
    (Heriot-Watt University)
  • Zecheng Gan
    (Shanghai Jiaotong University)
  • Arnab Ganguly
    (Swiss Federal Institute of Technology)
  • Peter Glynn *
    (Stanford University)
  • David Goldberg
    (Georgia Institute of Technology)
  • Genetha Gray
    (Sandia National Laboratories)
  • Thorbjorn Gudmundsson
    (Royal Institute of Technology (KTH))
  • Matthew Harrison
    (Brown University)
  • Peng Hu
    (Université de Bordeaux I)
  • Henrik Hult
    (Royal Institute of Technology (KTH))
  • Majid Janzamin
    (University of California, Irvine)
  • Sandeep Juneja
    (Tata Institute of Fundamental Research)
  • George Karniadakis
    (Brown University)
  • Krzysztof Łatuszyński *
    (University of Warwick)
  • Kody Law
    (University of Warwick)
  • Kate Lee
    (Auckland University of Technology)
  • Sung duck Lee
    (Chungbuk National University)
  • Juan Li
    (Columbia University)
  • Ling Lin
    (New York University)
DatesTitleOrganizers
November 28-30, 2012Performance Analysis of Monte Carlo MethodsJose Blanchet, Gersende Fort, Henrik Hult, Jingchen Liu

Video Links
Description Speaker
Video
Abstract
Slides
WednesdayNovember 28, 2012
TimeDescriptionSpeakerLocationAbstractsSlides
9:00 - 9:25Registration and Welcome Coffee11th Floor Collaborative Space
9:25 - 9:30ICERM Director's Welcome11th Floor Lecture Hall
9:30 - 10:30Importance sampling in the neighborhood of a stable equilibrium pointPaul Dupuis, Brown University11th Floor Lecture Hall
PDF
10:30 - 11:00Coffee/Tea Break11th Floor Collaborative Space
11:00 - 12:00Continuous Sequential Importance Sampling for Irreducible DiffusionsKrzysztof Latuszynski, University of Warwick11th Floor Lecture Hall
PDF
12:00 - 2:30Break for Lunch and Free Time
2:30 - 3:30ABC and empirical likelihoodChristian Robert, Universite de Paris-Dauphine11th Floor Lecture Hall
PDF
PDF
3:30 - 4:00Coffee/Tea Break11th Floor Collaborative Space
4:00 - 5:00Some Recent Advances in Optimal Scaling for MCMCGareth Roberts, University of Warwick11th Floor Lecture Hall
PDF
5:15 - 6:45Welcome Reception11th Floor Collaborative Space

ThursdayNovember 29, 2012
TimeDescriptionSpeakerLocationAbstractsSlides
9:00 - 10:00Feedback Particle FilterSean Meyn, University of Illinois at Urbana-Champaign11th Floor Lecture Hall
PDF
10:00 - 10:30Coffee/Tea Break11th Floor Collaborative Space
10:30 - 11:30Can local particle filters beat the curse of dimensionalityRamon van Handel, Princeton University11th Floor Lecture Hall
PDF
11:30 - 11:40Group Photo11th Floor Lecture Hall
11:40 - 2:30Break for Lunch and Free Time
2:30 - 3:30Slow Mixing for the Hard-Core Model on Z^2Dana Randall, Georgia Institute of Technology11th Floor Lecture Hall
PDF
3:30 - 4:00Coffee/Tea Break11th Floor Collaborative Space
4:00 - 5:00Comparison Inequalities and Fastest-Mixing Markov ChainsJim Fill, Johns Hopkins University11th Floor Lecture Hall
PDF
PDF
7:00 - 8:30Poster Session11th Floor Lecture Hall and Collaborative Space

FridayNovember 30, 2012
TimeDescriptionSpeakerLocationAbstractsSlides
9:30 - 10:30TBAEric Moulines, Centre National de la Recherche Scientifique (CNRS)11th Floor Lecture Hall
10:30 - 11:00Coffee/Tea Break11th Floor Collaborative Space
11:00 - 12:00On the empirical efficiency of local MCMC algorithms with auxiliary variablesMylene Bedard, University of Montreal11th Floor Lecture Hall
PDF
12:00 - 2:30Break for Lunch and Free Time
2:30 - 3:30The Best Performing Monte Carlo Estimator A likelihood Framework for Compromising between Statistical Efficiency and Computational EfficiencyXiao-Li Meng, Harvard University11th Floor Lecture Hall
PDF
3:30 - 3:35Please don't forget to fill out your survey, thanks!11th Floor Lecture Hall
3:35 - 4:00Coffee/Tea Break11th Floor Collaborative Space