Annual Report 2008.pdf - SAMSI

estimation leading into prediction financial time series models, together with numerical
approaches to the coupled portfolio decision problems.
2.4.4 Theory
Although many theoretical results have already been established for specific classes of
SMC methods, these results are often unsatisfactory -- relying on practically unrealistic
assumptions -- for the kinds of complex stochastic models that are being more and more used in
emerging applications. There is a need to begin to make the link more forcefully between
theoretical developments and more relevant practical models.
2.4.5 Population Monte Carlo
MCMC can easily get stuck for high dimensional multimodal distributions. This has led,
in part, to the development of adaptive and population Monte Carlo algorithms, which can
provide promising alternatives for these problems. Some of these methods are inherently SMC
methods, and there is interest in developing new adaptive methods to sample from high
dimensional distributions.
2.5 Description of Activities
2.5.1 Workshops: The Opening Workshop will be held during September 7-10, 2008 at
SAMSI. This workshop will aim to engage as large a part of the mathematics, scientific and
engineering communities as possible, with representative sessions from all of the main program
topics.
Mid-program workshops will summarize progress and bring in leading experts in particular areas
to assess the progress. One that is essentially definite (because of likely supplementary support
from the Army Research Office) is the Workshop on Multi-Sensor Multi-Target Tracking and
Data Fusion, scheduled to occur in April, 2009.
The program anticipates being highly active in the Summer of 2009 so that the Transition
Workshop will likely not occur until October of 2009; this workshop will disseminate program
results and chart a path for future research in the area.
2.5.2 Working Groups: Working groups will meet throughout the program to pursue particular
research topics identified in the kickoff workshop (or subsequently chosen by the working group
participants). The working groups consist of SAMSI visitors, postdoctoral fellows, graduate
students, and local faculty and scientists.
2.6 Participants: We are still in the process of determining participants in the program; the
following are the currently definite long-term participants, with more to be added.
Confirmed Long-term Visiting Research Fellows: M.J. Bayarri (Valencia), Jaya Bishwal (UNC
Charlotte), Mary Ellen Bock (Purdue), Luke Bornn (UBC), Carlos Carvalho (Chicago), Daniel
Clark (Heriot-Watt, UK), Mark Coates (Montreal), Ana Corberan (Valencia), Arnaud Doucet
(UBC), Paul Fearnhead (Lancaster, UK), Ernest Fokoue (Kettering), Nathan Green (DSTL, UK),
Fei Liu (Missouri), Hedibert Lopes (Chicago), James Lynch (South Carolina), Olasunkanmi
Obanubi (Imperial College, UK), Omiros Papaspiliopoulos (Warwick), Edsel Pena (South