Mini-Symposium: Entropy Methods in Operations Research

Monday 10 December 2007

 

Overview

The cross-entropy (CE) method is a relatively new general Monte Carlo approach based on the Kullback-Leibler cross-entropy divergence (or CE distance, for short), which has been very successful in solving a wide range of estimation and optimisation problems in Operations Research. Examples can be found in network reliability analysis, performance analysis of telecommunication systems, static and noisy combinatorial optimization problems such as the traveling salesman problem, the quadratic assignment problem, DNA sequence alignment, the max-cut problem and the buffer allocation problem, as well as continuous global optimization problems with many local extrema.

The purpose of this Mini-symposium is to bring together national and international researchers and students interested in using CE methods in their study or work, and to discuss the latest developments in CE and related methods.

The inventor of the CE method, Professor Rubinstein from the Technion (Israel Institute of Technology), will give one of the keynote talks.

For more information on the CE method, visit Wikipedia and the CE homepage.

Program

Each talk will include 5 to 10 minutes of question and discussion time, at the speaker's discretion.

8:45 - 9:15	Registration
9:15 - 10:10	Keynote: Reuven Rubinstein (Technion) Minimum cross-entropy algorithms for rare events, counting combinatorial and integer programming
10:10 - 10:40	Dirk Kroese (Queensland) Optimal control of HIV using a cross-entropy approach
10:40 - 11:00	Morning Tea
11:00 - 11:30	Zdrako Botev (Queensland) Likelihood ratio degeneracy in the cross-entropy method (part I)
11:30 - 12:00	Thomas Taimre (Queensland) Likelihood ratio degeneracy in the cross-entropy method (part II)
12:00 - 12:30	Kin-Ping Hui (Adelaide) Generating entangled networks using cross entropy optimisation technique
12:30 - 1:45	Lunch
1:45 - 2:40	Keynote: Jerzy Filar (South Australia) The Hamiltonian cycle problem, controlled Markov chains and entropy
2:40 - 3:10	Leon Au (Melbourne) A cautionary note on model choice and the Kulback-Leibler information
3:10 - 3:40	Gangxiang Shen and Rodney Tucker (Melbourne) Thermodynamic theory in telecommunications networks
3:40 - 4:00	Afternoon tea

Keynote speakers

REUVEN Y. RUBINSTEIN, is a world-known expert in stochastic modeling, applied probability and Monte Carlo simulation methods. He is currently a Professor Emeritus at the Faculty of Industrial Engineering and Management at the Techion, Israel.

Prof. Rubinstein has written over 100 articles and published 6 books with Wiley and Springer. His citation index is in the top 5% among the scientists in OR, statistics and applied probability world wide. He spent most of his sabbatical years at the top universities in the world including Columbia, Harvard, Michigan and Stanford University and he served as consultant of many leading firms, including IBM, Motorola and NEC.

Prof. Rubinstein is the inventor of the popular score-function method in simulation analysis and the generic cross-entropy method for combinatorial optimization and counting.

 

JERZY FILAR is a broadly trained applied mathematician with research interests spanning a wide spectrum of both theoretical and applied topics in Operations Research, Optimisation, Game Theory, Applied Probability and Environmental Modelling.

After sixteen years of academic career in the US, which included appointments at the University of Minnesota, The Johns Hopkins University and the University of Maryland, he returned to Australia in 1992 where he is the Foundation Chair of Mathematics and Statistics and the Director of Research of the Institute for Sustainable Systems and Technologies at the University of South Australia.

Professor Filar has co-authored (with K. Vrieze) a research level text book "Competitive Markov Decision Process". He also authored or co-authored more than 80 research papers. He is editor-in-chief of Environmental Modelling and Assessment, co-editor of International Game Theory Reviews and an Honorary Theme Editor of the Mathematical Models Theme of the UNESCO Encyclopaedia of Life Support Systems. He is also an Associate Editor of Journal of Mathematical Analysis and Applications and of Mathematical Methods of Operations Research (Zeitschrift für OR).

Professor Filar is also a Fellow of the Australian Mathematical Society and a winner of the 2005 Ren Potts Medal. In 2007 Professor Filar was a winner of South Australian Science Excellence Award in the category of Science Leadership and Management.

Organising committee

Prof. Philip Broadbridge, AMSI
Prof. Tony Guttmann, MASCOS
Dr Dirk Kroese, University of Queensland

More information

Email Dirk Kroese, University of Queensland at

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