Professor Dirk Kroese
Chief Investigator
Dirk Kroese is a professor of Mathematics and Statistics at The University of Queensland, Brisbane, Australia. He is the co-author of several influential monographs on simulation and Monte Carlo methods, including Handbook of Monte Carlo Methods and Simulation and the Monte Carlo Method, (3rd edition). Dirk is a pioneer of the well-known Cross-Entropy method – an adaptive Monte Carlo technique which is being used around the world to help solve difficult estimation and optimization problems in science, engineering, and finance.
Research Interests:
Applied probability
Computational statistics
Cross-Entrophy method
Evolutionary computation
Importance sampling
Machine Learning
Markov chain
Markov decision process
Monte Carlo
Monte Carlo Methods
Parallel computiing
Particle Systems
Random networks
Randomised optimisation
Randomized optimization
Rare-event simulation
Sequential decision making
Splitting method
Variance reduction
Projects
Publications
Books
(2019). Data Science and Machine Learning: Mathematical and Statistical Methods.
Machine Learning & Pattern Recognition. 510.
(2016). Simulation and the Monte Carlo Methods.
1-432.
Book Chapters
(2020). Monte Carlo Methods.
(Balakrishnan, N.., Colton T.., Everitt B.., Piegorsch W.., Ruggeri F., & Teugels J.L.., Ed.).Wiley StatsRef: Statistics Reference Online. doi: 10.1002/9781118445112.stat03619.pub2
(2015). Spatial Process Simulation.
(Schmidt, V., Ed.).Stochastic Geometry, Spatial Statistics and Random Fields. 369-404. doi: 10.1007/978-3-319-10064-7_12
Invited talks, refereed proceedings and other conference outputs
(2021). Shadow Manifold Hamiltonian Monte Carlo.
Proceedings of The 24th International Conference on Artificial Intelligence and Statistics. 130, 1477-1485.
(2019). Inventory control with partially observable states.
23rd International Congress on Modelling and Simulation (MODSIM2019). 200-206. doi: 10.36334/modsim.2019.B1.wang
(2019). Unbiased Estimation of the Reciprocal Mean for Non-negative Random Variables.
The 20th INFORMS Applied Probability Society Conference.
(2019). Unbiased and Consistent Nested Sampling via Sequential Monte Carlo.
The 12th International Conference on Monte Carlo Methods and Applications.
(2019). Unbiased Estimation of The Reciprocal Mean For Non-Negative Random Variables.
2019 Winter Simulation Conference (WSC). 404 - 415. doi: 10.1109/WSC40007.2019.9004815
(2019). Unbiased Estimation of the Reciprocal Mean for Non-negative Random Variables with Applications.
The 12th International Conference on Monte Carlo Methods and Applications.
(2018). On A Generalized Splitting Method For Sampling From A Conditional Distribution.
(Rabe, M.., Juan A.. A., Mustafee N.., Skoogh A.., Jain S.., & Johansson B.., Ed.).2018 Winter Simulation Conference.
(2018). Exact posterior simulation from the linear lasso regression.
2018 Winter Simulation Conference (WSC)2018 Winter Simulation Conference (WSC). 1706 - 1717. doi: 10.1109/WSC.2018.8632237
(2018). An On-line Planner for POMDPs with Large Discrete Action Space: A Quantile-Based Approach.
Internatonal Conference on Automated Planning and Scheduling (ICAPS). 273-277. doi: 10.1609/icaps.v28i1.13906
(2018). Perfect Sampling for Gibbs Point Processes Using Partial Rejection Sampling (extended results).
AustMS 2018 62nd Annual Meeting of the Australian Mathematical Society.
(2018). Perfect Sampling for Gibbs Point Processes Using Partial Rejection Sampling.
Workshop on Advances and challenges in Monte Carlo Methods.
(2016). Lecture Notes in Computer ScienceArtificial Life and Computational IntelligenceCEMAB: A Cross-Entropy-based Method for Large-Scale Multi-Armed Bandits.
n/a. doi: 10.1007/978-3-319-51691-2,10.1007/978-3-319-51691-2_30
(2016). Splitting for Continuous Optimization.
International Workshop on Applied Probability.
(2016). Estimating the number of vertices in convex polytopes.
4th Annual International Conference on Operations Research and Statistics (ORS 2016). doi: 10.5176/2251-1938_ORS16.25
(2015). Rare event probability estimation for connectivity of large random graphs.
Winter Simulation Conference.
Journal Articles
(2020). Chromosome Arm Aneuploidies Shape Tumour Evolution, Cancer Prognosis and Drug Response.
Nature Communications. 11(1), 449. doi: 10.1038/s41467-020-14286-0
(2020). Perfect Sampling for Gibbs Point Processes using Partial Rejection Sampling.
Bernoulli. 26(3), 2082-2104. doi: 10.3150/19-BEJ1184
(2019). Perfect Sampling for Gibbs Point Processes Using Partial Rejection Sampling.
arXiv. arXiv:1901.05624v1.
(2018). On the analysis of independent sets via multilevel splitting.
Networks. 71(3), 281 - 301. doi: 10.1002/net.21805
(2018). Unbiased and Consistent Nested Sampling via Sequential Monte Carlo.
arXiv. arXiv:1810.12499.
(2018). Splitting for Multi-objective Optimization.
Methodology and Computing in Applied Probability. 20(2), 517-533. doi: 10.1007/s11009-017-9572-5
(2018). Without-replacement sampling for particle methods on finite state spaces.
Statistics and Computing. 28(3), 633-652. doi: 10.1007/s11222-017-9752-8
(2017). Stochastic Enumeration Method for Counting Trees.
Methodology and Computing in Applied Probability. 19(1), 31 - 73. doi: 10.1007/s11009-015-9457-4
(2017). The Multilevel Splitting algorithm for graph colouring with application to the Potts model.
Philosophical Magazine. 97(19), 1646 - 1673. doi: 10.1080/14786435.2017.1312023
(2017). CEoptim: Cross-Entropy R Package for Optimization.
Journal of Statistical Software. 76(8), doi: 10.18637/jss.v076.i08
(2016). Fitting Laguerre tessellation approximations to tomographic image data.
Philosophical Magazine. 96(2), 166 - 189. doi: 10.1080/14786435.2015.1125540
(2016). Improved Sampling Plans for Combinatorial Invariants of Coherent Systems.
IEEE Transactions on Reliability. 65(1), 410 - 424. doi: 10.1109/TR.2015.2446471
(2016). A comparison of random walks in dependent random environmentsAbstract.
Advances in Applied Probability. 48(01), 199 - 214. doi: 10.1017/apr.2015.13
(2016). Splitting sequential Monte Carlo for efficient unreliability estimation of highly reliable networks.
Structural Safety. 63, 1 - 10. doi: 10.1016/j.strusafe.2016.07.001
(2016). Splitting for optimization.
Computers & Operations Research. 73, 119 - 131. doi: 10.1016/j.cor.2016.04.015
(2015). Stochastic modeling and predictive simulations for the microstructure of organic semiconductor films processed with different spin coating velocities.
Modelling and Simulation in Materials Science and Engineering. 23(4), 45003. doi: 10.1088/0965-0393/23/4/045003
(2014). Inverting Laguerre Tessellations.
The Computer Journal. 57(9), 1431 - 1440. doi: 10.1093/comjnl/bxu029
