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 | Biography |  |
Dirk Kroese's research interests are in: Monte Carlo methods, rare-event simulation, the cross-entropy method, applied probability, and randomised optimisation. Dirk Kroese is an Australian Professorial Fellow in Statistics at the School of Mathematics and Physics of the University of Queensland. He has held teaching and research positions at The University of Texas at Austin, Princeton University, the University of Twente, the University of Melbourne, and the University of Adelaide. His research interests include Monte Carlo methods, adaptive importance sampling, randomized optimization, and rare-event simulation. He has over 70 peer-reviewed publications, including three monographs: Simulation and the Monte Carlo Method, 2nd Edition, 2007, John Wiley & Sons (with R.Y. Rubinstein), The Cross-Entropy Method, Springer-Verlag, 2004, (with R.Y. Rubinstein), and the Handbook of Monte Carlo Methods, John Wiley & Sons, 2011 (with T. Taimre and Z.I. Botev, 772 pages). He is serving on the editorial boards of Methodology And Computing in Applied Probability and The Annals of Operations Research.
Current Australian Research Council (ARC) Discovery Project (DP0985177):
Improved Monte Carlo Methods for Estimation, Optimisation and Counting
Abstract:
The current prevalence of Monte Carlo methods in science is a tribute to their usefulness for solving real-world problems. However, as the complexity of such problems continues to grow, classical methods increasingly run into problems in terms of speed and accuracy. The last few years have seen exciting new theoretical and conceptual developments in Monte Carlo techniques, providing dramatic improvements in performance. The project aims at maintaining the momentum of research and create a theoretical breakthrough in the field. A spin-off will be the development of much-needed generic algorithms and software for solving complex estimation, optimisation, and counting problems over a wide range of applications.
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