Simulation of stochastic networks (including RESIM 2010)

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Workshop theme

This workshop is one of five workshops that will run as part of the Stochastic Processes in Communications Sciences programme taking place from 11 January to 2 July 2010. This three day workshop is paired with a second related workshop on Statistics of Networks that is scheduled for Thursday 24 June and Friday 25 June. Interested participants are encouraged to attend both workshops.

Monte Carlo simulation is playing an increasingly important role in the design and analysis of communications systems and protocols, as networks and communications infrastructure become more complex and the performance requirements more demanding. In many settings, performance requirements involve meeting quality-of-service levels for which the associated computation involves, either explicitly or implicitly, the computation of a rare event probability. Consequently, the workshop will bring together leading researchers in rare-event simulation to present new developments having the potential to significantly expand the applicability of these ideas in the communications setting.

The first two days of this event are being offered in conjunction with the 8th RESIM conference, a bi-annual meeting focused on this important area.

The third day will discuss a broader set of simulation-based algorithms that touch on the state-of-the-art in simulation, with the goal of stimulating new research directions for the communications sciences. The programme concludes on Wednesday evening of the 23 June with a garden party and "hog roast" in conjunction with Statistics of Networks participants.

Timetable

Monday 21st June 2010
08:30 to 09:00	Registration	No Room Required
09:00 to 09:10	Welcome from Sir David Wallace (INI Director)	Room 1
09:10 to 10:00	Jose Blanchet Columbia University Rare event simulation for stochastics networks	Room 1
10:00 to 10:25	Jeffrey Collamore Københavns Universitet (University of Copenhagen) Rare event simulation for the ruin problem with investments via importance sampling and duality	Room 1
10:25 to 10:50	Pieter-Tjerk de Boer Universiteit Twente A new, analysis-based, change of measure for tandem queues	Room 1
10:50 to 11:15	Morning Coffee	No Room Required
11:15 to 11:40	Reuven-Yacov Rubinstein Technion - Israel Institute of Technology Stochastic enumeration method for rare events, counting and combinatorial optimization	Room 1
11:40 to 12:05	Ad Ridder Vrije Universiteit Amsterdam Efficiency of the cross-entropy method in Markov chain problems	Room 1
12:05 to 12:30	Henry Lam Harvard University Rare-Event Simulation for Markov-Modulated Perpetuities	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:00 to 14:50	Henrik Hult KTH - Royal Institute of Technology Computing risk measures by importance sampling	Room 1
14:50 to 15:15	Arnaud Guyader INRIA Rennes - Bretagne Atlantique Iterative Monte Carlo for extreme quantiles and extreme probabilities	No Room Required
15:15 to 15:40	Marvin Nakayama New Jersey Institute of Technology Constructing confidence intervals for quantiles when using variance-reduction techniques	Room 1
15:40 to 16:15	Afternoon Tea	No Room Required
16:15 to 17:30	Poster session for Simulation of Networks event	Discussion Room
17:30 to 18:30	Welcome Wine Reception	No Room Required
18:45 to 19:30	Dinner at Wolfson Court	No Room Required

Tuesday 22nd June 2010
09:00 to 09:50	Paul Dupuis Brown University Analysis of an interacting particle scheme for rare event estimation	Room 1
09:50 to 10:15	Frederic Cerou INRIA Rennes - Bretagne Atlantique An adaptive replica approach to simulate reactive trajectories	Room 1
10:15 to 10:40	Sample per mode simulation for switching diffusions	Room 1
10:40 to 11:15	Morning Coffee	No Room Required
11:15 to 11:40	Manuel Villén-Altamirano Universidad Politécnica de Madrid RESTART simulation of non-Markovian queuing networks	Room 1
11:40 to 12:05	Daniel Reijsbergen Universiteit Twente Transient behaviour in highly dependable Markovian systems, new regimes, many paths	Room 1
12:05 to 12:30	Bruno Tuffin INRIA Rennes - Bretagne Atlantique Recursive variance reduction estimators for the static communication network reliability problem	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
14:15 to 15:05	Hui Wang Brown University Efficient important sampling for a feed-forward network	Room 1
15:05 to 15:30	Ron Addie University of Southern Queensland Snapshot simulation - an importance sampling technique for traffic with heavy tailed flows	Room 1
15:30 to 16:15	Afternoon Tea	No Room Required
16:15 to 17:05	Sean Meyn University of Florida Simulating the mean of a skip free Markov chain	Room 1
17:05 to 17:30	Efficient Monte Carlo for high excursions of Gaussian random fields	Room 1
18:45 to 19:30	Dinner at Wolfson Court	No Room Required

Wednesday 23rd June 2010
09:00 to 09:50	Michel Mandjes Universiteit van Amsterdam Simulation-based computation of the workload correlation function in a Lévy-driven queue	Room 1
09:50 to 10:40	Robert Griffiths University of Oxford Simulation of ancestral histories of genes	Room 1
10:40 to 11:10	Morning Coffee	No Room Required
11:10 to 12:00	Jeffrey Rosenthal University of Toronto Optimising and adapting the Metropolis algorithm	Room 1
12:30 to 13:30	Lunch at Wolfson Court	No Room Required
13:40 to 14:30	Gareth Roberts University of Warwick Retrospective simulation and the Bernoulli factory	Room 1
14:30 to 18:00	Sergey Foss Heriot-Watt University Football	Discussion Room
19:30 to 22:30	Hog Roast Garden Party at The Moller Centre	No Room Required

Simulation of stochastic networks (including RESIM 2010)

Speakers

Ron Addie University of Southern Queensland
Jose Blanchet Columbia University
Frederic Cerou INRIA Rennes - Bretagne Atlantique
Jeffrey Collamore Københavns Universitet (University of Copenhagen)
Pieter-Tjerk de Boer Universiteit Twente
Paul Dupuis Brown University
Sergey Foss Heriot-Watt University
Robert Griffiths University of Oxford
Arnaud Guyader INRIA Rennes - Bretagne Atlantique
Henrik Hult KTH - Royal Institute of Technology
Henry Lam Harvard University
Michel Mandjes Universiteit van Amsterdam
Sean Meyn University of Florida
Marvin Nakayama New Jersey Institute of Technology
Daniel Reijsbergen Universiteit Twente
Ad Ridder Vrije Universiteit Amsterdam
Gareth Roberts
Jeffrey Rosenthal University of Toronto
Reuven-Yacov Rubinstein Technion - Israel Institute of Technology
Bruno Tuffin INRIA Rennes - Bretagne Atlantique
Manuel Villén-Altamirano Universidad Politécnica de Madrid
Hui Wang Brown University

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Simulation of stochastic networks (including RESIM 2010)

Workshop theme

Timetable

Speakers

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