Challenges and Advances in High Dimensional and High Complexity Monte Carlo Computation and Theory (12w5105)


(University of Illinois Urbana-Champaign)

(University of Illinois at Urbana-Champaign)

(University of Toronto)

Xiao-Li Meng (Harvard University)

Antonietta Mira (University of Lugano)

(University of Toronto)


The Banff International Research Station will host the "Challenges and Advances in High Dimensional and High Complexity Monte Carlo Computation and Theory" workshop from March 18th to March 23rd, 2012.

One of the founders of Monte Carlo, Stanislaw Ulam, has said that "Monte Carlo is common sense applied to mathematical formulations of physical laws and processes". Not surprisingly, the method has become the default tool for providing solutions to a wide variety of analytically intractable problems such as those encountered routinely in genetics and medicine, astronomy, spatial analysis of forest fires and disease incidence, climate changes and global warming, and risk assessment of financial instruments and markets, to name just a few.

Our capability to solve modern scientific problems hinges also on our ability to analyze theoretically and expand continuously the range of application for increasingly more sophisticated Monte Carlo algorithms that can handle a large spectrum of data. The goal of this workshop is to bring together scientists and statisticians to stimulate the generation and exchange of innovative ideas for high dimensional and high complexity Monte Carlo computations.

The Banff International Research Station for Mathematical Innovation and Discovery (BIRS) is a collaborative Canada-US-Mexico venture that provides an environment for creative interaction as well as the exchange of ideas, knowledge, and methods within the Mathematical Sciences, with related disciplines and with industry. The research station is located at The Banff Centre in Alberta and is supported by Canada's Natural Science and Engineering Research Council (NSERC), the U.S. National Science Foundation (NSF), Alberta's Advanced Education and Technology, and Mexico's Consejo Nacional de Ciencia y Tecnología (CONACYT).