For prospective MSc and PhD students, and postdoctoral fellows
My research areas
My overall research areas include the design and testing of random number generators
for Monte Carlo simulation, the construction of quasi-Monte Carlo point sets,
quasi-Monte Carlo methods for Markov chains,
density estimation in Monte Carlo settings, techniques for
rare-event simulation, modeling of arrival processes and other stochastic aspects,
and some particular applications.
Aside from the theory, I am also interested in developing general-purpose software
for Monte Carlo and quasi-Monte Carlo.
Before sending me a request for supervision, please read the next section carefully.
Current research priorities and projects
My prime focus currently (and for the next few years)
is the design and testing of random number generators (RNGs) for Monte Carlo simulation,
the construction of quasi-Monte Carlo (QMC) point sets,
quasi-Monte Carlo methods for Markov chains, and their applications.
This includes the development of software tools to construct, analyze, and test RNGs and QMC points,
and also general software tools to support their use in various types of environments.
to get an idea of what I am doing on these topics.
You can start for example by looking at the following tutorial or review papers and the references therein:
P. L'Ecuyer, O. Nadeau-Chamard, Y.-F. Chen, and J. Lebar,
``Multiple Streams with Recurrence-Based, Counter-Based, and Splittable Random Number Generators,''
Proceedings of the 2021 Winter Simulation Conference, invited paper, IEEE Press, 2021, 1-16.
``Randomized Quasi-Monte Carlo: An Introduction for Practitioners'',
invited tutorial, in Monte Carlo and Quasi Monte Carlo Methods: MCQMC 2016,
P. W. Glynn and A. B. Owen, Eds., Springer, 2018, 29-52.
``History of Uniform Random Number Generation,''
Proceedings of the 2017 Winter Simulation Conference, invited paper, 2017, 202-230.
``IFT6561 Stochastic Simulation (class notes),'' 2022.
At this time, I have limited room for new students, and only for research on these priority topics
(RNGs and QMC), not on other topics.
If you are strong in both mathematics and computer science, are a good programmer,
and are interested in doing an MSc or a PhD on the topics of my "Current research priorities", please contact me
and send a copy of all your university-level transcripts, with a CV, and a one-page letter
that explains why you want to work with me on RNGs or QMC. I prefer .pdf files.
If your profile fits with my work, I will respond with a specific project proposal.