A preliminary version of the book of abstracts is available at
http://www.irisa.fr/dionysos/pages_perso/tuffin/ProgramMCQMC2018 V1.pdf.
It includes all informations but will be updated before the conference
Belown we provide a general idea of the provisional program.
Sunday, July, 1: tutorials
14h15h30: Alexander Keller
15h3016h: coffee break
16h17h30: Gerardo Rubino
Monday, July, 2
8h208h30: Opening
8h309h30: Plenary talk, Christophe Andrieu
9h3010h: Coffee break
10h12h: Parallel sessions
 Numerical approximation of SDEs under nonstandard assumptions (1)
 NonReversible Markov Chain Monte Carlo (1)
 Construction of QMC point sets and sequences
 Nuclear applications
 Forward and inverse UQ with hierarchical models (1)
12h13h45: Lunch break (on your own)
13h4514h45: Plenary talk, Christoph Schwab
14h4515h45: Parallel sessions
 Improving MC and QMC integration
 Points on the Sphere and Other Manifolds: New Frontiers and Recent Progress (1)
 Practice of QMC methods (1)
 FeynmanKac
15h4516h15: Coffee break
16h1517h45: Parallel sessions
 Rare event simulation
 Simulation in finance and operation management
 Markov Chain QMC
 MCMC and large size
18h30: Welcome reception (City Hall)
Tuesday, July, 3
8h309h30: Plenary talk, Barry Nelson
9h3010h: Coffee break
10h12h: Parallel sessions
 Numerical approximation of SDEs under nonstandard assumptions (2)
 NonReversible Markov Chain Monte Carlo (2)
 QMC and applications
 Algorithms for HighDimensional Approximation (and Integration) Problems
 Uncertainty Quantification and Sensitivity Analysis in Computational Finance
12h13h45: Lunch break (on your own)
13h4514h45: Plenary talk, Pierre Henry Labordère
14h4515h45: Parallel sessions
15h4516h15: Coffee break
16h1517h45: Parallel sessions
18h30: Wine & Cheese (location: Bar L’Aventure)
Wednesday, July, 4
8h309h30: Plenary talk, Eric Moulines
9h3010h: Coffee break
10h12h: Parallel sessions
12h13h45: Lunch break (on your own)
13h4515h45: Parallel sessions
16h: Guided visit of Rennes
19h: Banquet at “Chateau d’Apigné”
Thursday, July, 5
8h258h30: Journal of Computing Young Researcher Award 2018
8h309h30: Plenary talk, Friedrich Pillichshammer
9h3010h: Coffee break
10h12h: Parallel sessions
12h13h45: Lunch break (on your own)
13h4514h45: Plenary talk, Clémentine Prieur
14h4515h45: Parallel sessions
15h4516h15: Coffee break
16h1517h45: Parallel sessions
Friday, July, 6
8h309h30: Plenary talk, Marvin Nakayama
9h3010h: Coffee break
10h12h: Parallel sessions
12h13h45: Lunch break (on your own)
13h4515h15: Parallel sessions
15h15: Goodbye coffee
Sessions Description:
Numerical approximation of SDEs under nonstandard assumptions (1)


 Larisa Yaroslavtseva: On loss of regularity in the initial value for SDEs with nonglobally Lipschitz continuous coefficients
 Diyora Salimova: Numerical approximations of nonlinear stochastic differential equations
 Michaela Szölgyenyi: Eulertype schemes for SDEs with discontinuous drift
 Holger Stroot: Strong Approximation of Stochastic Mechanical Systems with Nonlinear Holonomic Constraints

Numerical approximation of SDEs under nonstandard assumptions (2)


 Mario Hefter: Lower Error Bounds for Strong Approximation of Scalar SDEs with nonLipschitzian Coefficients
 Mike Giles: Multilevel Monte Carlo Method for Ergodic SDEs without Contractivity
 Dai Taguchi: Semiimplicit EulerMaruyama scheme for noncolliding particle systems
 Sotirios Sabanis: MCMC algorithms based on numerical approximations of SDEs with locally Lipschitz coefficients

NonReversible Markov Chain Monte Carlo (1)



Joris Bierkens: Reflections on the bouncy particle sampler and ZigZag sampler
 Alex Thiery: DiscreteTime Bouncy Particle Samplers and Generalisations
 Alain Durmus: On the convergence of Hamiltonian Monte Carlo
 Arnak Dalalyan: Userfriendly guarantees for the Langevin Monte Carlo


NonReversible Markov Chain Monte Carlo (2)


 Christian Robert: Generalized Bouncy Particle Sampler
 Pierre Monmarché: Geometric ergodicity for the Bouncy Particle Sampler
 Chris Sherlock: Explicit, nonreversible, contourhugging MCMC moves
 Michela Ottobre: Sampling and irreversibility

Construction of QMC point sets and sequences


 Frances Kuo: Discrete least squares approximation on multivariate polynomial spaces using lattice points
 Kosuke Suzuki: Lattice Rules in Nonperiodic Subspaces of Sobolev Spaces
 Ralph Kritzinger: Haar Analysis of Digital Nets and Sequences
 Dirk Nuyens: Lattice rules with random number of points and near $O(n^{\alpha1/2})$ convergence

QMC and applications


 Ian Sloan: On the generation of random fields
 Roswitha Hofer: Kronecker–Halton sequences in ${\mathbb F}_p((X^{1}))$
 Gunther Leobacher: ON HIGHERORDER INTEGRATION ALGORITHMS IN (WEIGHTED) HERMITE SPACES
 Mario Neumueller: Asymptotic Behaviour of the Sudler Product of Sines for Quadratic Irrationals

Stochastic Computation and Complexity (1)


 Thomas MuellerGronbach: On subpolynomial lower error bounds for strong approximation of SDEs
 Andreas Roessler: Algorithms for the Approximation of Iterated Stochastic Integrals in Infinite Dimensions
 Timo Welti: Deep optimal stopping: Solving highdimensional optimal stopping problems with deep learning
 Monika Eisenmann: A Randomized TimeStepping Method for Differential Equations with TimeIrregular Coefficients

Stochastic Computation and Complexity (2)


 Steffen Dereich: Central limit theorems for multilevel stochastic approximation algorithms
 Raphael Kruse: On two quadrature rules for stochastic integrals with fractional Sobolev regularity
 Sonja Cox: Stochastic integration in quasiBanach spaces: what Besov regularity does the stochastic heat equation posess?
 Mihaly Kovacz: Weak and strong approximation of fractional order elliptic equations with spatial white noise

Stochastic Computation and Complexity (3)


 Alvin Tse: Multilevel Monte Carlo for McKeanVlasov SDEs
 Martin Redmann: Solving parabolic rough partial differential equations using regression
 Yue Wu: Randomized Numerical Schemes for SDE/SPDEs
 Stefan Heinrich: Lower bounds for stochastic integration in fractional Sobolev classes

Forward and inverse UQ with hierarchical models (1)


 Benjamin Peherstorfer: Multifidelity Monte Carlo estimation with adaptive lowfidelity models
 Ahmed Kebaier: Adaptive Importance Sampling for Multilevel Monte Carlo Euler method
 Sebastian Krumsheid: Multilevel Monte Carlo Approximation of Functions
 AbdulLateef HajiAli: Multilevel Nested Simulation for Efficient Risk Estimation

Forward and inverse UQ with hierarchical models (2)


 Jonas Latz: Multilevel Sequential${}^2$ Monte Carlo for Bayesian Inverse Problems
 Hakon Hoel: Multilevel ensemble Kalman filtering for spatiotemporal processes
 Joakim Beck: Hierarchical sampling methods for Bayesian experimental design
 Kody Law: Inference using Multilevel Monte Carlo

Forward and inverse UQ with hierarchical models (3)


 Matteo Croci: Efficient white noise sampling and coupling for multilevel Monte Carlo
 Lukas Mayer: Multilevel Monte Carlo for the Quadrature of SDEs Based on Random Bits
 Soeren Wolfers: Multilevel weighted least squares polynomial approximation
 Andreas Stein: An adaptive Multilevel Monte Carlo algorithm for advectiondiffusion PDEs with random discontinuous coefficients

New applications of QMC in physics, energy and environment (1)


 ChiehHan Lee: A DATA FUSION APPROACH FOR SPATIOTEMPORAL PM2.5 ESTIMATION WITH QMC METHOD
 Werner Roemisch: Randomized QMC methods for twostage stochastic optimization problems: Recent progress
 Hernan Leovey: Tensor Products, Classical Weighted Sobolev Spaces, QuasiMonte Carlo and Energy Management

New applications of QMC in physics, energy and environment (2)


 Karl Jansen: Lattice Field Theory: a physics case for high dimensional integration
 Julia Volmer: Improving Monte Carlo integration by symmetrization

Points on the Sphere and Other Manifolds: New Frontiers and Recent Progress (1)


 Johann Brauchart: Overview/Hyperuniformity in the Compact Setting: Deterministic and Random Aspects
 Jordi Marzo: Determinantal Point Processes and Optimality

Points on the Sphere and Other Manifolds: New Frontiers and Recent Progress (2)


 Damir Ferizovic: Bounds for the Green Energy on SO(3)
 Maria De Ujue Etayo: tDesigns on Manifolds: an Asymptotic Bound on the Number of Points

Points on the Sphere and Other Manifolds: New Frontiers and Recent Progress (3)


 Peter D. Dragnev: Universal Bounds on Energy of Codes and Designs in Various Settings
 Tetiana Stepaniuk: Estimates for numerical integration errors on unit spheres of arbitrary dimension

Practice of QMC methods (1)


 Adrian Ebert: Efficient usage and construction of QMC methods
 Michael_Gnewuch: Probabilistic discrepancy bounds for Latin hypercube sampling with and without padding

Practice of QMC methods (2)


 Yuya Suzuki: Rank1 lattices and higherorder exponential splitting for the multidimensional timedependent Schrodinger equation
 Ana I. Gomez: Generation of True Random Numbers using quasiMonte Carlo Methods

Acceleration of MCMC


 Thomas Catanach: Sequential Tempered Markov Chain Monte Carlo for Bayesian Inference
 Maksym Byshkin: Fast Maximum Likelihood estimation via Equilibrium Expectation for large network data

Multilevel Monte Carlo methods


 Emil Løvbak: Multilevel Monte Carlo for AsymptoticPreserving Particle Schemes
 Andreas Van Barel: Robust Optimization of PDE Constrained Systems

FeynmanKac


 Arnaud Lionnet: The Numerical Approximation Of PolynomialGrowth Backward Stochastic Differential Equations
 Marie BILLAUD FRIESS: Stochastic methods for solving partial differential equations in high dimension

Rare event simulation


 Pierre Nyquist: Rareevent simulation in machine learning: Infinite swapping and restricted Boltzmann machines
 Art Owen: ALOE importance sampler for the union of rare events
 ChangHan Rhee: Efficient RareEvent Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes

Simulation in finance and operation management


 Lihua Sun: A Nonprametric Method for Pricing and Hedging American Options
 Jun Luo: Speeding Up Ranking and Selection Procedures for Large Scale Problems Using Cloud Computing
 Guangxin Jiang: Constructing Surface for Derivative Pricing and Sensitivity Analysis

Markov Chain QMC


 Shin Harase : An Implementation of ShortPeriod Tausworthe Generators for Markov Chain quasiMonte Carlo Method
 Tobias Schwedes: Adaptive Importance Sampling for Markov Chain QuasiMonte Carlo
 Rami El Haddad: Sudoku Sampling For Markov Chains Simulation

MCMC and large size


 Paulo Orenstein: Scalable MCMC for Bayes Shrinkage Priors
 James Johndrow: Scaling MCMC to Large Problem Sizes

Algorithms for HighDimensional Approximation (and Integration) Problems


 Yuhan Ding: An Optimal Automatic Algorithm Employing Continuous Linear Functionals
 Aicke Hinrichs: How good is random information? – Approximation in the Hilbert space setting
 Klaus Ritter: Integration and $L_2$Approximation on Hermite Spaces of Functions of InfinitelyMany Variables
 Henryk Wozniakowski: Tractability of Multivariate Approximation over Weighted Standard Sobolev Spaces

Uncertainty Quantification and Sensitivity Analysis in Computational Finance


 Sergei Kucherenko: Application of QMC and Global Sensitivity Analysis to Option Pricing and Greeks
 Emanouil Atanassov: Sensitivity Analysis of QuasiMonte Carlo methods for the Heston Model
 Giray Okten: Sensitivity and Robustness of Financial Models
 Alexender Kreinin: Sensitivities of Exotic Portfolios

MC in Finance


 Daniel Roth: Monte Carlo pathwise sensitivities for barrier options
 Warren VolkMakarewicz: Detecting the Presence of Jumps in Option Prices

Design and testing of random number generators


 Sebastiano Vigna: xoshiro/xoroshiro: new families of highquality, highspeed PRNGs
 Hiroshi Haramoto: Testing the Reliability of Statistical Tests for Pseudorandom Number Generators
 Pierre L’Ecuyer: On the Lattice Structure of MIXMAX Random Number Generators

Computational challenges in finance


 Christian Bayer: Smoothing the payoff for computation of basket options
 JeanFrançois Chassagneux: Cubature method to solve BSDEs: error expansion and complexity control
 Gilles Pagès: The Parareal Algorithm for American Options

Rare events


 Jere Koskela: Sequential Monte Carlo for efficient sampling of rare trajectories in reverse time
 Harsha Honnappa: Large Deviations of Gaussian Block Extrema
 Ad Ridder: Monte Carlo Methods for Insurance Risk Computation

Approximating Markov chain Monte Carlo


 Krzysztof Latuszynski: Barkerâ??s algorithm for Bayesian inference with intractable likelihoods
 Blazej Miasojedow: On a new approach of the Unadjusted Langevin Algorithm via convex optimization
 Nikolaus Schweizer: Approximation of geometrically ergodic MetropolisHastings algorithms
 Matti Vihola: Importance Sampling Type Estimators based on Approximate Marginal MCMC

Importance Splitting for Rare Event Simulation


 CharlesEdouard Brehier: New results concerning Adaptive Multilevel Splitting algorithms
 Gregoire Ferre: Numerical analysis and long time stability of FeynmanKac dynamics
 Nicolas Champagnat: Convergence of FlemingViot particle systems to the mininal quasistationary distribution
 Henri Louvin: Application of an importance splitting method to radiation shielding simulations

Dispersion and Applications


 Mario Ullrich: The inverse of the dispersion depends logarithmically on the dimension
 David Krieg: On the Dispersion of Sparse Grids
 Daniel Rudolf: Recovery algorithms for highdimensional rank one tensors
 Jan Vybiral: On further aspects of dispersion

When to stop a simulation


 Fred Hickernell: Fast Adaptive Bayesian Cubature Using Low Discrepancy Sampling
 Robert Kunsch: Solvable Integration Problems and Optimal Sample Size Selection
 Mark Huber: Improved Light Tailed Sample Averages for Robust Estimation of the Mean

Recent advances in particle filtering


 Mathieu Gerber: Interacting Particles for Online Inference on Static Parameters Using Streaming Data
 Anna Wigren: Improving the particle filter in high dimensions using conjugate artificial process noise
 Pierre Del Moral: On the stability and the uniform propagation of chaos properties of ensemble Kalman–Bucy filters
 Nicolas Chopin: Convergence of resampling algorithms

Nuclear applications


 Bert Mortier: Study of Source Term Estimators in Coupled FiniteVolume/MonteCarlo Methods for Plasma Edge Simulations in Nuclear Fusion
 Dmitry Savin: Monte Carlo simulation of multiple particle spectra with energy and momentum conservation
 Zhicheng Ji: A Batch on Patch Parallel Scheme in Monte Carlo Particle Transport Program
 Gang Li: High Precision Shielding Calculation For QinshanI Reactor Model With Monte Carlo Particle Transport Code JMC

Nonuniform Random Variate Generation (1)


 Josef Leydold: Optimal Importance Sampling Density 1: Approximation Methods
 Wolfgang Hormann: Optimal Importance Sampling Density 2: Evaluating CDF and PDF of the Sum of Lognormals
 Luca Martino: Parsimonious Adaptive Rejection Sampling Schemes
 Efraim Shmerling: Acceptance Tail Sampling Method

Nonuniform Random Variate Generation (2)


 Moran Peri: A Table Method for Sampling from Multivariate Distrbutions with Unbounded Support
 Yael Hagbi: Generation of Waiting Time in a Markovian Trial Sequence

Low discrepancy sequences and point sets – devoted to the 80th birthday of Henri Faure (1)


 Christiane Lemieux: Counting Points in Boxes with Henri Faure: From Discrepancy Bounds to Dependence Structures
 Peter Kritzer: Discrepancy Bounds for Nets and Sequences
 Takashi Goda: QuasiMonte Carlo integration over a triangle
 Florian Pausinger: On the intriguing search for good permutations

Low discrepancy sequences and point sets – devoted to the 80th birthday of Henri Faure (2)


 Gerhard Larcher: On discrepancy and pair correlation of sequences in the unit interval
 Josef Dick: Richardson Extrapolation of Polynomial Lattice Rules

Simulation of meanfield stochastic differential equations


 Mireille Bossy: Particle algorithm for McKean SDE: rate of convergence for some nonsmooth drift interaction kernel
 Denis Belomestny: Variance reduction for meanfield stochastic differential equations
 Lukasz Szpruch: Weak error expansion for meanfield SDEs
 Alexandre Zhou: Numerical Analysis of a Particle Calibration Procedure for Local and Stochastic Volatility Models

Analysis of lowdiscrepancy sequences


 Lisa Kaltenböck: On Bounded Remainder Sets for Sequences $(\{a_n\alpha\})_{n\geq 1}$ with $(a_n)_{n \geq 1}$ a Lacunary Integer Sequence
 Hiroki Kajiura: Characterization of Matrices B such that (I,B,B^2) Generates a Digital Net with tvalue Zero
 Wolfgang Stockinger : SOME NEGATIVE RESULTS RELATED TO POISSONIAN PAIR CORRELATION PROBLEMS
 Raffaelo Seri : The Asymptotic Distribution of Riesz’ Energy

Jittered sampling


 Benjamin Doerr: A Sharp Discrepancy Bound for Jittered Sampling
 Matasake Hirao: On pframe potential of random point configurations on the sphere

Improving MC and QMC integration


 Florian Puchhammer: Density estimation by randomized quasiMonte Carlo
 Yuji Nakatsukasa: Variance reduction in Monte Carlo integration via function approximation

Variance reduction/estimator efficiency/rareevent probability


 Nadhir Ben Rached: Variance Reduction Techniques for the Accurate Computation of the Distribution of the sum of Ordered Random Variables
 GuoJhen Wu: Infinite swapping using iid samples
 Thomas Taimre: Exploiting Asymptotics and Polar Coordinates for Rare Tail Estimation
 Fan Zhang: DataDriven Distributionally Robust Optimization via Optimal Transport: Algorithms and Applications

Efficient Sampling


 Benjamin Jourdain: Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems
 Daniele Bigoni: Adaptive Construction of Transport Maps for Efficient Sampling
 Andrés F. LópezLopera: Efficiently approximating Gaussian Process Emulators with Inequality Constraints using MC/MCMC

Stochastic Differential Equations


 Ankush Agarwal: FINITE VARIANCE UNBIASED ESTIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS
 Przemyslaw Zielinski: Micromacro acceleration method with relative entropy moment matching for scaleseparated SDEs
 Andreas Petersson: Rapid covariance based sampling of finite element approximations of linear SPDE in MLMC

Sequential methods and efficiency


 Andrea Arnold: Sequential Monte Carlo Methods for TimeVarying Parameter Estimation
 Chris Drovandi: New Insights into History Matching via Sequential Monte Carlo
 Victor Elvira: Rethinking the Effective Sample Size in Importance Sampling

Monte Carlo in physics (1)


 Matthias Baeten: Convergence Analysis of a Coupled MonteCarlo/PseudoTimestepping Scheme Arising in Plasma Edge Simulation
 DanHua ShangGuan: Efficient Strategy for Global Tallying in the Monte Carlo Criticality Calculation
 Natalya Tracheva: Monte Carlo method projective estimators for angular and temporal characteristics evaluation of polarized radiation

Monte Carlo in physics (2)


 Naser Vosughi: NEUTRON SOURCE LOCALIZATION BY ANALYZING THE DETECTOR RESPONSES AND MARKOV CHAIN MONTE CARLO (MCMC) METHOD
 Anna Korda: MonteCarlo methods for reconstructing the aerosol scattering matrix
 Mariya Korotchenko: Some Applications of Dynamics Simulation for MultiParticle Systems in the Kinetic Model Framework

o MCQMC in Computer Graphics


 Nikolaus Binder: Fragmented Radix Trees for Efficient Sampling of Discrete Probability Distributions
 Christophe Hery: On the Usage of Control Variates for Monte Carlo Direct Illumination in Movie Rendering
 Wenzel Jacob: Reversible Jump Metropolis Light Transport using Inverse Mappings

Monte Carlo for rare events


 Javiera Barrera: Sharp Bounds for the Reliability of a koutofn System Under Dependent Failures Using Cutoff Phenomenon Techniques
 Gerardo Rubino: The MultiLevel Creation Process in Flow Network Reliability Estimation
 Hector Cancela: Studying Metabolic Networks Through Monte Carlo Simulations
 Ajit Rai: Availability Estimation of Markovian Reliability Systems with Logistics via CrossEntropy

QMC and quadrature strategies for integration


 Pieterjan Robbe: A Multigrid Multilevel QuasiMonte Carlo Method with Sample Reuse
 Lutz Kammerer Combining Multiple Rank1 Lattice Rules for Approximation
 Mutsuo Saito: Experimental Comparison of HigherOrder Digital Nets for QMC
 Matthias Sachs: Quadrature Points via Heat Kernel Repulsion

MCMC : Model selection and convergence


 Faming Liang: Average (E)BIClike Criteria for Bayesian Model Selection
 Georgy Sofronov: Spatial Segmentation via the Generalized Gibbs Sampler
 Dootika Vats: MCMC for Bayesian penalized regression
 Marie Vialaret: On the convergence time of some nonreversible Markov chain MonteCarlo methods

Handling Discontinuities in QMC with Applications to Computational Finance


 Xiaoqun Wang: OVERCOMING THE CHALLENGES IN QMC METHODS FOR COMPUTATIONAL FINANCE
 Fei Xie: AN IMPORTANCE SAMPLINGBASED SMOOTHING APPROACH FOR QUASIMONTE CARLO SIMULATION OF
DISCRETE BARRIER OPTIONS  Zhijian He: ON THE ERROR RATE OF CONDITIONAL QUASIMONTE CARLO FOR DISCONTINUOUS FUNCTIONS

SDE, solutions and convergence rate


 Abir Ghannoum : Mean Reflected Stochastic Differential Equations with jumps : Simulation by using Particle System
 Flavius Guias: High precision solvers for autonomous systems of differential equations based on Markov jump processes
 Céline Labart : Approximation rate of BSDEs using random walk

Applications of MC

 Lingbin Bian; Network structure change point detection using randomizethenoptimize
 Julien Roussel: A Perturbative Approach to Control Variates in Molecular Dynamics
 ChiOk Hwang: Laplace Surface Green’s Function on a Spherical Surface for Lastpassage Monte Carlo Methods