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Celebration Events
| 11 November,
2011 |
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Distinguished
Lecture
Sampling-based Methods for Identifying the Initial Transient
(by Professor Prof. Peter W. Glynn, Department
of Management Science and Engineering, Stanford University)
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| Date |
11
November 2011 (Friday) |
| Time |
4:30
pm - 5:30 pm |
| Venue |
Room
513, William M. W. Mong Engineering Building, CUHK
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| Details |
Seminar
Announcement |
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| In
both performance engineering and Markov chain Monte Carlo
computations, it is important to have a rough sense of
how long one must simulate the system in order to be effectively
sampling from the equilibrium of the process (or, equivalently,
to assess the duration of the initial transient). In this
talk, we will briefly survey the different methods that
have been proposed for identifying the length of the initial
transient, and then discuss two new methods for assessing
the initial transient period. Time permitting, we will
also mention some other settings in which non-trivial
initialization issues arise. This talk describes work
that is joint with Hernan Awad, Jose Blanchet, and Xiaowei
Zhang. |
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| Professor
Peter W. Glynn is the current Chair of the Department
of Management Science and Engineering at Stanford University.
He received his Ph.D in Operations Research from Stanford
University in 1982. He then joined the faculty of the
University of Wisconsin at Madison, where he held a joint
appointment between the Industrial Engineering Department
and Mathematics Research Center, and courtesy appointments
in Computer Science and Mathematics. In 1987, he returned
to Stanford, where he joined the Department of Operations
Research. He is now the Thomas Ford Professor of Engineering
in the Department of Management Science and Engineering,
and also holds a courtesy appointment in the Department
of Electrical Engineering. From 1999 to 2005, he served
as Deputy Chair of the Department of Management Science
and Engineering, and was Director of Stanford\'s Institute
for Computational and Mathematical Engineering from 2006
until 2010. He is a Fellow of INFORMS and of the Institute
of Mathematical Statistics, has been co-winner of Best
Publication Awards from the INFORMS Simulation Society
in 1993 and 2008 and an IMS Medallion Lecturer, was a
co-winner of the Best (Biannual) Publication Award from
the INFORMS Applied Probability Society in 2009, and was
the co-winner of the John von Neumann Theory Prize from
INFORMS in 2010. His research interests lie in simulation,
computational probability, queueing theory, statistical
inference for stochastic processes, and stochastic modeling.
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Enquiries
Prof. Nan Chen or Prof. Sean X. Zhou, Department of
Systems Engineering and Engineering Management, CUHK
Tel: (852) 3943 8237
Email: nchen@se.cuhk.edu.hk / seem5201@se.cuhk.edu.hk
Website: www.se.cuhk.edu.hk/~seem5201
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