Description
RESIM 2018 will be the 12th workshop in a series of successful events held on the topic of rare-event simulation since 1997.
The topics of the workshop covers all aspects of rare-event simulation, from purely theoretical developments to practical applications.
The objective is to bring together researchers, not only from the mathematical sciences, and practitioners to discuss recent results
and how methods and open problems from different areas can lead to new directions that drive the field forward.
Because of the interdisciplinary nature of the topic, a goal of the workshop is to enhance the interaction between experts
in theoretical developments on the one hand, and experts from different application areas on the other. This will be reflected
in the plenary talks as well as the invited and contributed sessions, where the aim is to have as diverse a program as possible.
The following is a snippet of the topics of the workshop:
Methodologies:
| Importance sampling |
| RESTART/Splitting |
| Averaging techniques |
| Cross-Entropy method |
| Large deviations theory |
| Interacting particles |
| Hybrid analytic/simulation techniques |
Applications and models:
| Queueing models |
| Reliability models |
| Financial and insurance risk models |
| Computer and telecommunication networks |
| Traffic/pedestrian flows |
| Air traffic safety |
| Power grids |
| Climate research |
| Materials science at low spatial scales |
| Computational chemistry |
| Computational biology and genetics |
| Statistical learning and data analysis |
Program and submissions
The program consists of three invited lectures, each lasting 60 minutes, three invited sessions and three contributed sessions. Each speaker in the sessions will have 30 minutes, including questions. Information about plenary speakers, invited and contributed sessions will be updated throughout the summer.
Invited lectures:
| Carsten Hartmann (Brandenburg University of Technology) | "Duality of estimation and control and its application to rare event simulation" | |
| Paul Jenkins (University of Warwick) | "Some links between population genetics and rare event simulation" | |
| Henry Lam (Columbia University) | "Optimization-based approached to rare-event analysis" | |
Invited sessions:
| Anne Buijsrogge (University of Twente) | "Importance sampling versus RESTART for simulation over long time intervals" | |
| Jeffrey Collamore (University of Copenhagen) | "Rare event simulation for Garch(p,q) processes and related recursions generated by random matrices" | |
| Brian van Koten (University of Chicago) | "Stratification and Markov chain Monte Carlo" | |
| Jack Lidmar (KTH) | "Efficient sampling of rough energy landscapes: The Accelerated Weight Histogram Method" | |
| Chang-Han Rhee (Northwestern University) | "Strongly Efficient Importance Sampling for Rare but Catastrophic Events via Heavy-Tailed Large Deviations" | |
| Daniel Sanz-Alonso (University of Chicago) | TBA | |
| Harsha Honnappa (Purdue University) | "Dominating Points, Large Deviations and Rare Event Estimation" | |
Contributed sessions:
| Michael Snarski (Brown) | "Infinite swapping for i.i.d. samples" | |
| Emmanuel Gobet (Ecole Polytechnique) | "MCMC and nested extreme risks’" | |
| Devin Sezer (Middle East Technical University) | "Approximation of Excessive Backlog Probabilities for Tandem and Parallel Queues in Two Dimensions" | |
| Ad Ridder (Vrije University) | "Efficient Computations of Insurance Risk Models with Cubic Variance Functions" | |
| Qiming Du (UPMC) | "Variance Estimation for Adaptive Multilevel Splitting" | |
| Carlos Budde (University of Twente) | "On the performance of Expected Success in automatic Importance Splitting for RES" | |
| Oleg Lukashenko (Karelian Research Center) | "Application of variance reduction technique to estimation a degradation system" | |
| Manuel Villén-Altamirano (University of Malaga) | "RESTART simulation: New approach to the importance in a two-queue tandem Jackson network" | |
| José Villén-Altamirano (Technical University of Madrid) | "RESTART with Prolonged Retrials: an Improved Rare Event Simulation Method" | |
| Gerardo Rubino (INRIA) | "Efficient Monte Carlo estimation of network reliability metrics with the standard estimator" | |
| Carl Åkerlindh (Lund) | "A Variance-Reduced Multilevel Monte Carlo Algorithm for Maximum Likelihood Inference in Multivariate Diffusions" | |
| Pieter-Tjerk de Boer (University of Twente) | "Importance Sampling based on subsolutions for a GI|GI|1 tandem queue" | |
The above list only contains the name of the corresponding author for each talk. A book of abstracts will be prepared ahead of the workshop, any co-authors will be listed therein. At least one author of each accepted paper is expected to participate in the workshop.
The preliminary schedule for the workshop is as follows:
Wednesday August 29
| 08.45 - 09.00 | Welcome and opening (Henrik Hult, KTH) | |
| 09.00 - 10.00 | Invited lecture I: Paul Jenkins | |
| 10.00 - 10.15 | Coffee break | |
| 10.15 - 11.45 | Session I: Collamore, Ridder, Åkerlindh | |
| 11.45 - 13:30 | Lunch | |
| 13.30 - 15.00 | Session II: Rhee, Sanz-Alonso, Snarski | |
| 15.00 - 15.30 | Coffee break | |
| 15.30 - 17.00 | Session III: Honnappa, Rubino, Lukashenko | |
| 17.30 - | Welcome reception | |
| 09.00 - 10.00 | Invited lecture II: Henry Lam | |
| 10.00 - 10.15 | Coffee break | |
| 10.15 - 12:15 | Session IV: Buijsrogge, Du, J. Villén-Altamirano, Budde | |
| 12.15 - | Free time and conference dinner | |
| 09.00 - 10.00 | Invited lecture III: Carsten Hartmann | |
| 10.00 - 10.15 | Coffee break | |
| 10.15 - 11.45 | Session V: van Koten, Lidmar, Gobet | |
| 11.45 - 13:30 | Lunch | |
| 13.30 - 15.00 | Session VI: de Boer, Sezer, M. Villén-Altamirano | |
| 15.00 - 15.10 | Closing remarks | |
Registration
The conference fee is 700 SEK. To register please fill out the following registration form.
Note: Invited speakers need not register.
Any questions can be sent to resim2018 [at] kth.se.
Location
The workshop will be held at the Department of Mathematics at KTH's main campus on Valhallavägen in central Stockholm.
You can find a map of KTH's campus here; the conference room is located in the building at Lindstedtsvägen 17.
Accommodation
There are rooms reserved at partner hotels to KTH which are available at a first come, first serve policy. The options are:
Scandic Park Stockholm, 1343 SEK per room.
Elite Palace Hotel Stockholm, 1417 SEK per room.
If you want to reserve a room at one of the partner hotels send an email to resim2018 [at] kth.se with "Hotel reservation" in the subject line and let us know your preferred hotel and information on arrival and departure dates. Deadline for booking rooms at one of the partner hotels is July 15; you will get confirmation of the booking within a day and information about payment in August.
For other accommodation options participants will have make their own arrangements.
Travel information
Extensive information about getting to Stockholm and KTH can be found here. The following is a brief summary of theThe university campus is situated near the subway (and bus) station Östra Station. When arriving by train to Stockholm Central Station, the subway can be accessed at a lower level (compared to where the train arrives) at the station. Follow the signs and take the red subway line towards "Mörby Centrum", exit at "Tekniska högskolan" (third stop from Stockholm C).
Via Arlanda Airport (ARN)
From Arlanda Airport take either the express train "Arlanda Express" or commuter rails to Stockholm Central Station. The express train can be accessed from terminals 2 and 5, whereas the commuter rail can be accessed only from Terminal 5 (from "Sky City"). Tickets are available from ticket booths or from the machines, both within the arrival hall (it is not possible to purchase a ticket on either train).
Via Bromma Airport (BMA)
There are both shuttle and local buses going from Bromma Airport to Stockholm Central Station. For the airport shuttle, tickets are sold at the airport Pressbyrån newsagents, at the self-service payment machine at the bus stop, and on board the coach. For local buses, tickets must be purchased in advance; please see SL's webpage for more information, including routes and schedules.
Organization and contact
Steering committee:
| Pieter-Tjerk de Boer, University of Twente |
| Paul Dupuis, Brown University |
| Henrik Hult, KTH Royal Institute of Technology |
| Dirk Kroese, University of Queensland |
| Michele Pagano, University of Pisa |
| Ad Ridder, Vrije Universiteit Amsterdam |
| Gerardo Rubino, INRIA Rennes |
| Werner Sandmann, Saarland University |
| Bruno Tuffin, INRIA Rennes |
| Jose Villen-Altamirano, Technical University of Madrid |
| Manuel Villen-Altamirano, University of Malaga |
For questions and further details please contact:
Administrative: Ann-Britt Öhman (annbritt [at] kth.se)
Scientific: Organization committee (resim2018 [at] kth.se)
Department of Mathematics,
KTH Royal Institute of Technology,
Stockholm, Sweden