Professor Dirk Kroese
Professor

Dirk Kroese

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+61 7 336 53287

Background

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 a professor of Mathematics and 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 120 peer-reviewed publications, including six monographs:

  • Rubinstein, R.Y., Kroese, D.P. (2004). The Cross-Entropy Method: A Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation, and Machine Learning, Springer, New York.
  • Rubinstein, R. Y. , Kroese, D. P. (2007). Simulation and the Monte Carlo Method, 2nd edition, John Wiley & Sons.
  • Kroese, D.P., Taimre, T., and Botev, Z.I. (2011). Handbook of Monte Carlo Methods, Wiley Series in Probability and Statistics, John Wiley & Sons, New York.
  • Kroese, D.P. and Chan, J.C.C. (2014). Statistical Modeling and Computation, Springer, New York.
  • Rubinstein, R. Y. , Kroese, D. P. (2017). Simulation and the Monte Carlo Method, 3rd edition, John Wiley & Sons.
  • Kroese, D.P., Botev, Z.I., Taimre, T and Vaisman, R. (2019) Data Science and Machine Learning: Mathematical and Statistical Methods, Chapman & Hill/CRC.
  • Kroese, D.P. and Botev, Z.I. (2023). An Advanced Course in Probability and Stochastic Processes, Chapman & Hill/CRC.

Availability

Professor Dirk Kroese is:
Not available for supervision
Media expert

Fields of research

Applied mathematics Numerical and computational mathematics Statistics

Qualifications

  • Bachelor of Science, University of Twente
  • Masters (Coursework) of Science, University of Twente
  • Doctor of Philosophy, University of Twente

Research interests

  • The Cross-Entropy Method

    The CE methods involves an iterative procedure where each iteration can be broken down into two phases: (a) generate a randon data sample (trajectories, vectors, etc.) according to a specific mechanism; (b) update the parameters of the randdom mechanism based on this data in order to produce a better sample in the next iteration. I am one of the pioneers of the CE method. The simplicity and versatility of the method is explained in my book with R.Y. Rubinstein: The Cross Entropy Method: A Unified Approach to Combinatorial Optimisation. Monte-Carlo Simulation, and Machine Learning, Springer Verlag, 2004. The CE method has been applied to problems in systems reliability, buffer allocation, telecommunication systems, neural computation, control and navigation, DNA sequence alignment, scheduling and many more.

  • Monte Carlo Methods

    To better understand randomness, it is useful to perform random experiments on a computer. Such "Monte Carlo simulations" are nowadays an essential ingredient in many scientific investigations. Monte Carlo can be used in several different ways: (1) to mimic a random process so as to observe its behaviour, (2) to estimate numerical quantities (e.g., multidimensional integrals) via repeated simulation, and (3) to optimise a complicated (e.g., highly multi-modal) function.

Search Professor Dirk Kroese’s works on UQ eSpace

138 works between 1989 and 2024
All (138) Journal Article (81) Book Chapter (8) Conference Publication (37) Book (9) Other Outputs (2) Edited Outputs (1)

121 - 138 of 138 works

2002

Journal Article

Efficient simulation of a Tandem Jackson Network

Kroese, D. P. and Nicola, V. F. (2002). Efficient simulation of a Tandem Jackson Network. ACM Transactions on Modeling and Computer Simulation, 12 (2), 119-141. doi: 10.1145/566392.566395

Efficient simulation of a Tandem Jackson Network

2002

Conference Publication

Estimating buffer overflows in three stages using cross-entropy

de Boer, P.T., Kroese, D. P. and Rubinstein, R.Y. (2002). Estimating buffer overflows in three stages using cross-entropy. 35th Winter Simulation Conference (ERA Rank B), San Diego, USA, 3-11 December 2002. United States: IEEE - Computer Society. doi: 10.1109/WSC.2002.1172899

Estimating buffer overflows in three stages using cross-entropy

2001

Journal Article

Joint distributions for interacting fluid queues

Kroese, D. P. and Scheinhardt, W. R. W. (2001). Joint distributions for interacting fluid queues. Queueing Systems, 37 (1-3), 99-139. doi: 10.1023/A:1011044217695

Joint distributions for interacting fluid queues

2000

Journal Article

On the decay rates of buffers in continuous flow lines

Kroese, D. P. (2000). On the decay rates of buffers in continuous flow lines. Methodology and Computing in Applied Probability, 2 (4), 425-441. doi: 10.1023/A:1010066319278

On the decay rates of buffers in continuous flow lines

1999

Conference Publication

Efficient simulation of a tandem Jackson network

Kroese, Dirk P. and Nicola, Victor F. (1999). Efficient simulation of a tandem Jackson network. 1999 Winter Simulation Conference Proceedings (WSC), , , December 5, 1999-December 8, 1999.

Efficient simulation of a tandem Jackson network

1999

Journal Article

Efficient estimation of overflow probabilities in queues with breakdowns

Kroese, Dirk P. and Nicola, Victor F. (1999). Efficient estimation of overflow probabilities in queues with breakdowns. Performance Evaluation, 36-37, 471-484. doi: 10.1016/S0166-5316(99)00036-X

Efficient estimation of overflow probabilities in queues with breakdowns

1998

Journal Article

Efficient Simulation of Backlogs in Fluid Flow Lines

Kroese, Dirk P. and Nicola, Victor F. (1998). Efficient Simulation of Backlogs in Fluid Flow Lines. AEU-Archiv fur Elektronik und Ubertragungstechnik, 52 (3), 165-171.

Efficient Simulation of Backlogs in Fluid Flow Lines

1998

Conference Publication

Comparison of RESTART implementations

Garvels, Marnix J J and Kroese, Dirk P. (1998). Comparison of RESTART implementations. Proceedings of the 1998 Winter Simulation Conference, WSC. Part 1 (of 2), , , December 13, 1998-December 16, 1998. IEEE.

Comparison of RESTART implementations

1998

Conference Publication

Efficient simulation of backlogs in fluid flow lines

Kroese, DP and Nicola, VF (1998). Efficient simulation of backlogs in fluid flow lines. Workshop on Rare Event Simulation, Aachen Germany, Aug 28-29, 1997. JENA: GUSTAV FISCHER VERLAG.

Efficient simulation of backlogs in fluid flow lines

1998

Conference Publication

A comparison of RESTART implementations

Garvels, M. J. J . and Kroese, D. P. (1998). A comparison of RESTART implementations. Winter Simulation Conference, Washington, DC, United States, 13-16 Dec 1998.

A comparison of RESTART implementations

1997

Journal Article

Heavy traffic analysis for continuous polling models

Kroese, DP (1997). Heavy traffic analysis for continuous polling models. Journal of Applied Probability, 34 (3), 720-732. doi: 10.2307/3215097

Heavy traffic analysis for continuous polling models

1996

Journal Article

Light-traffic analysis for queues with spatially distributed arrivals

Kroese, DP and Schmidt, V (1996). Light-traffic analysis for queues with spatially distributed arrivals. Mathematics of Operations Research, 21 (1), 135-157. doi: 10.1287/moor.21.1.135

Light-traffic analysis for queues with spatially distributed arrivals

1994

Journal Article

Single-Server Queues with Spatially Distributed Arrivals

Kroese, DP and Schmidt, V (1994). Single-Server Queues with Spatially Distributed Arrivals. Queueing Systems, 17 (1-2), 317-345. doi: 10.1007/BF01158698

Single-Server Queues with Spatially Distributed Arrivals

1993

Journal Article

Queueing systems on a circle

Kroese, Dirk and Schmidt, Volker (1993). Queueing systems on a circle. Zeitschrift fuer Operations Research, 37 (3), 303-331. doi: 10.1007/BF01415999

Queueing systems on a circle

1992

Journal Article

The difference of two renewal processes: level crossing and the infimum

Kroese, D. P. (1992). The difference of two renewal processes: level crossing and the infimum. Stochastic Models, 8 (2), 221-243. doi: 10.1080/15326349208807222

The difference of two renewal processes: level crossing and the infimum

1992

Journal Article

Second-order asymptotics in level crossing for differences of renewal processes

Kroese, D. P. and Kallenberg, W. C.M. (1992). Second-order asymptotics in level crossing for differences of renewal processes. Stochastic Processes and their Applications, 40 (2), 309-323. doi: 10.1016/0304-4149(92)90016-J

Second-order asymptotics in level crossing for differences of renewal processes

1992

Journal Article

A continuous polling system with general service times

Kroese, Dirk P. and Schmidt, Volker (1992). A continuous polling system with general service times. Annals of Applied Probability, 2 (4), 906-927.

A continuous polling system with general service times

1989

Journal Article

Approximations to the Lifetime Distribution of K-Out-of-N Systems with Cold Standby

Kroese, DP and Kallenberg, Wcm (1989). Approximations to the Lifetime Distribution of K-Out-of-N Systems with Cold Standby. Mathematics of Operations Research, 14 (3), 485-501. doi: 10.1287/moor.14.3.485

Approximations to the Lifetime Distribution of K-Out-of-N Systems with Cold Standby

Past funding

  • 2021 - 2024
    Partially Observable MDPs, Monte Carlo Methods, and Sustainable Fisheries
    ARC Discovery Projects
    Open grant
  • 2018 - 2022
    High Quality and Robust Energy Conversion Systems for Distribution Networks
    ARC Linkage Projects
    Open grant
  • 2017 - 2019
    Large Scale Sequential Decision Making in an Uncertain World.
    United States Office of Naval Research
    Open grant
  • 2014 - 2021
    ARC Centre of Excellence for Mathematical and Statistical Frontiers of Big Data, Big Models, New Insights (University of Melbourne lead institution)
    University of Melbourne
    Open grant
  • 2014 - 2016
    Advanced Monte Carlo Methods for Spatial Processes
    ARC Discovery Projects
    Open grant
  • 2012 - 2013
    Monte Carlo Methods for Spatial Stochastic Modeling
    Go8 Australia - Germany Joint Research Co-operation Scheme
    Open grant
  • 2011
    New-generation parallel-computing cluster for the mathematical and physical sciences
    UQ Major Equipment and Infrastructure
    Open grant
  • 2009 - 2013
    Improved Monte Carlo Methods for Estimation, Optimisation, and Counting
    ARC Discovery Projects
    Open grant
  • 2005 - 2007
    Cross-Entropy Methods in Complex Biological Systems
    ARC Discovery Projects
    Open grant
  • 2005 - 2007
    Rare Event Simulation with Heavy Tails
    ARC Discovery Projects
    Open grant
  • 2002
    Financial markets and network bandwidth
    University of Queensland Research Development Grants Scheme
    Open grant
  • 2000 - 2001
    Rare event simulation
    UQ New Staff Research Start-Up Fund
    Open grant

Availability

Professor Dirk Kroese is:
Not available for supervision

Supervision history

Current supervision

  • Doctor Philosophy

    L\'{e}vy Processes: Theory and Applications

    Associate Advisor

    Other advisors: Dr Kazutoshi Yamazaki

  • Master Philosophy

    Improved Exploration Methods for Deep Reinforcement Learning

    Associate Advisor

    Other advisors: Dr Nan Ye

  • Doctor Philosophy

    Reinforcement Learning for Partially Observable Environments

    Associate Advisor

    Other advisors: Dr Nan Ye

  • Doctor Philosophy

    Reinforcement Learning for Large and Complex Partially Observable Markov Decision Processes

    Associate Advisor

    Other advisors: Dr Nan Ye

  • Doctor Philosophy

    Statistical Models of Extreme Weather Events in a Changing Climate

    Associate Advisor

    Other advisors: Dr Meagan Carney

Completed supervision

Enquiries

Contact Professor Dirk Kroese directly for media enquiries about:

  • Monte Carlo simulation

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