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2008-09 Program on Sequential Monte Carlo Methods
Kickoff Tutorials & Workshop
September 7-10, 2008
General Information
Application
Schedule
General Information
The Opening Workshop for the SAMSI program on Sequential Monte Carlo Methods will be held on Sunday-Wednesday, September 7-10, 2008, at the Radisson Hotel RTP in Research Triangle Park, NC. On Sunday, September 7, tutorials will be offered on various aspects of SMC methodology. From Monday to Wednesday, invited speakers will give presentations. We will also have a poster session.
The goals of the Opening Workshop are to take advantage of community input in the formation of the working groups for the program and to promote engagement in person or remotely, via web or teleconference for those not in residence at SAMSI during the program.
The workshop program will focus on open problems in both theory, methodology and applications in areas including tracking/large scale systems, finance, continuous-time models and population Monte Carlo methods. Subsequently formed working groups will take up statistical and mathematical challenges in data processing and modeling involving sequential Monte Carlo methods for the research activities of the program during September 2008-September 2009. Central to this formative discussion will be the open discussion involving all workshop participants in the afternoon of Wednesday 10th September, followed by formation of the working groups and initial
discussion within the working groups.
Program Committee: Arnaud Doucet (University of British Columbia), Simon Godsill (University of Cambridge) and Mike West (Duke University).
Registration is closed. We have reached capacity for this workshop.
Schedule
Sunday, September 7, 2008
Radisson RTP
Overview Tutorials
Monday, September 8, 2008
Radisson RTP
8:15-9:00 a.m. |
Registration and Continental Breakfast |
9:00-9:15 |
Welcome |
9:15-12:00 |
Theory of Sequential Monte Carlo
Dan Crisan, Imperial College
Uniform Approximations of Discrete Time Filters
Eric Moulines, Ecole Nationale Supérieure des Télécommunications
Theory of Sequential Monte Carlo
Coffee Break
Discussion Session Leaders:
Peter Bickel, University of California at Berkeley
Sylvain Rubenthaler, Universite de Nice Sophia Antipolis
Nicholas Chopin, ENSAE-CREST
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12:00-1:15 |
Lunch |
1:15-3:30 |
Tracking and Large Scale Dynamic Systems
Namrata Vaswani, Iowa State University
Particle Filtering for Large Dimensional State Spaces with Multimodal Likelihoods
Ba-Ngu Vo, University of Melbourne
Random Set/Point Process in Multi-target Tracking
Discussion Session Leaders:
Monica Bugallo, Stony Brook University
Daniel Clark, Heriot-Watt University
Simon Godsill, University of Cambridge |
3:30-4:00 |
Coffee Break |
4:00-5:00 |
New Researcher Session:
Nayantara Bhatnagar, University of California at Berkeley
Slow and Fast Mixing of Tempering for the Potts Model
Vandi Verma, NASA
SMC Methods for NASA Applications
Jonathan Weare, Courant Institute
Variance Reduction for Particle Filters of Systems with Time Scale Separation |
5:00-5:45 |
Poster Advertisement Session (2 minute ads each) |
6:30-8:30 |
Poster Session and Reception
SAMSI will provide poster presentation boards and tape. The board dimensions
are 4 ft. wide by 3 ft. high. They are tri-fold with each side being 1 ft. wide and the center
2 ft. wide. Please make sure your poster fits the board. The boards can accommodate up to 16
pages of paper measuring 8.5 inches by 11 inches. |
Tuesday, September 9, 2008
Radisson RTP
9:00-12:00 |
Applications in Economics and Decision Making
Carlos Carvalho, University of Chicago
Particle Learning and Smoothing
Juan Rubio-Ramirez, Duke University
The New Macroeconometrics: An Introductory Review
Coffee Break
Discussion Session Leaders:
Michael Johannes, Columbia University
David DeJong, University of Pittsburgh
Hedibert Lopes, University of Chicago
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12:00-1:15 |
Lunch |
1:15-3:45 |
Continuous Time and Financial Applications
Omiros Papaspiliopoulos, Universitat Pompeu Fabra
Inference and Filtering for Diffusion Processes using Monte Carlo in the Path Space
Chris Rogers, University of Cambridge
Uses of Particle Filtering in Finance
Discussion Session Leaders:
Ed Ionides, University of Michigan
Nick Polson, University of Chicago
Jon Stroud, University of Pennsylvania
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3:45-4:15 |
Coffee Break |
4:15-5:15 |
New Researcher Session:
Sarah Dance, University of Reading
The Ensemble Kalman Filter: a State Estimation Method for Hazardous Weather Prediction
Ludmila Mihaylova, University of Lancaster
Particle Methods for High-Dimensional Traffic Estimation Problems
Mark Briers, QinetiQ Limited
State-space Smoothing Using Sequential Monte Carlo |
Wednesday, September 10, 2008
Radisson RTP
Thursday and Friday: Initial working group meetings at SAMSI.
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