Simulation of rare events

Location: Eurandom, Eindhoven

Date: 29 March - 1 April 2016

Organizers: Pieter-Tjerk de Boer University of Twente, Daan Crommelin University of Amsterdam/CWI, Michel Mandjes University of Amsterdam, Adrian Muntean Karlstad University

Number of participants: 69

RESIM 2016 was the 11th edition in a series of workshops on the topic of rare event simulation, held since 1997. Recent editions took place in Amsterdam (2014), Trondheim (2012) and Cambridge (2010). The 2016 event was organized as part of the Eurandom Stochastic Activity Month "Probability and Analysis" (March 2016), and was partially funded by the Dutch mathematics research programme NETWORKS.

RESIM 2016 covered many aspects of rare event simulation, ranging from purely theoretical developments to practical applications. Topics included importance sampling, multilevel splitting and large deviations theory, as well as applications in e.g. computational chemistry, finance, queueing systems and climate science. In the workshop, the more traditional probability-related angle on rare-event simulation was complemented with perspectives from numerical and computational analysis.

The program of RESIM 2016 consisted of 13 invited talks (each 40 minutes), 17 contributed talks (each 20 minutes) and two tutorials (each 2x40 minutes). One tutorial, given by Pierre L’Ecuyer (Montreal), was a general introduction to rare event simulation techniques. The other tutorial, by Paul Dupuis (Brown Univ.), was devoted to the use of subsolutions of relevant PDEs for designing splitting and importance sampling schemes.