MCQMC 2012

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Presentation Slides

Plenary Lectures


Open Forum

  • Fred J. Hickernell (Illinois Institute of Technology, USA)
    Opportunities and challenges for massively parallel Monte Carlo

Special Sessions


Adaptive MCMC: Theory, Algorithms, and Applications

Organized by Scott Schmidler (Duke University, USA)

  • Scott Schmidler (Duke University, USA)
    Combining exploration and exploitation strategies in adaptive MCMC

  • Pierre Jacob (Université Paris Dauphine, France)
    Properties of the stochastic approximation schedule in the Wang-Landau algorithm

  • Faming Liang (Texas A&M University, USA)
    Stochastic approximation Monte Carlo for high dimensional generalized linear models and related asymptotics

  • Ido Nevat (CSIRO, Australia)
    Model selection in wireless communications via Contour Monte Carlo and Trans-dimensional MCMC incorporating stochastic approximation


Advances in MCMC and SMC Methods: Solutions for Complex Ecological Problems

Organized by Keith Hayes and Geoff Hosack (CSIRO Mathematical and Information Sciences, Australia)


Advances in MCMC Methodology

Organized by Yanan Fan (University of New South Wales, Australia)

  • Jonathan Keith (Monash University, Australia)
    Bayesian approaches to the design of Markov chain Monte Carlo samplers

  • Jean-Luc Dortet-Bernadet (Université de Strasbourg, France)
    Quantile regression via auxiliary variables

  • James Flegal (University of California, Riverside, USA)
    Exact sampling for intractable probability distributions via a Bernoulli factory

  • Edward Cripps (University of Western Australia, Australia)
    A time-varying mixture of random effects model for individual’s learning behaviour


Approximate Bayesian Computation (ABC) and Likelihood-Free Inference

Organized by Scott Sisson (University of New South Wales, Australia)


Computational Finance (I & II)

Organized by Mark Joshi (University of Melbourne, Australia) and Dirk Nuyens (K.U.Leuven, Belgium)

  • Mark Joshi (University of Melbourne, Australia)
    Algorithmic Hessians and the fast computation of cross-gamma risk (cancelled due to illness)

  • Jan Baldeaux (University of Technology Sydney, Australia)
    Exact Simulation of the 3/2 Model

  • Nico Achtsis (K.U.Leuven, Belgium)
    Covariance matrix decompositions

  • Gunther Leobacher (University of Linz, Austria)
    Fast orthogonal transforms and generation of Brownian paths

  • Dale Roberts (Australian National University, Australia)
    QMC for stochastic volatility models

  • Tomáš Tichy (Technical University of Ostrava, Czech Republic)
    Option pricing by simulation of fuzzy-random variables

  • Timothy Ling (University of Technology Sydney, Australia)
    On simulation of some functionals of fractional Brownian motion

  • Kyle Matoba (University of California, Los Angeles, USA)
    Figure of merit efficient QMC pointsets for computational finance


Computational SPDEs

Organized by Fred Hickernell (Illinois Institute of Technology, USA) and Klaus Ritter (University of Kaiserslautern, Germany)


Explicit Error Bounds for Markov Chain Monte Carlo

Organized by Daniel Rudolf (University of Jena, Germany)


Fast Computational Methods for Large Scale Bayesian Inference

Organized by Kerrie Mengersen (Queensland University of Technology, Australia)

  • Christopher Strickland (Queensland University of Technology, Australia)
    Bayesian MCMC analysis using Python

  • Zdravko Botev (University of New South Wales, Australia)
    An importance sampling method for marginal likelihood estimation

  • John Ormerod (University of Sydney, Australia)
    Variational approximations for Bayesian computation

  • Pattarasuda Sudsaen (University of New Souht Wales, Australia)
    Variational Bayesian approximation method for inference in item response models (cancelled due to illness)


Measures of Pseudorandomness

Organized by Arne Winterhof (Austrian Academy of Sciences, Austria)


Monte Carlo Based Inference for Diffusions

Organized by Krzysztof Łatuszyński and Gareth Roberts (University of Warwick, UK)

  • Yves Atchade (University of Michigan, USA)
    Iterated filtering

  • Osnat Stramer (University of Iowa, USA)
    Bayesian inference for a generalized class of Heston models

  • Andrew Golightly (Newcastle University, UK)
    MCMC schemes for irreducible diffusions using high frequency imputation

  • Gareth Roberts (University of Warwick, UK)
    Sequential importance sampling for irreducible diffusions


Monte Carlo Methods for Spatial Stochastic Modeling (I & II)

Organized by Dirk Kroese (University of Queensland, Australia) and Volker Schmidt (Ulm University, Germany)

  • Volker Schmidt (Ulm University, Germany)
    Model-based 3D simulation of tomographic image data, with applications to virtual materials design

  • Gary Delaney (CSIRO, Australia)
    Modelling and quantifying spatially stochastic granular systems

  • Bjoern Baumeier (Max Planck Institute for Polymer Research in Mainz, Germany)
    Multiscale bottom-up simulations of charge and energy transport in disordered organic semiconductors

  • Jesper Møller (Aalborg University, Denmark)
    Transforming spatial point processes into Poisson processes using random superposition

  • Richard Wilson (University of Queensland, Australia)
    Prediction of catastrophes in spatio-temporal settings

  • Georgy Sofronov (Macquarie University, Australia)
    Spatial modelling in small area estimation via the cross-entropy method

  • Dirk Kroese (University of Queensland, Australia)
    Greedy servers on a torus

  • Maurizio Manuguerra (Macquarie University, Australia)
    Monte Carlo methods in spatio-temporal regression modelling of migration in the EU


Multilevel Monte Carlo Methods (I, II & III)

Organized by Mike Giles (University of Oxford, UK)


Numerics for SDEs

Organized by Andreas Neuenkirch (TU Kaiserslautern, Germany)


Point Sets and Sequences for Quasi-Monte Carlo (I, II & III)

Organized by Friedrich Pillichshammer (University of Linz, Austria) and Ronald Cools (K.U.Leuven, Belgium)


Random Number and Random Variate Generation

Organized by Pierre L'Ecuyer (Université de Montréal, Canada)


Recent Advances in MCMC

Organized by James Flegal (University of California, Riverside, USA)


Small Ball Problems, Discrepancy, and Metric Entropy

Organized by Aicke Hinrichs (Friedrich-Schiller-Universität Jena) and Thomas Kühn (Universität Leipzig)


Theoretical and Computational Aspects of Discrepancy (I & II)

Organized by Michael Gnewuch (Christian-Albrechts-Universität Kiel, Germany) and Peter Kritzer (University of Linz, Austria)


Tractability of Multivariate Problems

Organized by Erich Novak (University of Jena, Germany) and Henryk Woźniakowski (University of Warsaw, Poland, and Columbia University, USA)

Contributed Talks