| 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 |
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Rare event simulation for stochastics networks | Sem 1 |
| 10:00-10:25 |
Collamore, JF; Vidyashankar, AN (Copenhagen; George Mason) |
SCS |
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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 |
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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 |
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Stochastic enumeration method for rare events, counting and combinatorial optimization | Sem 1 |
| 11:40-12:05 |
Ridder, A; Tuffin, B (Amsterdam; Rennes) |
SCS |
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Efficiency of the cross-entropy method in Markov chain problems | Sem 1 |
| 12:05-12:30 |
Lam, H (Harvard ) |
SCS |
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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 |
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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 |
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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 |
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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 |
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Analysis of an interacting particle scheme for rare event estimation | Sem 1 |
| 09:50-10:15 |
Cerou, F; Guyader, A; Lelièvre, T (France) |
SCS |
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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 |
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RESTART simulation of non-Markovian queuing networks | Sem 1 |
| 11:40-12:05 |
Reijsbergen, D; de Boer, P-T; Scheinhardt, W (Twente) |
SCS |
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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 |
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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 |
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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 |
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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 |
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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 |
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Efficient Monte Carlo for high excursions of Gaussian random fields | Sem 1 |
| 18:45-19:30 |
Dinner at Wolfson Court |
SCS |
