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Information-Based Complexity and Stochastic Computation (September 15-19, 2014)


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Review of applications will begin on May 15, 2014
Organizing Committee

 

          [Image courtesy of Dirk Nuyens]
Description

Information-based complexity (IBC) deals with the computational complexity of continuous problems for which available information is partial, priced and noisy. IBC provides a methodological background for proving the curse of dimensionality as well as provides various ways of vanquishing this curse.

Stochastic computation deals with computational problems that arise in probabilistic models or can be efficiently solved by randomized algorithms. Using IBC background, the complexity of stochastic ordinary (SDE) and partial differential (SPDE) equations have been studied.

Topics covered in the workshop will include: adaptive and nonlinear approximation for SPDEs, infinite-dimensional problems, inverse and ill- posed problems, quasi-Monte Carlo methods, PDEs with random coefficients, sparse/Smolyak grids, stochastic multi-level algorithms, SDEs and SPDEs with nonstandard coefficients, tractability of multivariate problems.

This workshop will bring together researchers from these different fields. The goal is to explore connections, learn and share techniques, and build bridges.


  • Ali Ahmed
    (Georgia Institute of Technology)
  • Ulas Ayaz
    (Rheinische Friedrich-Wilhelms-Universität Bonn)
  • Dmitriy Bilyk
    (University of Minnesota)
  • Glenn Byrenheid
    (Rheinische Friedrich-Wilhelms-Universität Bonn)
  • James Calvin*
    (New Jersey Institute of Technology)
  • Emmanuel Candes
    (Stanford University)
  • Yanlai Chen
    (University of Massachusetts)
  • Sonja Cox*
    (Eidgenössische TH Hönggerberg)
  • Thomas Daun
    (Universität Kaiserslautern)
  • Jacqueline Davis
    (Vanderbilt University)
  • Yuhan Ding
    (Illinois Institute of Technology)
  • Dinh Dung*
    (Vietnam National University)
  • Simon Foucart
    (University of Georgia)
  • Alexander Gilbert
    (University of New South Wales)
  • Michael Gnewuch*
    (Christian-Albrechts Universität Kiel)
  • Michael Griebel
    (Institute for Numerical Simulation )
  • C. Gunturk
    (Courant Institute of Mathematical Sciences)
  • Mario Hefter
    (TU Kaiserslautern)
  • Stefan Heinrich *
    (Universität Kaiserslautern)
  • Fred Hickernell*
    (Illinois Institute of Technology)
  • Aicke Hinrichs *
    (Universität Rostock)
  • Christian Irrgeher
    (Johannes Kepler Universität Linz)
  • Arnulf Jentzen*
    (Eidgenössische TH Hönggerberg)
  • Lluís Antoni Jiménez Rugama
    (Illinois Institute of Technology)
  • Felix Krahmer
    (Georg-August-Universität zu Göttingen)
  • Peter Kritzer*
    (Johannes Kepler Universität Linz)
  • Thomas Kühn*
    (Universität Leipzig)
  • Robert Kunsch
    (Friedrich-Schiller-Universität)
  • Frances Kuo *
    (University of New South Wales)
  • Michael Lacey
    (Georgia Institute of Technology)
  • Christiane Lemieux *
    (University of Waterloo)
  • Giovanni Migliorati
    (École Polytechnique Fédérale de Lausanne (EPFL))
  • Thomas Müller-Gronbach*
    (Universität Passau)
  • Akil Narayan
    (University of Massachusetts)
  • Deanna Needell
    (Claremont McKenna College)
  • Andreas Neuenkirch*
    (Universität Mannheim)
  • Dong Nguyen
    (Katholieke Universiteit Leuven)
  • James Nichols
    (University of New South Wales)
  • Erich Novak
    (Friedrich-Schiller-Universität)
  • Dirk Nuyens *
    (Katholieke Universiteit Leuven)
  • Friedrich Pillichshammer *
    (Johannes Kepler Universität Linz)
  • Leszek Plaskota*
    (University of Warsaw)
  • Klaus Ritter
    (Universität Kaiserslautern)
  • Daniel Rudolf *
    (Friedrich-Schiller-Universität)
  • Christoph Schwab
    (ETH)
  • Winfried Sickel*
    (Friedrich-Schiller-Universität)
  • Pawel Siedlecki*
    (University of Warsaw)
  • Ian Sloan *
    (University of New South Wales)
  • Jeremy Staum*
    (Northwestern University)
  • Gowri Suryanarayana
    (Katholieke Universiteit Leuven)
  • Vladimir Temlyakov
    (University of South Carolina)
  • Michael Todd
    (Cornell University)
  • Joseph Traub
    (Columbia University)
  • Tino Ullrich
    (Rheinische Friedrich-Wilhelms-Universität Bonn)
  • Li Wang
    (University of California, San Diego)
  • Yingwei Wang
    (Purdue University)
  • Rachel Ward
    (University of Texas at Austin)
  • Grzegorz Wasilkowski
    (University of Kentucky)
  • Clayton Webster*
    (Oak Ridge National Laboratory)
  • Arthur Werschulz *
    (Fordham University)
  • Henryk Wozniakowski
    (Columbia University)
  • Larisa Yaroslavtseva*
    (Universität Passau)
  • Qi Ye
    (Syracuse University)
  • Yinyu Ye*
    (Stanford University)
  • Marguerite Zani*
    (Université d'Orléans)
  • Peter Zaspel
    (Rheinische Friedrich-Wilhelms-Universität Bonn)
  • Guannan Zhang
    (Oak Ridge National Laboratory)
  • Jie Zhong
    (University of Central Florida)
  • Xuan Zhou
    (Illinois Institute of Technology)
  • Houying Zhu
    (University of New South Wales)
MondaySeptember 15, 2014
TimeDescriptionSpeakerLocationAbstractsSlides
8:30 - 8:55Registration11th Floor Collaborative Space
8:55 - 9:00WelcomeICERM Director11th Floor Lecture Hall
9:00 - 9:30Infinite-dimensional integration by the multivariate decomposition method (MDM)Ian Sloan, University of New South Wales11th Floor Lecture Hall
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9:45 - 10:15Tractability using periodized generalized Faure sequencesChristiane Lemieux, University of Waterloo11th Floor Lecture Hall
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10:30 - 11:00Coffee/Tea Break11th Floor Collaborative Space
11:00 - 11:30Adaptive algorithms for stochastic computationFred Hickernell, Illinois Institute of Technology11th Floor Lecture Hall
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11:45 - 12:15Constructive tractability for the Helmholtz equationArt Werschulz, Fordham University11th Floor Lecture Hall
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12:30 - 2:45Break for Lunch
2:45 - 3:15An upper bound on complexity of optimization for Gaussian random fieldsJames Calvin, New Jersey Institute of Technology11th Floor Lecture Hall
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3:30 - 4:00Coffee/Tea Break11th Floor Collaborative Space
4:00 - 4:30Two topics in parametric integration applied to stochastic simulation in industrial engineeringJeremy Staum, Northwestern University11th Floor Lecture Hall
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5:00 - 6:30Welcome Reception11th Floor Collaborative Space

TuesdaySeptember 16, 2014
TimeDescriptionSpeakerLocationAbstractsSlides
9:00 - 9:30Quadrature for self-similar distributions on R^dThomas Müller-Gronbach, Universitat Passau11th Floor Lecture Hall
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9:45 - 10:15Regularity of SDEs with non-globally Lipschitz continuous coefficientsSonja Cox, Eidgenössische TH Hönggerberg11th Floor Lecture Hall
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10:30 - 11:00Coffee/Tea Break11th Floor Collaborative Space
11:00 - 11:30On a mild Ito formula for stochastic partial differential equations (SPDEs) and on weak convergence rates for SPDEs with nonlinear diffusion coefficientsArnulf Jentzen, Eidgenössische TH Hönggerberg11th Floor Lecture Hall
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11:45 - 12:15Embeddings of Weighted Tensor Product SpacesMario Hefter, Universitat Kaiserslautern11th Floor Lecture Hall
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12:30 - 2:30Break for Lunch
2:30 - 3:00Multilevel Monte Carlo methods for discontinuous payoffs in the Heston modelAndreas Neuenkirch, Universität Mannheim11th Floor Lecture Hall
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3:15 - 3:45Preasymptotic estimates for approximation of multivariate Sobolev functionsThomas Kühn, Universität Leipzig11th Floor Lecture Hall
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4:00 - 6:00Poster Session and Dessert Reception11th Floor Collaborative Space

WednesdaySeptember 17, 2014
TimeDescriptionSpeakerLocationAbstractsSlides
9:00 - 9:30Optimal quasi-Monte Carlo rules on higher order digital nets for numerical integration of multivariate periodic functionsAicke Hinrichs, Universität Rostock11th Floor Lecture Hall
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9:45 - 10:15Approximation of additive random fieldsMarguerite Zani, Université d'Orléans11th Floor Lecture Hall
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10:30 - 11:00Coffee/Tea Break11th Floor Collaborative Space
11:00 - 11:30Optimal algorithms for doubly weighted approximation of smooth functionsLeszek Plaskota, University of Warsaw11th Floor Lecture Hall
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11:45 - 12:15Generalized multilevel methods for accelerating hierarchical stochastic collocation approximations of PDEs with random input dataClayton Webster, Oak Ridge National Laboratory11th Floor Lecture Hall
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12:15 - 12:20Workshop Group Photo
12:30 - 2:15Break for Lunch
2:15 - 2:45Tractability of multivariate integration in Hermite spacesFriedrich Pillichshammer, Johannes Kepler Universität Linz11th Floor Lecture Hall
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3:00 - 3:30Coffee/Tea Break11th Floor Collaborative Space
3:30 - 4:00A dynamic near-optimal algorithm for online linear programmingYinyu Ye, Stanford University11th Floor Lecture Hall
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4:15 - 4:45Complexity of Banach Space Valued and Parametric Stochastic Ito IntegrationThomas Daun, Universitat Kaiserslautern11th Floor Lecture Hall
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ThursdaySeptember 18, 2014
TimeDescriptionSpeakerLocationAbstractsSlides
9:00 - 9:30On the complexity of first order PDEsStefan Heinrich, Universität Kaiserslautern11th Floor Lecture Hall
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9:45 - 10:15Deterministic quadrature rules for marginals of SDEs based on weak Ito-Taylor stepsLarisa Yaroslavtseva, Universität Passau11th Floor Lecture Hall
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10:30 - 11:00Coffee/Tea Break11th Floor Collaborative Space
11:00 - 11:30Optimal approximation of Sobolev functions in the L2 and in the supremum normWinfried Sickel, Friedrich-Schiller-Universität11th Floor Lecture Hall
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11:45 - 12:15A reduced fast component-by-component construction of (polynomial) lattice pointsPeter Kritzer, Johannes Kepler Universität Linz11th Floor Lecture Hall
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12:30 - 2:45Break for Lunch
2:45 - 3:15A refined classification of problems with (sub)exponential information-based complexityPawel Siedlecki, University of Warsaw11th Floor Lecture Hall
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3:30 - 4:00Coffee/Tea Break11th Floor Collaborative Space
4:00 - 4:30Randomized algorithms on the approximation of rank one tensorsDaniel Rudolf, Friedrich-Schiller-Universität11th Floor Lecture Hall
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FridaySeptember 19, 2014
TimeDescriptionSpeakerLocationAbstractsSlides
9:00 - 9:30Error analysis for multivariate and infinite-dimensional integration with respect to different underlying normsMichael Gnewuch, Christian-Albrechts Universität Kiel11th Floor Lecture Hall
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9:45 - 10:15High-dimensional and infinite-dimensional hyperbolic crosses and their applications in approximation and uncertainty quantificationDinh Dung, Vietnam National University11th Floor Lecture Hall
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10:30 - 11:00Coffee/Tea Break11th Floor Collaborative Space
11:00 - 11:30Approximation in cosine space using tent-transformed lattice rulesDirk Nuyens, Katholieke Universiteit Leuven11th Floor Lecture Hall
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11:45 - 12:15Constructing quasi-Monte Carlo methods for high dimensional integrals over the Euclidean space and applicationsFrances Kuo, University of New South Wales11th Floor Lecture Hall
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12:30 - 5:00Afternoon open for collaboration