News
Team extended to period 2011-2013.
Joint organization: Analysis track, WSC 2012
General description
MOCQUASIN is an INRIA associated team between Dionysos group at INRIA Rennes - Bretagne Atlantique and the University of Montreal, Canada, initally on period 2008-2010, and extended to 2011-2013.
The goal of this team is to compute integrals, sums or to solve equations or optimization problems by means of Monte Carlo methods, which are statistical tools used when the models have a high complexity (for instance a large dimension). They are unavoidable tools in areas such as finance, electronics, sismology, computer science, engineering, physics, transport, biology, social sciences... Nonetheless, they have the reputation of being slow, i.e. to require a large computational time to reach a given precision. The goal of the project is to work on acceleration techniques, meaning methods allowing to reach the targeted precision in a shorter computational time. A typical framework is that of rare event simulation for which getting even only one occurence of the event could require a very long time. In this case, there are two main acceleration techniques: importance sampling and splitting, on which we work.
Our work is to design such robust methods when the event becomes rarer and to apply them to problems encountered in telecommunication and dependability analysis. A combination with the faster randomized quasi-Monte Carlo methods is also a challenge we want to address.
For 2011-2013, we expect to look at two specific situations: still rare events, but also revenue management. In the two cases, we want to deal with dependent individual events or decisions, a realistic situation requiring adapted solution techniques. The new framework, revenue management in telecommunications, is the situation of providers trying to define valid offers and capacity investments in front of complex demand models. Here too, a change in the decision of an actor has an impact on the others that has to be taken into account. We expect to apply for an extension from 2011 to 2013.
