9th IMACS seminar on Monte Carlo Methods, Annecy

As astute ‘Og’s readers may have gathered (!), I am now in Annecy, Savoie, for the 9th IMACS seminar on Monte Carlo Methods. Where I was kindly invited to give a talk on ABC. IMACS stands for “International Association for Mathematics and Computers in Simulation” and the conference gathers themes and sensibilities I am not familiar with. And very few statisticians. For instance, I attended a stochastic particle session that had nothing to do with my understanding of particle systems (except for Pierre Del Moral’s mean field talk). The overall focus seems to stand much more around SDEs and quasi-Monte Carlo methods. Both items for which I have a genuine interest but little background, so I cannot report much on the talks I have attended beyond reporting their title. I for instance discovered the multilevel Monte Carlo techniques for SDEs, which sounds like a control variate methodology to reduce the variance w/o reducing the discretisation step. (Another instance is that the proceedings will be published in Mathematics and Computers in Simulation or Monte Carlo Methods and Applications. Two journals I have never published in.) Although I have yet a few months before attending my first MCQMC conference, I presume this is somehow a similar spirit and mix of communities.

At another level, attending a conference in Annecy is a blessing: the city is beautiful, the lake pristine and tantalising in the hot weather, and the surrounding mountains (we are actually quite close to Chamonix!) induce me to go running on both mornings and evenings.