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Workshop Programme

for period 21-23 June

Simulation of Stochastic Networks (including RESIM 2010)

21-23 June


Monday 21 June
08:30-09:00 Registration SCS
09:00-09:10 Welcome from Sir David Wallace (INI Director) SCS
Session: RESIM Day 1
09:10-10:00 Blanchet, J (Columbia) SCS
  Rare event simulation for stochastics networks Sem 1
10:00-10:25 Collamore, JF; Vidyashankar, AN (Copenhagen; George Mason) SCS
  Rare event simulation for the ruin problem with investments via importance sampling and duality Sem 1
10:25-10:50 de Boer, PT; Scheinhardt, WRW (Twente) SCS
  A new, analysis-based, change of measure for tandem queues Sem 1
10:50-11:15 Morning Coffee SCS
11:15-11:40 Rubinstein, R (Israel Institute of Technology) SCS
  Stochastic enumeration method for rare events, counting and combinatorial optimization Sem 1
11:40-12:05 Ridder, A; Tuffin, B (Amsterdam; Rennes) SCS
  Efficiency of the cross-entropy method in Markov chain problems Sem 1
12:05-12:30 Lam, H (Harvard ) SCS
  Rare-Event Simulation for Markov-Modulated Perpetuities Sem 1
12:30-13:30 Lunch at Wolfson Court SCS
14:00-14:50 Hult, H; Svensson, J (KTH, Stockholm) SCS
  Computing risk measures by importance sampling Sem 1
14:50-15:15 Guyader, A; Hengartner, NW; Matzner-Løber, E (Rennes 2; Los Alamos; Rennes 2) SCS
  Iterative Monte Carlo for extreme quantiles and extreme probabilities Sem 1
15:15-15:40 Nakayama, M; Chu, F (New Jersey Institute of Technology) SCS
  Constructing confidence intervals for quantiles when using variance-reduction techniques Sem 1
15:40-16:15 Afternoon Tea SCS
16:15-17:30 Poster session for Simulation of Networks event SCS
17:30-18:30 Welcome Wine Reception SCS
18:45-19:30 Dinner at Wolfson Court SCS
Tuesday 22 June
Session: RESIM Day 2
09:00-09:50 Dupuis, P; Cai, Y (Brown) SCS
  Analysis of an interacting particle scheme for rare event estimation Sem 1
09:50-10:15 Cerou, F; Guyader, A; Lelièvre, T (France) SCS
  An adaptive replica approach to simulate reactive trajectories Sem 1
10:15-10:40 Krystul, J; Le Gland, F; Lezaud, P (Twente; Rennes; Toulouse) SCS
  Sample per mode simulation for switching diffusions Sem 1
10:40-11:15 Morning Coffee SCS
11:15-11:40 Villén-Altamirano, J; Villén-Altamirano, M; Vázquez Gallo, E (Technical University of Madrid) SCS
  RESTART simulation of non-Markovian queuing networks Sem 1
11:40-12:05 Reijsbergen, D; de Boer, P-T; Scheinhardt, W (Twente) SCS
  Transient behaviour in highly dependable Markovian systems, new regimes, many paths Sem 1
12:05-12:30 Tuffin, B; Cancela, H; Rubino, G (Rennes; Uruguay; Rennes) SCS
  Recursive variance reduction estimators for the static communication network reliability problem Sem 1
12:30-13:30 Lunch at Wolfson Court SCS
14:15-15:05 Wang, H; Setayeshgar, L (Brown) SCS
  Efficient important sampling for a feed-forward network Sem 1
15:05-15:30 Addie, RJ; Pao, DCW; Wong, EWM (Southern Queensland: Hong Kong) SCS
  Snapshot simulation - an importance sampling technique for traffic with heavy tailed flows Sem 1
15:30-16:15 Afternoon Tea SCS
16:15-17:05 Meyn, S; Duffy, KR; Kontoyiannis, I (Illinois; Ireland; Greece) SCS
  Simulating the mean of a skip free Markov chain Sem 1
17:05-17:30 Adler, RJ; Blanchet, JH; Liu, J (Israel; Columbia; Columbia) SCS
  Efficient Monte Carlo for high excursions of Gaussian random fields Sem 1
18:45-19:30 Dinner at Wolfson Court SCS
Wednesday 23 June
09:00-09.50 Mandjes, M; Glynn, P (Stanford; Amsterdam) SCS
  Simulation-based computation of the workload correlation function in a Lévy-driven queue Sem 1
09:50-10.40 Griffiths, R (Oxford) SCS
  Simulation of ancestral histories of genes Sem 1
10:40-11.10 Morning Coffee SCS
11:10-12.00 Rosenthal, JS (Toronto) SCS
  Optimising and adapting the Metropolis algorithm Sem 1
12:30-13:30 Lunch at Wolfson Court SCS
13:40-14.30 Roberts, G; Papaspiliopoulos, O (Warwick; Pompeu Fabra) SCS
  Retrospective simulation and the Bernoulli factory Sem 1
14:30-18:00 Football SCS
19:30-22:30 Hog Roast Garden Party at The Moller Centre SCS
Other Seminars
Seminars in the University
National and International Scientific Research Meetings

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