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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).

Application

Registration is closed. We have reached capacity for this workshop.

 

Schedule

Sunday, September 7, 2008
Radisson RTP

Overview Tutorials

8:00-8:55 a.m. Registration and Continental Breakfast
8:55-9:00 Welcome
9:00-10:30 Pierre Del Moral, INRIA Bordeaux
On the Convergence and the Applications of Sequential Monte Carlo Methods
10:30-11:00 Coffee Break
11:00-12:30 Paul Fearnhead, Lancaster University
Sequential Monte Carlo and Related Methods for Analysing Complex Stochastic Systems
12:30-1:45 Lunch
1:45-3:15 Hedibert Lopes, University of Chicago
An Introduction to Sequential Monte Carlo Schemes
3:15-3:45 Coffee Break
3:45-5:15 Jun Liu, Harvard University
Sequential Monte Carlo: General Frameworks and Applications

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
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
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
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

9:00-12:00 Population Methods and Other Aspects of Methodology
Christian Robert, Ceremade - Université Paris-Dauphine
Adaptive Importance Sampling in General Mixture Classes

Arnaud Doucet, University of British Columbia
Particle Markov Chain Monte Carlo

Coffee Break

Discussion Session Leaders:
Rong Chen, Rutgers University

Merlise Clyde, Duke University
12:00-1:15 Lunch
1:15-2:45 Working Group Formation and Initial Meeting
2:45-3:30 Working Group Reports

Thursday and Friday: Initial working group meetings at SAMSI.

 




 
 

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