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Painting of Zdravko

Zdravko Botev

Senior Lecturer in Computational Statistics and Applied Probability

School of Mathematics and Statistics
University of New South Wales
Sydney, NSW 2052
Australia

office: room 2056, The Red Center
personal tel: (61) (02) 9385 7475
secretary tel: (61) (02) 9385 7111
secretary fax: (61) (02) 9385 7123
email: botev(special symbol)unsw.edu.au

D. P. Kroese, T. Taimre, Z. I. Botev.
Handbook of Monte Carlo Methods.
John Wiley & Sons, 2011.

Handbook Home Page: montecarlohandbook.org

Order Information:
[ Wiley | Amazon ]

12-th International Conference on Monte Carlo Methods and Applications

or MCM2019 is scheduled to be held in July 2019 in Sydney, Australia and to run back-to-back with the 2019 INFORMS-APS Conference in Brisbane, Australia.
For more details contact the local chair Zdravko Botev.

Truncated Multivariate Student & Normal Toolbox

Statistical Software/Logiciels d'analyse Statistique

  • Kernel Density Estimator for One-dimensional Data in R: kde.R
  • Kernel Density Estimator for One-dimensional Data:      m file in compressed format: zip      m file: m
  • Bivariate Kernel Density Estimator:      m file in compressed format: zip      m file: m
  • Fast Multivariate Kernel Density Estimator for High Dimensions:      m file in compressed format: akde.zip      m file: akde.m
  • Stationary Gaussian Process:      m file in compressed format: zip      m file: m
  • Fractional Brownian Field:      m file in compressed format: zip      m file: m
  • Fractional Brownian Motion Generator:      m file in compressed format: zip      m file: m
  • Normal Quantile with Precision:      m file in compressed format: zip      m file: m
  • Multivariate normal cumulative distribution (QMC):      m file in compressed format: zip      m file: m
  • Multivariate normal cumulative distribution:      m file in compressed format: zip      m file: m
  • Truncated Normal Generator:      m file in compressed format: zip      m file: m
  • Truncated Multivariate Normal Generator:      m file in compressed format: zip      m file: m
  • Truncated Normal and Student's t-distribution toolbox:      Matlab toolbox: toolbox

Research Works

  • M. Colbrook, Z. I. Botev, K. Kuritz and S. MacNamara (2018), Kernel Density Estimation with Linked Boundary Conitions, submitted
  • Yi-Lung Chen, Z. I. Botev (2018), Regenerative Simulation for the Bayesian Lasso, submitted
  • Z. I. Botev, Yi-Lung Chen, P. L'Ecuyer, S. MacNamara and D. P. Kroese (2018), EXACT POSTERIOR SIMULATION FROM THE LINEAR LASSO REGRESSION, to appear in WSC2018
  • Z. I. Botev, P. L'Ecuyer and B. Tuffin (2018), Reliability Estimation for Networks with Minimal Flow Demand and Random Link Capacities, submitted
  • P. L'Ecuyer, Z. I. Botev and D. P. Kroese (2018), ON A GENERALIZED SPLITTING METHOD FOR SAMPLING FROM A CONDITIONAL DISTRIBUTION, to appear in WSC2018
  • Z. I. Botev and P. L'Ecuyer (2017), Simulation from the Tail of the Univariate and Multivariate Normal Distribution, in Innovations in Communications and Computing, edited by A. Puliafito and K. Trivedi, Chapter 8, Springer
  • Z. I. Botev, A. Ridder (2017), Variance Reduction , Wiley StatsRef: Statistics Reference Online: pages 1--6. doi:10.1002/9781118445112.stat07975
  • Z. I. Botev, R. Salomone, and D. Mackinlay (2018), Accurate Computation of the Distribution of Sums of Dependent Log-Normals with Applications to the Black-Scholes Model, submitted
  • R. Salomone, P. J. Laub, and Z. I. Botev (2018), Monte Carlo Estimation of the Density of the Sum of Dependent Random Variables, submitted
  • N. B. Rached, Z. I. Botev, A. Kammoun, S. Alouini, R. Tempone (2018), Importance sampling estimator of outage probability under generalized selection combining model, 2018 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), DOI: 10.1109/ICASSP.2018.8462177
  • N. B. Rached, Z. I. Botev, A. Kammoun, S. Alouini, R. Tempone (2018), On the Sum of Order Statistics and Applications to Wireless Communication Systems Performances, IEEE Transactions on Wireless Communications, DOI: 10.1109/TWC.2018.2871201
  • Z. I. Botev and P. L'Ecuyer (2017), Accurate Computation of The Right Tail of The Sum of Dependent Log-normal variates, Proceedings of the 2017 Winter Simulation Conference
  • Z. I. Botev and D. Mackinlay and Y.-L. Chen (2017), Logarithmically Efficient Estimation of the Tail of the Multivariate Normal Distribution, Proceedings of the 2017 Winter Simulation Conference
  • Z. I. Botev and P. L'Ecuyer (2016), Simulation from the Normal Distribution Truncated to an Interval in the Tail, Proceedings of the 10-th EAI International Conference on Performance Evaluation Methodologies and Tools , Taormina Italy, 2016
  • Z. I. Botev and Ad Ridder (2016), An M-estimator for rare-event probability estimation, Proceedings of the 2016 Winter Simulation Conference , (T. M. K. Roeder, P. I. Frazier, R. Szechtman, and E. Zhou, eds.)
  • Z. I. Botev (2017), The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting, Journal of the Royal Statistical Society, Series B , Volume 79, Part 1, pp. 1-24
  • Z. I. Botev and M. Mandjes and A. Ridder (2015), Tail distribution of the Maximum of Correlated Gaussian Random Variables, Proceedings of the 2015 Winter Simulation Conference
  • Z. I. Botev and P. L'Ecuyer (2015), Efficient Estimation and Simulation of the Truncated Multivariate Student-t Distribution, Proceedings of the 2015 Winter Simulation Conference
  • R. Vaisman, Z. I. Botev, A. Ridder (2015), Sequential Monte Carlo for Counting Vertex Covers in General Graphs, Statistics and Computing, DOI :10.1007/s11222-015-9546-9.
  • Z. I. Botev, C. J. Lloyd (2015), Importance accelerated Robbins-Monro algorithm with applications to parametric confidence limits, Electronic Journal of Statistics, Volume 9, Number 2, pages 2058-2075.
  • Z. I. Botev, A. Ridder, L. Rojas-Nandayapa (2016), Semiparametric Cross Entropy For Rare-Event Simulation, Journal of Applied Probability , Volume 53, Number 3
  • Z. I. Botev, P. L'Ecuyer, R. Simard, B. Tuffin (2015), Static Network Reliability Estimation Under the Marshall-Olkin Copula, ACM Transactions on Modeling and Computer Simulation
  • Z. I. Botev, S. Vaisman, R. Y. Rubinstein, P. L'Ecuyer (2014), Reliability of Stochastic Flow Networks with Continuous Link Capacities, Proceedings of the 2014 Winter Simulation Conference, A Tolks, S.D. Diallo, I.O, Ryzhov, L. Yilmaz, S. Buckley, and J.A. Miller, eds.
  • D. P. Kroese, T. Brereton, T. Taimre, Z. I. Botev (2014), Why the Monte Carlo Method is so important today. To appear in Wiley Interdisciplinary Reviews: Computational Statistics
  • Z. Botev, P. L'Ecuyer, and B. Tuffin (2013), Modeling and Estimating Small Unreliabilities for Static Networks with Dependent Components , Proceedings of SNA&MC 2013: Supercomputing in Nuclear Applications and Monte Carlo, article #03306, DOI: http://dx.doi.org/10.1051/snamc/201403306.
  • D. P. Kroese and Z. I. Botev (2013), Spatial Process Generation, To appear in: V. Schmidt (Ed.). Lectures on Stochastic Geometry, Spatial Statistics and Random Fields, Volume II: Analysis, Modeling and Simulation of Complex Structures, Springer-Verlag, Berlin
  • Z. I. Botev, P. L'Ecuyer, and B. Tuffin (2012), Dependent Failures in Highly-Reliable Static Networks, Proceedings of the 2012 Winter Simulation Conference, IEEE Press
  • Z. I. Botev, P. L'Ecuyer, and B. Tuffin (2012), Markov chain importance sampling with applications to rare event probability estimation, Statistics and Computing, to appear, doi: 10.1007/s11222-011-9308-2
  • Z. I. Botev, P. L'Ecuyer, G. Rubino, R. Simard, and B. Tuffin (2012), Static Network Reliability Estimation via Generalized Splitting, INFORMS Journal on Computing, to appear, doi: 10.1287/ijoc.1110.0493
  • Z. I. Botev, D. P. Kroese, R. Y. Rubinstein, and P. L'Ecuyer (2012), The Cross-Entropy Method for Optimization, In Handbook of Statistics , Volume 31: Machine Learning. V. Govindaraju and C.R. Rao, Eds, North Holland.
  • Z. I. Botev, P. L'Ecuyer, and B. Tuffin (2011), An Importance Sampling Method Based on a One-Step Look-Ahead Density from a Markov Chain, Proceedings of the 2011 Winter Simulation Conference, IEEE Press,
  • D. P. Kroese, T. Taimre and Z. I. Botev (2011), Handbook of Monte Carlo Methods, John Wiley & Sons , [ Wiley, homepage]
  • Botev. Z.I. and Kroese D. P. (2010). Efficient Monte Carlo simulation via the Generalized Splitting Method. Statistics and Computing. DOI: 10.1007/s11222-010-9201-4
  • Botev. Z.I., Grotowski J.F and Kroese D. P. (2010). Kernel density estimation via diffusion. Annals of Statistics. Volume 38, Number 5, Pages 2916--2957
  • Botev, Z.I., Kroese, D.P. (2009). The Generalized Cross Entropy Method, with Applications to Probability Density Estimation. Methodology and Computing in Applied Probability. DOI: 10.1007/s11009-009-9133-7
  • Botev, Z.I., Kroese, D.P. (2008). Non-asymptotic bandwidth selection for density estimation of discrete data. Methodology and Computing in Applied Probability. Volume 10, Number 3, 435-451,
  • Botev, Z.I., Kroese, D.P. (2008). An Efficient Algorithm for Rare-event Probability Estimation, Combinatorial Optimization, and Counting. Methodology and Computing in Applied Probability. Volume 10, Number 4, 471-505 (pdf)
  • D. P. Kroese, T. Taimre, Z. I. Botev and R. Y. Rubinstein (2007), Solutions Manual for Monte Carlo Methods, Wiley-Interscience, Second edition [ Wiley | Amazon | Barnes and Noble ]
  • Botev, Z.I, Kroese, D.P., Taimre, T. (2007). Generalized Cross-Entropy Methods with Applications to Rare-Event simulation and Optimization. Simulation. Volume 83, Number 11, 785-806
  • Botev, Z.I, Kroese, D.P., Taimre, T. (2006). Generalized Cross-Entropy Methods. Proceedings of RESIM 2006, Bamberg, Germany, 1-30. (pdf)
  • Botev, Z., Kroese, D.P. (2004). Global Likelihood Optimization via the Cross-Entropy Method, with an Application to Mixture Models. Proceedings of the Winter Simulation Conference, Washington DC, pp 529--535. (pdf)
  • Bachelor of Science Honors Project
  • This paper has been used to help write the kernel density estimation software.

Professional Service and Presentations

  • Associate Editor for the INFORMS Journal of Computing
  • Invited speaker at 11-th International Workshop on Rare Event Simulation (RESIM 2016) workshop in Eindhoven, The Netherlands
  • Co-chair of Analysis Methodology track for Winter Simulation Conference to be held in December 2016
  • Local (Australian) organizing committee member for the 20-th INFORMS Applied Probability Society Conference (APS) in July 2019
  • Chair of organizing committee for the 12-th International Conference on Monte Carlo Methods and Applications in July 2019
  • Scientific Committee member for 13-th International Conference in Monte Carlo & Quasi-Monte Carlo in Scientific Computing in July 2018
  • Treasurer of the Australian Mathematical Society Applied Probability Special Interest Group since 2016
  • Scientific Committee member for Eighth International Workshop on Applied Probability (IWAP2016) in June 2016
  • Program Committee member for 11-th International Conference on Monte Carlo Methods and Applications in July 2017

Student Supervision

  • (Honours degree, commenced 2017 March) Brendon Lai
  • (PhD degree, commenced 2017 March) Yi-Lung Chen
  • (PhD degree, March 2017) Kimie Suzuki Morales (non-primary supervisor)
  • (PhD degree, commenced 2016 March) Daniel Mackinlay
  • (2016 Honours degree) Yi-Lung Chen, Nallainathan Pradeesh
  • (2015 Honours degree)
    Kevin Lam, The Dynamic Splitting Method with an Application to Portfolio Credit Risk
    Vivian Zhong, Auxiliary Variable Methods in Bayesian Inference,
    Xuebin Zheng, Perfect Simulation from the Constrained and Censored Bayesian Linear Regression Models
  • (2014 Honours degree) Albert Lam, MultiLevel Monte Carlo Applications to Option Pricing
  • (2014 Special Topic) Adam Nie, Variational Bounds on Multivariate Normal Probabilities and an Importance Sampling Scheme
  • (2014 Vacation Scholars)
    Matthew Goodwin
    James Yang
    Adam Nie
    Yi-Lung Chen
    Fadi Antown
  • (2013 Honours degree) Alvin Huang, Rare-event probability Estimation via Empirical Likelihood Maximization
  • (2012 Master degree) Nancy Glass, Multilevel Monte Carlo method with applications to financial derivatives pricing.

Teaching