GdT simulation

Contact: Pour recevoir les annonces ou proposer une présentation, écrire à Anne Bouillard et Ana Busic (nom.prénom@inria.fr)

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Thursday 16/03/2015:

Qu'est-ce qu'un estimateur performant? (Émilie Kaufmann)

Résumé : La question de la simulation est souvent liée à celle de l'estimation puisqu'on simule souvent sous une loi dans le but d'estimer des caractéristiques de cette loi (moyenne, variance...). En particulier la qualité d'une procédure de simulation est souvent validée par la qualité de l'estimation qu'elle permet. Le but de cette séance est de discuter la question de l'estimation optimale en statistique. Je me baserai notamment sur le chapitre 2 du livre suivant : " Statistique en action", Vincent Rivoirard et Gilles Stoltz, Vuibert.

Previous talks

19/02/2015: Demand response solutions in Smart Grids (Rim Kaddah)

28/01/2015: simulation and mixing time of contingency tables (Anne Bouillard)

22/01/2015: How to use renormalization techniques to get insight into control problems (Florian Simatos)

18/12/2014: Grid of the future (Jose Horta)

Based on: Grid of the future, by Ali Ipakchi and Farrokh Albuyeh.

04/12/2014: Ancillary Service to the Grid Using Intelligent Deferrable Loads (Ana Busic)

Based on: Sean Meyn, Prabir Barooah, Ana Busic, Yue Chen, Jordan Ehren, Ancillary Service to the Grid Using Intelligent Deferrable Loads, (to appear in IEEE Transactions of Automatic Control)

20/11/2014 and 27/11/2014: Steady-State Simulation (Christelle Rovetta)

Based on: Chapter 4 of Stochastic Simulation: Algorithms and Analysis by S. Asmussen and P. W. Glynn

06/11/2014: Optimal stock allocation for a capacitated supply system (Emmanuel Hyon)

Based on: Francis De Véricourt, Fikri Karaesmen, Yves Dallery. Optimal stock allocation for a capacitated supply system

30/10/2014: Policy Iteration for Decentralized Control of Markov Decision Processes (Diego Pacheco Paramo)

Based on: D. Bernstein, Ch. Amato, E. Hansen and S. Zilberstein. Policy Iteration for Decentralized Control of Markov Decision Processes, Journal of Artificial Intelligence Research, vol. 34 p.89-132, 2009.

23/10/2014: Large-scale integration of deferrable demand and renewable energy sources (Rim Kaddah)

Based on: A Papavasiliou, SS Oren, Large-scale integration of deferrable demand and renewable energy sources, IEEE Trans. on Power Systems 2014.

16/10/2014: Random Pairwise Gossip on CAT(0) Metric Spaces (Jérémie Jakubowicz)

Based on: Random Pairwise Gossip on CAT(0) Metric Spaces by Anass Bellachehab, Jérémie Jakubowicz.

09/10/2014: Demand response using service curves (Anne Bouillard)

Based on: Jean-Yves Leboudec and Dan-Christian Tomozei, Demand respone using service curves, 2011, ISGT Europe, notes.

02/10/2014: Discrete Load Balancing is (almost) as Easy as Continuous Load Balancing (Thomas Nowak)

Based on: Robert Elsässer and Thomas Sauerwald. Discrete Load Balancing is (almost) as Easy as Continuous Load Balancing, 2010.

13/05/2014: Sampling of product form closed Jackson Networks (Christelle Rovetta)

Based on: Shuji Kijima and Tomomi Matsui. Randomized approximation scheme and perfect sampler for closed Jackson networks with multiple servers, 2008.

06/05/2014: Weak ergodicity in non-homogeneous Markov chains (Anne Bouillard)

Based on: J. Hajnal. Weak ergodicity in non-homogeneous Markov chains, 1957, notes.

29/04/2014: On the convergence of the Hegselmann-Krause system (Thomas Nowak)

Based on: Arnab Bhattacharyya, Mark Braverman, Bernard Chazelle, Huy L. Nguyen. On the convergence of the Hegselmann-Krause system, 2012.

10/04/2014: Time-Dependent Bid Prices for Multi-Period Network Revenue Management Problems (Rim Kaddah)

Based on: Marco Bijvank, Alwin Haensel, Pierre L'Ecuyer, and Patrice Marcotte. Time-Dependent Bid Prices for Multi-Period Network Revenue Management Problems, 2012.

03/04/2014: calcul d'un équilibre de Nash dans un jeu bi matriciel (Emmanuel Hyon)

Based on: Bernhard von Stengel Equilibrium Computation for Two-Player Games in Strategic and Extensive Form, 2007.
Notes: Calcul des equilibres de Nash pour un jeu strategique a 2 joueurs

20/03/2014 and 27/03/2014: Consensus Algorithms and the Decomposition-Separation Theorem of Markov Chains (Jeremie Jakubowicz)

Based on: Sadegh Bolouki and Roland P. Malhame. Consensus Algorithms and the Decomposition-Separation Theorem of Markov Chains, 2013.

06/03/2014: Programmation dynamique stochastique une application au contrôle d'admission dans des réseaux sans fil. (Emmanuel Hyon)

Based on:

Pierre Coucheney, Emmanuel Hyon and Corinne Touati. Admission and Allocation Policies in Heterogeneous Wireless Networks with Handover, VTC Spring 2012.
Pierre Coucheney, Emmanuel Hyon, Corinne Touati and Bruno Gaujal: Myopic versus clairvoyant admission policies in wireless networks, VALUETOOLS 2009.
Pierre Coucheney, Emmanuel Hyon, Jean Marc Kelif: Mobile association problem in heterogenous wireless networks with mobility, PIMRC 2013.

27/02/2014 : Connections between simulation and #P-complete problems (Anne Bouillard)

Based on chapter 10 of: Michael Mitzenmacher, Eli Upfal. Probability and Computing: Randomized Algorithms and Probabilistic Analysis, Notes.

20/02/2014 : Computing Point Sets of Low Star Discrepancy (Carola Doerr, LIP6)

Based on: Carola Doerr, François-Michel De Rainville. Constructing Low Star Discrepancy Point Sets with Genetic Algorithms GECCO 2013.
ArXiv preprint.

07/02/2014 and 13/02/2014 : Taux de convergence de chaînes de Markov vers la distribution limite (Thomas Nowak)

Notes: Taux de convergence de chaînes de Markov.

31/01/2014 : Probabilistic cellular automata and perfect sampling (Ana Busic)

Based on: A. Busic, J. Mairesse, I. Marcovici. Probabilistic cellular automata, invariant measures, and perfect sampling. Advances in Applied Probability, 45(4):960-980, 2013.

24/01/2014 : Nonlinear filtering and systems theory (Mathieu Leconte)

Based on: Ramon van Handel. Proceedings of the 19th Internantional Symposium on Mathematical Theory of Networks and Systems (MNTS 2010 semi-plenary paper).

17/01/2014 : Q-learning (sequel of 22/11/13) (Emmanuel Hyon)

20/12/2013 : The Poisson Equation for Countable Markov Chains: probabilistic methods and interpretations (Jeremie Jakubowicz)

Based on: A.M. Makowski and A. Schwartz. The Poisson Equation for Countable Markov Chains: Probabilistic Methods and Interpretations. Handbook of Markov Decision Processes International Series in Operations Research & Management Science Volume 40, 2002, pp 269-303.
Notes du 20/13 et du 10/01

06/12/2013 and 13/12/2013 : Perfect sampling using bounding chains (Christelle Rovetta)

Based on: Mark Huber. Perfect sampling using bounding chains. Ann. Appl. Probab. Volume 14, Number 2 (2004), 734-753.

29/11/2013 : Tutorial on Stochastic Approximation Theory and Application to Reinforcement Learning (Sean Meyn, University of Florida)

Abstract: The stochastic approximation algorithm of Robbins and Monro is a foundation of many algorithms found in reinforcement learning. It is often an efficient approach to solving or approximating the solution to complex problems found in statistics and control. However, in many cases practitioners are unable to apply these techniques because of high variance. This provides a survey of approaches to understanding and minimizing variance. Applications to TD- and Q-learning will be discussed along side the theory.

22/11/2013 : Q-learning (Emmanuel Hyon)

Based on chapter 2 of: Processus Décisionnels de Markov en Intelligence Artificielle. Groupe PDMIA. 2008.

15/11/2013 : L'équation de Poisson et MCMC (Ana Bušić)

Based on: Randy Cogill and Erik Vargo. The Poisson equation for reversible Markov chains: Analysis and application to Markov chain samplers. 51st IEEE Conference on Decision and Control. 2012.

08/11/2013 : Distance de variation et temps de mélange des chaînes de Markov (Anne Bouillard)

Based on chapter 11 of: Michael Mitzenmacher, Eli Upfal. Probability and Computing: Randomized Algorithms and Probabilistic Analysis, notes

25/10/2013 : Trou spectral de chaînes de Markov (Thomas Nowak)

Notes: Trou spectral de chaînes de Markov.

18/10/2013 : Introduction à la simulation parfaite (Christelle Rovetta)

Based on chapters 10 and 11 of: Olle Häggström. Finite Markov Chains and Algorithmic Applications. Cambridge University Press (Virtual Publishing) 2003.

11/10/2013 : Les échantillonneurs de Gibbs et Metropolis-Hastings (Asma Ghorbel)

Based on chapter 3 of: David A. Levin, Yuval Peres, Elizabeth L. Wilmer. Markov Chains and Mixing Times. American Mathematical Society. 2008.

Groupe de Lecture : simulation and smart-grids

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References

Markov chains

Perfect simulation