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                                                     Seminar

             Department of Systems Engineering and Engineering Management
The Chinese University of Hong Kong

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Title	:	Sampling-based Methods for Identifying the Initial Transient
Speaker	:	Prof. Peter W. Glynn
		Department of Management Science and Engineering
		Stanford University
Date	:	Nov. 11, 2011 (Friday)
Time	:	4:30 p.m. - 5:30 p.m.
Venue	:	Room 513
		William M.W. Mong Engineering Building
		(Engineering Building Complex Phase 2)
		CUHK

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Abstract:

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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Biography:

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.

************************* ALL ARE WELCOME ************************

Host	:	Prof. Nan Chen
Tel	:	(852) 2609-8237
Email	:	nchen@se.cuhk.edu.hk
Enquiries	:	Prof. Nan Chen or Prof. Sean X. Zhou
	:	Department of Systems Engineering and Engineering Management
		CUHK
Website	:	http://www.se.cuhk.edu.hk/~seem5201
Email	:	seem5201@se.cuhk.edu.hk

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