workshop in Columbia

The workshop in Columbia University on Computational Methods in Applied Sciences is quite diverse in its topics.  Reminding me of the conference on Efficient Monte Carlo in Sandbjerg Estate, Sønderborg in 2008, celebrating the 70th birthday of Reuven Rubinstein, incl. some colleagues I had not met since this meeting. Yesterday I thus heard (quite interesting) talks on domains somehow far from my own, from Robert Adler on cohomology (giving a second look  at the thing after the talk I head in Wharton last year), to José Blanchet on simulation for infinite server queues (with a link to perfect sampling I could not exactly trace but that was certainly there). Several of the talks made me think of our Brownian motion confidence band paper, with Wilfrid Kendall and Jean-Michel Marin, esp. Gennady Samorodnitsky’s on the maximum of stochastic processes (and wonder whether we could have gone further in that direction). Pierre Del Moral presented a broad overview of the Feynman-Kacs’ approaches to particle methods, in particular particle MCMC, with application to some financial objects. Paul Glasserman talked about robust MCMC, which I found quite an appealing concept in that it included uncertainties about the model itself. And linked with minimax concepts. And Paul Dupuis exposed a parallel tempering method linked with large deviations, whose paper I am definitely looking forward. Now it is more than time to work on my own talk! (On a very personal basis, I sadly lost my sturdy Canon camera in the taxi from the airport! Will need a new one for the ‘Og!)

6 Responses to “workshop in Columbia”

  1. […] miracle in Roma, I have been rather unlucky with cameras lately, loosing first my favourite one in a New York taxi, then this one on Tower Ridge. Actually, I consoled myself with the fact that the quality of this […]

  2. […] was a full moon, too, but not low enough to make for a great picture (with my low quality camera), even though this was my hope when I went running, delaying my departure till […]

  3. […] for Bayesian model choice! (I had presented preliminary versions at the recent workshops in New York and Zürich.) While broader in scope, the results obtained by Judith Rousseau, Jean-Michel Marin, […]

  4. […] far from my research interests to invest time into reading it. I had it with me during my flight to New York last week but it simply evaded me…  The words and graphs are mostly those of decision […]

  5. […] second day at the workshop was closer to my research topics and thus easier to follow, if equally enjoyable compared with […]

  6. […] Xi'an's Og an attempt at bloggin, from scratch… « workshop in Columbia […]

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