The workshop in Columbia University on Computational Methods in Applied Sciences is quite diverse in its topics. Reminding me of the conference on Efficient Monte Carlo in Sandbjerg Estate, Sønderborg in 2008, celebrating the 70th birthday of Reuven Rubinstein, incl. some colleagues I had not met since this meeting. Yesterday I thus heard (quite interesting) talks on domains somehow far from my own, from Robert Adler on cohomology (giving a second look at the thing after the talk I head in Wharton last year), to José Blanchet on simulation for infinite server queues (with a link to perfect sampling I could not exactly trace but that was certainly there). Several of the talks made me think of our Brownian motion confidence band paper, with Wilfrid Kendall and Jean-Michel Marin, esp. Gennady Samorodnitsky’s on the maximum of stochastic processes (and wonder whether we could have gone further in that direction). Pierre Del Moral presented a broad overview of the Feynman-Kacs’ approaches to particle methods, in particular particle MCMC, with application to some financial objects. Paul Glasserman talked about robust MCMC, which I found quite an appealing concept in that it included uncertainties about the model itself. And linked with minimax concepts. And Paul Dupuis exposed a parallel tempering method linked with large deviations, whose paper I am definitely looking forward. Now it is more than time to work on my own talk! (On a very personal basis, I sadly lost my sturdy Canon camera in the taxi from the airport! Will need a new one for the ‘Og!)
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workshop in Columbia
Posted in Statistics, Travel, University life with tags Columbia University, large deviation, MCMC, Monte Carlo methods, New York city, particle MCMC, Reuven Rubinstein, simulation, stochastic processes, tempering on September 24, 2011 by xi'anWSC 2011, Phoenix
Posted in Statistics, Travel, University life with tags Arizona, handbook of computational statistics, Monte Carlo Statistical Methods, particle MCMC, Phoenix, simulation, South Mountain Park, surveys on May 25, 2011 by xi'an
WSC stands for Winter Simulation Conference. I was not aware of those conferences that have been running since 1971 but I have been invited to give a tutorial on simulation in statistics at the 2011 edition of WSC in Phoenix, Arizona. Since it means meeting a completely new community of people using simulation, mostly outside statistics, I accepted the invitation and will thus spend a few days in December in Arizona… (If the culture gap proves too wide, I can always bike, run, or even climb in South Mountain Park!) In connection with this tutorial, I was requested to write a short paper that I just posted on arXiv. There is not much originality in the survey as it is mostly inspired from older chapters written for handbooks. I wished I had more space to cover particle MCMC in a few pages but 12 pages was the upper limit.
