Last day at WSC 2011: as it was again raining, I could not run a second time into the South Mountain Preserve park. (I had a swim at 5am instead and ended up having a nice chat with an old man in the pool under the rain!) My first morning session was rather disappointing with two talks that remained at such a high level of generality as to be useless and a mathematical talk about new forms of stochastic approximation that included proofs and no indication on the calibration of its many parameters. During the coffee break, I tried to have a chat with a vendor of a simulation software but we were using so different vocabularies that I soon gave up. (A lot of the software on display was a-statistical in that users would build a network, specify all parameters, incl. the distributions at the different nodes and start calibrating those parameters towards a behaviour that suited them.) The second session was much more in my area of interest/expertise, with Paul Dupuis giving a talk in the same spirit as the one he gave in New York last September. using large deviations and importance sampling on diffusions. Both following talks were about specially designed importance sampling techniques for rare events and about approximating the zero variance optimal importance function: Yixi Shin gave a talk on cross-entropy based selection of mixtures for the simulation of tail events, connecting somehow with the talk on mixtures of importance sampling distributions I attended yesterday. Although I am afraid I dozed a while during the talk, it was an interesting mix with the determination of the weights by cross-entropy arguments reminded me of what we did for the population Monte Carlo approach (since it also involved some adaptive entropy optimisation). Zdravko Botev gave a talk on approximating the ideal zero variance importance function by MCMC and a sort of Rao-Blackwell estimator that gives an unbiased estimator of this density under stationarity. Then it was time to leave for the airport (and wait in a Starbucks for the plane to Minneapolis and then London to depart, as there is no such thing as a lounge in Phoenix airport…). I had an interesting exchange with a professional magician in the first plane, The Amazing Hondo!, who knew about Persi and was a former math teacher. He explained a few tricks to me, plus showed me his indeed amazing sleight of hands in manipulating cards. In exchange, I took Persi’s book on Magic and Mathematics out of my bag so that he could have look at it. (The trip to London was completely uneventful as I slept most of the way.)
Overall, WSC 2011 was an interesting experience in that (a) the talks I attended on zero variance importance simulation set me thinking again on potential applications of the apparently useless optimality result; (b) it showed me that most people using simulation do not, N.O.T., relate to Monte Carlo techniques (to the extent of being completely foreign to my domains of expertise); and (c) among the parallel sessions that cover military applications, health care simulation, &tc., there always is a theme connecting to mines, which means that I will find sessions to attend when taking part in WSC 2012 in Berlin next year (since I have been invited for a talk). This will be the first time WSC is held outside North America. Hopefully, this will attract simulation addicts from Europe as well as elsewhere.