Numerical methods for stochastic models: control, uncertainty quantification, mean-field

July 17 - August 25, CIRM, Marseille
The summer school will take place during the first ten days, July 17-26. Thematic lectures will be given during the first week (July 17-23). They will focus on numerical methods for the analysis of stochastic models associated with stochastic control problems, uncertainty propagation analysis or mean-field type interaction phenomena. A HPC (high performance computing) training will be organized the second week (July 24-26), see below.

Monday 17 Tuesday 18 Wednesday 19 Thursday 20 Friday 21
9 am - 11 am Y. Achdou - Numerical methods for mean field games (slides) D. Crisan - Cubature methods (slides) X. Warin - Branching diffusions (slides) R. Tempone - Multilevel and multi-index methods (slides) R. Tempone -Multilevel and multi-index methods (slides)
11 am - 11.30 am Coffee break Coffee break Coffee break Coffee break Coffee break
11.30 am - 12.30 pm R. Carmona - Mean field games with a major player (slides) M. Bossy - Particle algorithm for McKean SDE (slides) B. Jourdain - Metropolis Hastings algorithms (slides) V. Perchet - Bandits and auctions (slides) J. Charrier - Applications in hydrogeology (slides)
12.30 pm - 2 pm Lunch break Lunch break Lunch break Lunch break Lunch break
2 pm - 2.30 pm Free Posters Posters Posters Free
2.30 pm - 4.30 pm P. Imkeller - Introduction to BSDEs (slides) Y. Achdou - Numerical methods for mean field games (slides) G. Pagès - Quantization grids (slides) P. Turkedjiev - Regression based Monte-Carlo (slides) O. Le Maitre - Sensitivity analysis
S. Marelli - Metamodels for uncertainty quantification (slides)
4.30 pm - 5 pm Coffee break Coffee break Coffee break Coffee break Coffee break
5 pm - 6 pm R. Aid - Capacity expansion games (slides) P. Degond - Kinetic theory and game theory (slides) M. Bellemare - Reinforcement learning (slides) J.-D. Benamou - Numerical methods for variational mean field games (slides)

Poster sessions
Cecchin, Alekos: Probabilistic approach to finite state mean field games
Graves, Christy: Synchronization of Circadian Rhythms: a Mean Field Game Model of Jet Lag
Mycek, Paul: Multilevel Monte Carlo estimation of covariances in the context of open-channel flow simulations
Viot, Louis: Model couplings in an integral code for nuclear reactor severe accidents
Chau, Ki Wai: Stochastic grid bundling method for backward stochastic differential equations
Evangelista, David: On the existence of solutions for stationary mean-field games with congestion
Aceves Sanchez, Pedro: Emergence of vascular networks
Mounjid, Othmane: Optimal Trading Strategies With Adverse Selection Risk and the Role of Latency
Silva Lopes, Laura: Adaptive Multilevel Splitting method: application to the alanine di-peptide’s isomerization
Ben Aziza, Sahar: A numerical method for a class of Mean Field Games
Llobell, Julie: A 2D-kinetic scheme on staggered grids for the Euler system
Balata, Alessandro: Regress Later Monte Carlo for Optimal Control of Markov Chains
Ciccone, Valentina: Factor analysis with finite data
Dione, Déthié: Optimal performances of a global allocation of radio resources in heterogeneous networks system

High Performance Computing (July 24-26)
(Jérôme Lelong, Christophe Picard and Laurence Viry)
Monday 24 Tuesday 25 Wednesday 26
9:00 - 11:00 Practical session Practical session
14:00 - 16:00 Plenary lecture -
Introduction to HPC and random number generation
Plenary lecture -
Practical session


ANR CEREMADE CMAP Laboratoire JA Dieudonné Laboratoire Jean Kuntzmann Laboratoire de Probabilités et Modèlles Aléatoires Institut Louis Bachelier Méso Centre Aix Marseille