Tinbergen Institute Amsterdam - Room 1.01Netherlands

RESIM 2014 was the 10th workshop in a series of successful events held on the topic. It covered all aspects of rare event simulation ranging from purely theoretical developments to practical applications. The objective is to provide a forum for researchers and practitioners working in different locations and on different applications to present recent results, exchange ideas, and discuss open problems and new directions.

Workshop Topics

RESIM 2014 solicited talks on rare event simulation methodologies and applications, including (but not limited to) the following list of topics

Methodologies

  • Importance Sampling
  • RESTART/Splitting
  • Stratified Sampling
  • Cross-Entropy Method
  • Large Deviations Theory
  • MCMC Techniques
  • Extreme Value Theory
  • Interacting Particles
  • Hybrid Analytic/Simulation Techniques
  • Other Novel Approaches
Applications and Models

  • Queueing Models
  • Reliability Models
  • Finance Engineering
  • Insurance Risk
  • Computer Networks
  • Internet Applications
  • Distributed Systems
  • Telecommunications
  • Traffic Handling
  • Other relevant areas

 

SPECIAL SESSIONS AND INVITED SPEAKERS

We specially invite contributions for the following sessions:

 

1. A tribute to Reuven Rubinstein: Reuven Rubinstein and the Pursuit of Black Swans
This is a special session in memory of Reuven Rubinstein who was an active and stimulating participant of many RESIMs.
In this session Dirk Kroese (The University of Queensland, Australia)  will give an invited talk.
Please find the abstract here

2. Talks on rare events for financial systems: Systemic risk and rare events in large financial networks
In this session Konstantinos Spiliopoulos (Boston University, United States) will give an invited talk.
Please find the abstract here

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3. Integrating Periodic Boundary Condition with Interacting Particle System for the Estimation of Collision
Risk in a Large Scale Air Traffic Scenario
Henk Blom (National Aerospace Laboratory NLR, Amsterdam, and Delft University of Technology)
Please find the abstract here.

4. When normality is a problem: The cross entropy method for evaluating the cumulative distribution function of the multivariate normal distribution
Zravko Botev (University of New South Wales, Australia)
Please find the abstract here.

5. Rare Events Analysis for High-Frequency Equity Data
Dragos Bozdog (Stevens Institute of Technology, United States)
Please find the abstract here.

6. Central Limit Theorem for adaptive splitting
Frederic Cerou ( Inria Rennes Bretagne Atlantique, France)
Please find the abstract here.

7. Rare event simulation for stochastic fixed point equations related to the smoothing transform.
Jeffrey Collamore (University of Copenhagen, Denmark)
Please find abstract here.

8. Looking back on 10 RESIM workshops
Pieter-Tjerk de Boer (University of Twente)
Please find abstract here.

9. Rényi relative entropy and robustness in rare event estimation
IPaul Dupuis (Brown University, United States)
Please find abstract here.

10. Rare event simulation in immune biology: Models of negative selection in T-cell maturation
Corinna Ernst (University of Duisburg-Essen, Germany)
Please find abstract here.

11. Markov chain Monte Carlo for rare-event simulation for stochastic recurrence equations with heavy-tailed innovations
Thorbjörn Gudmundsson (KTH Royal Institute of Technology, Sweden)
Please find abstract here.

12. Min-max representations of viscosity solutions of Hamilton-Jacobi equations and applications in rare-event simulation
Henrik Hult (KTH Royal Institute of Technology, Sweden)
Please find abstract here.

13. Importance Sampling Based on Moderate Deviations
Dane Johnson (Brown University, United States)
Please find abstract here.

14. RESTART Simulation of Repairable Consecutive k-Within-m-Out-of-n:F systems
José Villén Altamirano (Technical University of Madrid, Spain)
Please find abstract here.

15. The Flexible Rare Event Sampling Harness System (FRESHS)
Kai Kratzer (Institute for Computational Physics, University of Stuttgart, Germany)
Please find abstract here.

16. Convergence of a Two–Step Adaptive Multilevel Splitting Algorithm
Francois Le Gland (INRIA Rennes, France)
Please find abstract here.

17. A shaking transformation and two related methods for rare event probability estimation
Gang Liu (Ecole Pytechnique, France)
Please find abstract here.

18. Robust Extreme Quantile Estimation
Karthyek Murthy (Tata Institute of Fundamental Resarch, India)
Please find abstract here.

19. New concept of importance in RESTART simulations
Manuel Villen-Altaminaro (University of Malaga, Spain)
Please find abstract here.

20. On-line Estimation by Importance Sampling for the Tail Probability of FIFO Queue Length
Kenji Nakagawa (Nagaoka University of Technology, Japan)
Please find abstract here.

21. Constructing Confidence Intervals For a Quantile When Applying Latin Hypercube Sampling
Marvin K. Nakayama (New Jersey Institute of Technology, United States)
Please find abstract here.

22. Efficient importance sampling to assess the risk of voltage collapse in power systems
Johan Nykvist (KTH Royal Institute of Technology, Sweden)
Please find abstract here.

23. Efficient importance sampling for a credit risk model
Pierre Nyquist (KTH Royal Institute of Technology, Sweden)
Please find abstract here.

24. Automated Rare Event Simulation for Stochastic Petri Nets
Daniël Reijsbergen (University of Twente)
Please find abstract here.

25. A rare event simulation approach for the approximation of the Laplace transforms of the lognormal distribution
Leonardo Rojas-Nandayapa (University of Queensland, Australia)
Please find abstract here.

26. On the robustness of Fishman’s bound-based method for the network reliability problem
Bruno Tuffin (INRIA Rennes, France)
Please find abstract here.

27. Rare Event Simulations for Critical Branching Processes in Fixed and Random Environments
Anand N. Vidyashankar (George Mason University, United States)
Please find abstract here.

28. A splitting technique to estimate power grid reliability indices
Wander Wadman (CWI Amsterdam)
Please find abstract here.

B. Registration: Please find the registration form in the left sidebar.

The registration fee for RESIM 2014 is 350 euro. The registration fee covers coffee breaks, the conference dinner, the social activity, and the workshop compendium. The deadline for payment of the registration fee for RESIM 2014 is June 1, 2014.  Send an email to resim.amsterdam.2014@gmail.com indicating who made the payment (helping our internal organization).

Payment instructions:
Account name: Stichting Vu-VuMC Amsterdam
Name bank: Deutsche Bank
Account no: 48.78.48.403
BIC DEUTNL2N
IBAN NL81DEUT0487848403
Refer: RESIM2014 and your name

 

C. Hotel informatie: Please find more information about accommodation in the left sidebar.

 

Submissions is closed

Indicate your interest in presenting a paper by submitting a title and an abstract by May 20, 2014 by email to:

 resim.amsterdam.2014@gmail.com

Notification of acceptance will be sent to the authors not later than May 15, 2014. At least one author of each accepted paper is expected to participate in the workshop. A workshop compendium will be prepared ahead of the workshop. All materials that should be included in the compendium (short or full paper, or abstract supplemented by viewgraphs; maximum 12 pages) are due by August 1, 2014.

Important Dates

  • Deadline for submissions: May 20, 2014
  • Notification of acceptance: May 25, 2014
  • Deadline Registration: June 20, 2014
  • Final paper submission: August 1, 2014

Organization

General Chair

Ad Ridder, VU University Amsterdam
Contact details: ad.ridder@vu.nl

Program Chair

Michel Mandjes, University of Amsterdam

Steering Committee

  • Pieter-Tjerk de Boer, University of Twente, The Netherlands
  • Paul Dupuis, Brown University, USA
  • Peter W. Glynn, Stanford University, USA
  • Carmelita Gorg, University of Bremen, Germany
  • Poul E. Heegaard, Norwegian University of Science and Technology, Norway
  • Janos Levendovszky, Budapest University of Technology and Economics, Hungary
  • Victor F. Nicola, University of Twente, The Netherlands
  • Michele Pagano, University of Pisa, Italy
  • Gerardo Rubino, INRIA Rennes, France
  • Werner Sandmann, University of Derby, UK
  • Bruno Tuffin, INRIA Rennes, France
  • Jose Villen-Altamirano, Technical University of Madrid, Spain
  • Manuel Villen-Altamirano, Technical University of Madrid, Spain

Local Organization

Christina Månsson Carvalho, Tinbergen Institute Amsterdam
Please find contact details here.