13th International Workshop on Rare-Event Simulation

Welcome

Introduction to the conference

P. Nyquist

E. Gobet

› Piecewise deterministic Markov processes for MCMC - A large deviations analysis of the zig-zag sampler - Pierre Nyquist, Department of Mathematics, KTH Royal Institute of Technology 09:30-10:30 (1h)

Break

N. Whiteley (TALK CANCELED)

› The Viterbi process and parallelized estimatio - Nick Whiteley, University of Bristol 11:00-12:00 (1h)

Lunch

Informal discussions in Gather Town

Poster session

Poster session in Gather Town

Contributed talks

E. Gobet

› Path-ZVA simulation method for time-bounded rare events in a Semi-Markov chain - Daniël Reijsbergen, Singapore University of Technology and Design 13:30-13:50 (20min)

› A Multi-Trajectory Approach to Rare-Event Simulation - Armin Zimmermann, Technische Universität Ilmenau 13:50-14:10 (20min)

› Splitting for a non-Markovian tandem queue - Anne Buijsrogge, Delft University of Technology 14:10-14:30 (20min)

Break

Session: Importance Sampling

E. Gobet

› Certifiable Deep Importance Sampling for Rare-Event Simulation of Black-Box Safety-Critical Systems - Henry Lam, Columbia University 15:00-15:30 (30min)

› Regenerative-Simulation-Based Estimators of Risk Measures for Hitting Times to Rarely Visited Sets - Bruno Tuffin, Inria 15:30-16:00 (30min)

Break

Session: Extremes, Sequential Monte Carlo, Particle methods

B. Tuffin

› Semi-parametric Estimation of Multivariate Extreme Expectiles - Elena Di Bernardino 16:30-17:00 (30min)

› Estimation of the tail-index and extreme quantiles from a mixture of heavy-tailed distributions - Stéphane GIRARD, Inria Grenoble - Rhône-Alpes, Laboratoire Jean Kuntzmann 17:00-17:30 (30min)

› Sequential Monte Carlo for Target Distributions - Mathias Rousset, Institut de Recherche Mathématique de Rennes, Inria Rennes - Bretagne Atlantique 17:30-18:00 (30min)

Planning