Applied Probability Frontiers: Computational and Modeling Challenges (15w5160)


Jose Blanchet (Stanford)

(Cornell University)

Donald Iglehart (Stanford University)

(University of Wisconsin)

(Universite de Montreal)

(University of Southern California)

(Columbia University)


The Banff International Research Station will host the "Applied Probability Frontiers: Computational and Modeling Challenges. A Workshop in Honor of Peter W. Glynn's 60th Anniversary" workshop from May 31st to June 5th, 2015.

This workshop concerns applied probability, broadly defined, but with an emphasis in the study of man-made systems. These include virtually all human-engineered systems that are subject to randomness, as well as other systems in which human agents interact, such as markets. The workshop is centered around modern computational advances and challenges in applied probability including: 1) Computation of steady-state performance measures, which are often applied in statistical inference; 2) Numerical methods for SDEs (stochastic differential equations) and related continuous time continuous space models, used in areas as diverse as finance and engineering; 3) Rare event Monte Carlo simulation which is applied in the analysis of catastrophic events in a wide range of settings, and 4) Simulation optimization techniques, used in health care and revenue management.
All of these subdisciplines of computational probability have witnessed exciting advances which increasingly use techniques which are widely applicable across these subdisciplines. The areas of applications discussed earlier are of substantial societal impact. Thus, given the high level of activity in the communities represented by these subdisciplines, this workshop represents a timely event which has the potential of sparking significant advances in applied probability.

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).