10th International Workshop on Rare Event Simulation

RESIM 2014 was the 10th workshop in a series of successful events held on the topic. It covered all aspects of rare event simulation ranging from purely theoretical developments to practical applications. The objective is to provide a forum for researchers and practitioners working in different locations and on different applications to present recent results, exchange ideas, and discuss open problems and new directions.

Workshop Topics

RESIM 2014 solicited talks on rare event simulation methodologies and applications, including (but not limited to) the following list of topics

SPECIAL SESSIONS AND INVITED SPEAKERS

We specially invite contributions for the following sessions:

1. A tribute to Reuven Rubinstein: Reuven Rubinstein and the Pursuit of Black Swans
This is a special session in memory of Reuven Rubinstein who was an active and stimulating participant of many RESIMs.
In this session Dirk Kroese (The University of Queensland, Australia) will give an invited talk.

2. Talks on rare events for financial systems: Systemic risk and rare events in large financial networks
In this session Konstantinos Spiliopoulos (Boston University, United States) will give an invited talk.

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3. Integrating Periodic Boundary Condition with Interacting Particle System for the Estimation of Collision
Risk in a Large Scale Air Traffic Scenario
Henk Blom (National Aerospace Laboratory NLR, Amsterdam, and Delft University of Technology)

4. When normality is a problem: The cross entropy method for evaluating the cumulative distribution function of the multivariate normal distribution
Zravko Botev (University of New South Wales, Australia)

5. Rare Events Analysis for High-Frequency Equity Data
Dragos Bozdog (Stevens Institute of Technology, United States)

6. Central Limit Theorem for adaptive splitting
Frederic Cerou ( Inria Rennes Bretagne Atlantique, France)

7. Rare event simulation for stochastic fixed point equations related to the smoothing transform.
Jeffrey Collamore (University of Copenhagen, Denmark)

8. Looking back on 10 RESIM workshops
Pieter-Tjerk de Boer (University of Twente)

9. Rényi relative entropy and robustness in rare event estimation
IPaul Dupuis (Brown University, United States)

10. Rare event simulation in immune biology: Models of negative selection in T-cell maturation
Corinna Ernst (University of Duisburg-Essen, Germany)

11. Markov chain Monte Carlo for rare-event simulation for stochastic recurrence equations with heavy-tailed innovations
Thorbjörn Gudmundsson (KTH Royal Institute of Technology, Sweden)

12. Min-max representations of viscosity solutions of Hamilton-Jacobi equations and applications in rare-event simulation
Henrik Hult (KTH Royal Institute of Technology, Sweden)

13. Importance Sampling Based on Moderate Deviations
Dane Johnson (Brown University, United States)

14. RESTART Simulation of Repairable Consecutive k-Within-m-Out-of-n:F systems
José Villén Altamirano (Technical University of Madrid, Spain)

15. The Flexible Rare Event Sampling Harness System (FRESHS)
Kai Kratzer (Institute for Computational Physics, University of Stuttgart, Germany)

16. Convergence of a Two–Step Adaptive Multilevel Splitting Algorithm
Francois Le Gland (INRIA Rennes, France)

17. A shaking transformation and two related methods for rare event probability estimation
Gang Liu (Ecole Pytechnique, France)

18. Robust Extreme Quantile Estimation
Karthyek Murthy (Tata Institute of Fundamental Resarch, India)

19. New concept of importance in RESTART simulations
Manuel Villen-Altaminaro (University of Malaga, Spain)

20. On-line Estimation by Importance Sampling for the Tail Probability of FIFO Queue Length
Kenji Nakagawa (Nagaoka University of Technology, Japan)

21. Constructing Confidence Intervals For a Quantile When Applying Latin Hypercube Sampling
Marvin K. Nakayama (New Jersey Institute of Technology, United States)

22. Efficient importance sampling to assess the risk of voltage collapse in power systems
Johan Nykvist (KTH Royal Institute of Technology, Sweden)

23. Efficient importance sampling for a credit risk model
Pierre Nyquist (KTH Royal Institute of Technology, Sweden)

24. Automated Rare Event Simulation for Stochastic Petri Nets
Daniël Reijsbergen (University of Twente)

25. A rare event simulation approach for the approximation of the Laplace transforms of the lognormal distribution
Leonardo Rojas-Nandayapa (University of Queensland, Australia)

26. On the robustness of Fishman’s bound-based method for the network reliability problem
Bruno Tuffin (INRIA Rennes, France)

27. Rare Event Simulations for Critical Branching Processes in Fixed and Random Environments
Anand N. Vidyashankar (George Mason University, United States)

28. A splitting technique to estimate power grid reliability indices
Wander Wadman (CWI Amsterdam)