- Rare Event Analysis and Simulation
- Queues and Inventory
- Large Deviations
- Cross-entropy
- Optimal Control of Queues
Research fellow of the Tinbergen Institute.
Projectleader Adaptive importance sampling algorithms for rare event simulations (NWO), 2007-2011, completed with a thesisof Bahar Kaynar.
Narcis entry;
NOD entry;
MathSciNet entry;
arXiv.org entry;
SSRN entry;
ScientificCommons entry;
Microsoft Academic Search entry;
Arnetminer entry;
DBLP entry;
EconPapers entry;
Tinbergen entry;
Mathematics Genealogy entry
Follow the publications link in the navigation panel for more details and for papers that you can download, or go to Google scholar.
Talks
- Counting with combined splitting and capture-recapture methods presented at the 16-th INFORMS Applied Probability Conference July 7, 2011, Stockholm, Sweden.
- Efficiency of the cross-entropy method in Markov chain problems presented at the 8-th Workshop on Rare Event Simulation June 21, 2010, Cambridge, UK.
- Importance sampling simulation of the fork-join queue presented at the 6-th St. Petersburg Workshop on Simulation July 1, 2009.
- Importance sampling algorithms for first passage time probabilities in the infinite server queue presented at the 7-th Workshop on Rare Event Simulation September 24, 2008, Rennes, France.
- Minimum cross-entropy methods for rare-event simulation presented at the Conference on the Occasion of R.Y. Rubinstein's 70th Birthday July 15, 2008, Sonderborg, Denmark.
- The cross-entropy method for importance sampling simulation of the infinite server queue presented at the 14-th INFORMS Applied Probability Conference July 10, 2007, Eindhoven.