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CEMRACS 2017
Numerical methods for stochastic models: control, uncertainty quantification, mean-field July 17 - August 25, CIRM, Marseille |
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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 (slides) 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 |
| Tuesday |
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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 |
| Wednesday |
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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 |
| Thursday |
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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) |
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| 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 OpenMP |
Plenary lecture - MPI |
Practical session |
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