Program

An updated version of the book of abstracts, included cancelled talks, is available at

http://www.irisa.fr/dionysos/pages_perso/tuffin/Program-MCQMC2018 -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

14h-15h30: Alexander Keller

15h30-16h: coffee break

16h-17h30: Gerardo Rubino

Monday, July, 2

8h20-8h30: Opening

8h30-9h30: Plenary talk, Christophe Andrieu

9h30-10h: Coffee break

10h-12h: Parallel sessions

12h-13h45: Lunch break (on your own)

13h45-14h45: Plenary talk, Christoph Schwab

14h45-15h45: Parallel sessions

15h45-16h15: Coffee break

16h15-17h45: Parallel sessions

18h30: Welcome reception (City Hall)

Tuesday, July, 3

8h30-9h30: Plenary talk, Barry Nelson

9h30-10h: Coffee break

10h-12h: Parallel sessions

12h-13h45: Lunch break (on your own)

13h45-14h45: Plenary talk, Pierre Henry Labordère

14h45-15h45: Parallel sessions

15h45-16h15: Coffee break

16h15-17h45: Parallel sessions

18h30: Wine & Cheese (location: Bar L’Aventure)

Wednesday, July, 4

8h30-9h30: Plenary talk, Eric Moulines

9h30-10h: Coffee break

10h-12h: Parallel sessions

12h-13h45: Lunch break (on your own)

13h45-15h45: Parallel sessions

16h: Guided visit of Rennes

19h: Banquet at “Chateau d’Apigné

Thursday, July, 5

8h25-8h30: Journal of Computing Young Researcher Award 2018

8h30-9h30: Plenary talk, Friedrich Pillichshammer 

9h30-10h: Coffee break

10h-12h: Parallel sessions

12h-13h45: Lunch break (on your own)

13h45-14h45: Plenary talk, Clémentine Prieur

14h45-15h45: Parallel sessions

15h45-16h15: Coffee break

16h15-17h45: Parallel sessions

 

Friday, July, 6

8h30-9h30: Plenary talk, Marvin Nakayama

9h30-10h: Coffee break

10h-12h: Parallel sessions

12h-13h45: Lunch break (on your own)

13h45-15h15: Parallel sessions

15h15:  Goodbye coffee

 

Sessions Description:

Numerical approximation of SDEs under non-standard assumptions (1)

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

Numerical approximation of SDEs under non-standard assumptions (2)

      • Mario Hefter: Lower Error Bounds for Strong Approximation of Scalar SDEs with non-Lipschitzian Coefficients.   Slides: rennes_talk_hefter
      • Mike Giles: Multilevel Monte Carlo Method for Ergodic SDEs without Contractivity.   Slides: Giles
      • Dai Taguchi: Semi-implicit Euler-Maruyama scheme for non-colliding particle systems
      • Sotirios Sabanis: MCMC algorithms based on numerical approximations of SDEs with locally Lipschitz coefficients

Non-Reversible Markov Chain Monte Carlo (1)

      • Joris Bierkens: Reflections on the bouncy particle sampler and Zig-Zag sampler

      • Alex Thiery: Discrete-Time Bouncy Particle Samplers and Generalisations
      • Alain Durmus: On the convergence of Hamiltonian Monte Carlo
      • Arnak Dalalyan: User-friendly guarantees for the Langevin Monte Carlo. Slides: 2018_Dalalyan_MCQMC

Non-Reversible Markov Chain Monte Carlo (2)

      • Christian Robert: Generalized Bouncy Particle Sampler. Slides: CoordinateSamplerRobert
      • Pierre Monmarché: Geometric ergodicity for the Bouncy Particle Sampler.  Slides: mcqmc2018_Monmarche
      • Chris Sherlock: Explicit, non-reversible, contour-hugging 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 Non-periodic Subspaces of Sobolev Spaces
      • Ralph Kritzinger: Haar Analysis of Digital Nets and Sequences
      • Dirk Nuyens: Lattice rules with random number of points and near $O(n^{-\alpha-1/2})$ convergence

QMC and applications

Stochastic Computation and Complexity (1)

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 quasi-Banach spaces: what Besov regularity does the stochastic heat equation posess?.  Slides: Cox_UvA_BesovMCQMC2018 kovacs
      • Mihaly Kovacz: Weak and strong approximation of fractional order elliptic equations with spatial white noise.  Slides:

Stochastic Computation and Complexity (3)

      • Alvin Tse: Multilevel Monte Carlo for McKean-Vlasov 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)

Forward and inverse UQ with hierarchical models (2)

Forward and inverse UQ with hierarchical models (3)

      • Matteo Croci: Efficient white noise sampling and coupling for multilevel Monte Carlo.    Slides :mcqmc18-Croci
      • Lukas Mayer: Multilevel Monte Carlo for the Quadrature of SDEs Based on Random Bits
      • Soeren Wolfers: Multilevel weighted least squares polynomial approximation.  Slides: mcqmc_wolfers
      • Andreas Stein: An adaptive Multilevel Monte Carlo algorithm for advection-diffusion PDEs with random discontinuous coefficients

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

      • Chieh-Han Lee: A DATA FUSION APPROACH FOR SPATIO-TEMPORAL PM2.5 ESTIMATION WITH QMC METHOD
      • Werner Roemisch: Randomized QMC methods for two-stage stochastic optimization problems: Recent progress
      • Naser Vosoughi: Neutron Source Localization by Analyzing the Detector responses and Markov Chain Monte Carlo (MCMC) Method

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

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)

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.  Slides: MCQMC18_Ebert
      • Michael_Gnewuch: Probabilistic discrepancy bounds for Latin hypercube sampling with and without padding

Practice of QMC methods (2)

      • Yuya Suzuki: Rank-1 lattices and higher-order exponential splitting for the multi-dimensional time-dependent Schrodinger equation
      • Ana I. Gomez: Generation of True Random Numbers using quasi-Monte Carlo Methods.  Slides: MCMQ_Gomez

Acceleration of MCMC

Multilevel Monte Carlo methods

      • Emil Løvbak: Multilevel Monte Carlo for Asymptotic-Preserving Particle Schemes
      • Andreas Van Barel: Robust Optimization of PDE Constrained Systems

Feynman-Kac

      • Arnaud Lionnet: The Numerical Approximation Of Polynomial-Growth Backward Stochastic Differential Equations
      • Marie BILLAUD FRIESS: Stochastic methods for solving partial differential equations in high dimension.   Slides: mbfriess

Rare event simulation

Simulation in finance and operation management

      • 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 Short-Period Tausworthe Generators for Markov Chain quasi-Monte Carlo Method
      • Tobias Schwedes: Adaptive Importance Sampling for Markov Chain Quasi-Monte Carlo
      • Rami El Haddad: Sudoku Sampling For Markov Chains Simulation

MCMC and large size

Algorithms for High-Dimensional Approximation (and Integration) Problems

      • Yuhan Ding: An Optimal Automatic Algorithm Employing Continuous Linear Functionals.    Slides: MCQMC18Ding
      • 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 Infinitely-Many Variables
      • Henryk Wozniakowski: Tractability of Multivariate Approximation over Weighted Standard Sobolev Spaces.   Slides: Wozniakowski

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 Quasi-Monte Carlo methods for the Heston Model.   Slides: Atanassov_MCQMC2018
      • Giray Okten: Sensitivity and Robustness of Financial Models.  Slides: MCQMC-Okten
      • Alexender Kreinin: Sensitivities of Exotic Portfolios

MC in Finance

Design and testing of random number generators

      • Sebastiano Vigna: xoshiro/xoroshiro: new families of high-quality, high-speed PRNGs
      • Hiroshi Haramoto: Testing the Reliability of Statistical Tests for Pseudorandom Number Generators.   Slides: haramoto-mcqmc2018
      • Pierre L’Ecuyer: On the Lattice Structure of MIXMAX Random Number Generators.   Slides: mixmax-mcqmc18

Computational challenges in finance

      • Christian Bayer: Smoothing the payoff for computation of basket options
      • Jean-François Chassagneux: Cubature method to solve BSDEs: error expansion and complexity control
      • Gilles Pagès: The Parareal Algorithm for American Options.  Slides: GilPagesMCQMC18

Rare events

      • Jere Koskela: Sequential Monte Carlo for efficient sampling of rare trajectories in reverse time.  Slides: koskela_mcqmc18
      • Ad Ridder: Monte Carlo Methods for Insurance Risk Computation.   Slides: ridder

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 Metropolis-Hastings algorithms
      • Matti Vihola: Importance Sampling Type Estimators based on Approximate Marginal MCMC

Importance Splitting for Rare Event Simulation

Dispersion and Applications

      • Mario Ullrich: The inverse of the dispersion depends logarithmically on the dimension.   Slides: M-Ullrich_Dispersion_MCQMC18
      • David Krieg: On the Dispersion of Sparse Grids.   Slides: presentation_krieg
      • Daniel Rudolf: Recovery algorithms for high-dimensional rank one tensors
      • Jan Vybiral: On further aspects of dispersion.    Slides: Vybiral_talk

When to stop a simulation

Recent advances in particle filtering

Nuclear applications

      • Bert Mortier: Study of Source Term Estimators in Coupled Finite-Volume/Monte-Carlo Methods for Plasma Edge Simulations in Nuclear Fusion
      • Dmitry Savin: Monte Carlo simulation of multiple particle spectra with energy and momentum conservation.   Slides: SavinMCQMC2018
      • Zhicheng Ji: A Batch on Patch Parallel Scheme in Monte Carlo Particle Transport Program
      • Gang Li: High Precision Shielding Calculation For Qinshan-I Reactor Model With Monte Carlo Particle Transport Code JMC

Non-uniform Random Variate Generation (1)

Non-uniform 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.    Slides: mcqmc18Lemieux
      • Peter Kritzer: Discrepancy Bounds for Nets and Sequences.  Slides: Talk_Kritzer
      • Takashi Goda: Quasi-Monte Carlo integration over a triangle.   Slides: Goda_MCQMC2018
      • 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.  Slides: Rennes_Larcher
      • Josef Dick: Richardson Extrapolation of Polynomial Lattice Rules.     Slides: Dick_MCQM18v2

Simulation of mean-field stochastic differential equations

      • Mireille Bossy: Particle algorithm for McKean SDE: rate of convergence  for some non-smooth drift interaction  kernel
      • Denis Belomestny: Variance reduction for mean-field stochastic differential equations
      • Lukasz Szpruch: Weak error expansion for mean-field SDEs
      • Alexandre Zhou: Numerical Analysis of a Particle Calibration Procedure for Local and Stochastic Volatility Models.  Slides: MCQMC_AlexandreZHOU

Analysis of low-discrepancy 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.   Slides: Kaltenbo?ck
      • Hiroki Kajiura: Characterization of Matrices B such that (I,B,B^2) Generates a Digital Net with t-value 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 p-frame potential of random point configurations on the sphere.   Slides: hirao_mcqmc2018

Improving MC and QMC integration

      • Florian Puchhammer: Density estimation by randomized quasi-Monte Carlo.  Slides: puchhammer_density_estimation_RQMC
      • Yuji Nakatsukasa: Variance reduction in Monte Carlo integration via function approximation

Variance reduction/estimator efficiency/rare-event probability

      • Nadhir Ben Rached: Variance Reduction Techniques for the Accurate Computation of the Distribution of the sum of Ordered Random Variables
      • Guo-Jhen Wu: Infinite swapping using iid samples.  Slides: MCQMCTalkWU
      • Thomas Taimre: Exploiting Asymptotics and Polar Coordinates for Rare Tail Estimation
      • Fan Zhang: Data-Driven Distributionally Robust Optimization via Optimal Transport: Algorithms and Applications

Efficient Sampling

Stochastic Differential Equations

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

Sequential methods and efficiency

Monte Carlo in physics (1)

Monte Carlo in physics (2)

  •  Anna Korda: Monte-Carlo methods for reconstructing the aerosol scattering matrix
      • Mariya Korotchenko: Some Applications of Dynamics Simulation for Multi-Particle Systems in the Kinetic Model Framework

o MCQMC in Computer Graphics

Monte Carlo for rare events

QMC and quadrature strategies for integration

      • Pieterjan Robbe: A Multigrid Multilevel Quasi-Monte Carlo Method with Sample Reuse.   Slides: Robbe
      • Lutz Kammerer Combining Multiple Rank-1 Lattice Rules for Approximation
      • Mutsuo Saito: Experimental Comparison of Higher-Order Digital Nets for QMC
      • Matthias Sachs: Quadrature Points via Heat Kernel Repulsion

MCMC : Model selection and convergence

      • Faming Liang: Average (E)BIC-like 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 non-reversible Markov chain Monte-Carlo methods.   Slides: Vialaret

Handling Discontinuities in QMC with Applications to Computational Finance

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

SDE, solutions and convergence rate

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

Applications of MC

    • Lingbin Bian: Network structure change point detection by posterior predictive discrepancy
    • Julien Roussel: A Perturbative Approach to Control Variates in Molecular Dynamics
    • Chi-Ok Hwang: Laplace Surface Green’s Function on a Spherical Surface for Last-passage Monte Carlo Methods.    Slides: LastPassage_Hwang