Bulgarian Academy of Sciences

Eighth IMACS Seminar on Monte Carlo Methods

August 29 – September 2, 2011,
Borovets, Bulgaria


Invited speakers
Scientific program
Special sessions
Conference fee
Important dates

Scientific program

The conference will include invited lectures (50 minutes), keynote lectures (30 minutes), and contributed talks (30 minutes).

The scientific program of the Eighth IMACS Seminar on Monte Carlo Methods 2011  is available here.

List of talks

Invited plenary talks

Thomas Müller-Gronbach
Weak Approximation of Stochastic Differential Equations slides
Karl Sabelfeld Stochastic Boundary Method of Fundamental Solutions and
Application to Exciton Transport in Nanowires
Pierre L'Ecuyer Approximate Zero-Variance Simulation in Rare Event Settings slides
Stefan Heinrich Randomized approximation and solution of elliptic PDEs

Special session on Stochastic Computation and Complexity of High Dimensional Problems

Paweł Przybyłowicz                                     Optimal Approximation of the Solutions of the Stochastic Differential Equations with Irregular Coefficients slides
Michael Gnewuch A Randomized Algorithm to Approximate the Star Discrepancy Based on Threshold Accepting                                        slides
Mario Ullrich              Swendsen-Wang beats Heat-Bath slides
Michael Giles                     Numerical Analysis Of Multilevel Milstein Scheme Without Levy Areas            slides
Peter Kritzer                                      On the Step-by-step Construction of Polynomial Lattices for Numerical Integration in Weighted Sobolev Spaces  slides
Sylvestre Burgos               
Numerical Analysis of Multilevel Monte Carlo Greeks            slides
Gunther Leobacher                
Fast Orthogonal Transforms and Generation of Brownian Paths slides
Daniel Henkel              Optimal Pointwise Approximation of Stochastic Heat Equations with Additive Noise   slides
Anni Toivola                       Approximating Stochastic Integrals in Lp  slides
Christel Geiss Approximation of Backward Stochastic Differential Equations Driven by Levy Noise       slides
Thomas Daun                         Monte Carlo Algorithms for Parameter Dependent Integration Problems slides
Yuan Xia                   Numerical Analysis of Multilevel Monte Carlo for Scalar Jump-diffusion SDEs      slides
Mikolaj Roj                              Multi-level Monte Carlo Simulations of Mean Exit Times          slides
Steffen Dereich Estimation of Delta-Gamma Sensitivities based on the Bismut-Elworthy-Li formula    slides
Henryk Woźniakowski            The Randomized Setting for Linear Multivariate Problems Defined over L2  slides
Lukasz Szpruch                                      
Strong Convergence and Stability of Numerical Methods for Non-Linear SDEs with Applications to MLMC Simulation of Financial Models  slides
Stefan Geiss              Does fractional smoothness depend on a drift? slides
Nicolas Döhring  Besov Regularity and Approximation of a Certain Class of Random Functions           slides
Felix Heidenreich Multilevel Monte Carlo for Levy Driven SDEs

Special session on Sensitivity Analysis

Miguel Munoz Zuniga
Metamodelling with a Dependent Input Vector: Comparison of Two Approaches slides
Sergei Kucherenko Comparison of Latin Hypercube and Quasi Monte Carlo Sampling Techniques slides
William Becker A Comparison of Two Sampling Methods for Global Sensitivity Analysis slides
Dirk-Alexander Becker Application of Monte-Carlo-Based Sensitivity Analysis to Long-Term Performance Assessment Models for Final Repositories slides
Rayna Georgieva Sensitivity Analysis of Compact Models in Nanodevice Modeling slides
Tzvetan Ostromsky Sensitivity Analysis Study of a Large-scale Air Pollution Model - Computational Problems and High-performance Solutions

Special session on High-performance Computations for Monte Carlo Applications

Hidemaro Suwa

Geometric Allocation Approach for Transition Kernel of Markov Chain slides
Hongmei chi

Exploitation of Sensitivity Derivatives via Scrambled Kronecker Sequences

Simulation of Firefly Synchrony using Two Dimensional Cellular Automata

Michael Mascagni
An Efficient Multithreaded Implementation of a Reproducible Parallel Random Number Generator Using OpenMP
Dusan Vudragovic  Extensions of the SPEEDUP Path Integral Monte Carlo Code slides
Abdujabar Rasulov
Application Variance Reduction Techniques to Pricing Weather Derivatives
Aneta Karaivanova
Message Oriented Framework for Efficient Use of HPC Resources slides
Paula Whitlock
Employing Multiple GPU Devices over a Network to Investigate Multi-dimensional Mixtures of Hard Hyperspheres using MPI and CUDA slides
Emanouil Atanassov Efficient Implementation of Heston Model using GPGPU

Special session on Stochastic Metaheuristics for Optimization Problems

Vassia Atanassova Generalized Nets, ACO-algorithms and Genetic Algorithms slides
Olympia Roeva

A Comparison of Simulated Annealing and Genetic Algorithm Approaches for Cultivation Model Identification slides
Maria Angelova Improvement of Multi-population Genetic Algorithms Convergence Time slides
Krassimir Atanassov
On a Game-Method for Modelling with Intuitionistic Fuzzy Estimations. Part 2 slides
Carlos Cotta Porras The Template Design Problem: A Perspective with Metaheuristics slides
Stefka Fidanova  Wireless Sensor Network Layout slides

Special session on Sequential Monte Carlo Methods for Large-scale Problems

Avishy Carmi Sequential MCMC Particle Algorithms for Discrete-Time Nonlinear Filtering slides
Nikolay Petrov Group Object Tracking with Sequential Monte Carlo Methods Based on a Parameterised Likelihood Function slides
Dimitri Kanevsky Convexization in Markov Chain Monte Carlo slides

Special session on Semiconductor Devices and Nanostructures

Lado Filipovic A Two-Dimensional Lorentzian Distribution for an Atomic Force Microscopy Simulator slides
Xiaoyan Liu 3D Parallel Full Band Ensemble Monte Carlo Devices Simulation for Nano Scale Devices Application
Gang Du A Poisson-Schrödinger Equation Coupled Monte Carlo Method to Investigate Spin Transports in SpinFET
Asen Asenov  Advanced Statistical Strategy for Generation of Non-Normally Distributed PSP Compact Model Parameters and Statistical Circuit Simulation slides
Hans Kosina Monte Carlo Simulation of Electron Transport in Quantum Cascade Lasers slides
Philipp Schwaha  Monte Carlo Investigations of Electron Decoherence due to Phonons slides

Contributed talks

Mariya Korotchenko

Value Simulation of the Interacting Pair Number for Solution of the Monodisperse Coagulation Equation slides
Aleksandr Burmistrov Monte Carlo Simulation of Vehicular Traffic Flow for Kinetic Model with Distance Oriented Interactions
Andrea Zoia Collision Number Statistics for Transport Processes

Eric Dumonteil Collision Densities and Mean Residence Times for d-dimensional Exponential Flights

Christian Lécot Stratified Monte Carlo Integration
Jordan Genoff
Stochastic Sliding Windows for Sequential Data Mining

Wolfgang Ch. Schmid
Distribution Properties of Generalized van der Corput Sequences
Florian Pausinger
On the Asymptotics of a Lower Bound for the Diaphony of Generalized van der Corput Sequences in Arbitrary Base b
Ilya Medvedev
The Efficiency Study of Splitting and Branching in Monte Carlo Method
Krassimir Georgiev
The PRACE Project and Using the High Performance Computing for Large Monte Carlo Simulations
Nina Dobrinkova
Game-Method Model and WRF-Fire Model Working Together
Fabian Bastin
Bias Evaluation and Reduction for Sample-path Optimization slides
Tigran Nagapetyan Monte Carlo Simulations of Assymetric Flow Field Flow Fraction slides
Vitaliy Lukinov
Monte Carlo Methods Based on Analytic Extension of the Resolvent of the Helmholtz Equation
Paula Whitlock
Parallelization of Algorithms to Solve a Three-dimensional Sudoku Puzzle
Koen Poppe Normally Distributed Quasi-Random Samples Combining Box -Muller and Lattice Rules
Zdravko Botev
Semi-parametric Importance Sampling for Rare-event Probability Estimation
Ivan Dimov
A Monte Carlo Method Based on Sobol’s  Sequences

The official conference language is English.

The purpose of the seminar is to provide a forum for the presentation of recent advances in the analysis, implementation and applications of Monte Carlo methods and, in particular to stimulate the exchange of information between specialists in these areas.

The topics of the conference cover both, theoretical developments such as
  • simulation of random numbers, processes and fields,

  • integration and integral equations,

  • PDEs and SDEs,

  • MC error analysis, variance reduction,

  • quasi-MC methods,

and application fields like:

  • diffusion, and particle transport,

  • reliability and sensitivity analysis,

  • statistical physics and quantum mechanics,

  • chemical kinetics,

  • turbulence,

  • vision applications,

  • applications in biology and medicine,

  • applied mathematical finance


Last updated:
November 21, 2011