HEC Montréal, Canada, 2 - 4 mai 2011

Journées de l'optimisation 2011

HEC Montréal, Canada, 2 — 4 mai 2011

Horaire Auteurs Mon horaire

TB10 Simulation et classification / Simulations and Clustering

3 mai 2011 13h30 – 15h10

Salle: Van Houtte

Présidée par Zdravko Botev

4 présentations

  • 13h30 - 13h55

    The Markov Chain Importance Sampling Method for Rare-Event Probability Estimation

    • Zdravko Botev, prés., The University of Montreal
    • Pierre L'Ecuyer, Université de Montréal

    We present a new Monte Carlo simulation based algorithm for the estimation of the probability of a (static) network failure. We argue that the proposed algorithm is competitive to existing procedures and is applicable to a broader spectrum of problems.

  • 13h55 - 14h20

    Randomly-Shifted Lattice Rules Adapted to Specific Integrands

    • David Munger, prés., Université de Montreal
    • Pierre L'Ecuyer, Université de Montréal

    Randomly-shifted lattice rules, a variance reduction method for the simulation of stochastic estimators, replace independent Monte Carlo points with structured points more evenly distributed over the domain of integration. We compare approaches for constructing lattice rules adapted to an integrand in terms of the relative importance of the different projections.

  • 14h20 - 14h45

    Multivariate Forests with Missing Mixed Outcomes

    • Abdessamad Dine, prés., HEC Montréal
    • Denis Larocque, GERAD - HEC Montréal
    • François Bellavance, GERAD - HEC Montréal

    In this paper, we propose a multivariate random forest method for multiple responses of mixed types with missing responses. Imputation is performed for each bootstrap sample used to build the individual trees that form the forest. The individual trees are built using a weighted splitting rule allowing downweighting of imputed observations. A simulation study shows the benefits of this approach over complete case analysis when missing responses are MCAR and MAR. In particular, the gain in prediction accuracy of the proposed method is larger in the MAR case and also increases as the proportion of missing increases.

  • 14h45 - 15h10

    Robustness of Random Forests for Regression

    • Marie-Helene Roy, prés., HEC Montreal
    • Denis Larocque, GERAD - HEC Montréal

    In this study, we empirically investigate the robustness of random forests for regression problems. We also investigate the performance of five simple variations of the original random forest method, all aimed at improving robustness. Our results show that two of these variations offer good and stable performances.