Raul Tempone

Principal Investigator

Professor, Applied Mathematics and Computational Science

Location:

B1/L4 - 4109

Social Profile:

Research Interests

Raul Tempone's research interests are in the mathematical foundation of computational science and engineering. More specifically, he has focused on a posteriori error approximation and related adaptive algorithms for numerical solutions of various differential equations, including ordinary differential equations, partial differential equations, and stochastic differential equations.

He is also interested in the development and analysis of efficient numerical methods for optimal control, uncertainty quantification and bayesian model calibration, validation and optimal experimental design. The areas of application he considers include, among others, engineering, chemistry, biology, physics as well as social science and computational finance.

Selected Publications

Nadhir Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone , On the Efficient Simulation of Outage Probability in a Log-normal Fading Environment,IEEE Transactions on Communications 65 Issue: 6, 2017
F. Ruggeri, Z. Sawlan, M. Scavino, R. Tempone, A hierarchical Bayesian setting for an inverse problem in linear parabolic PDEs with noisy boundary conditions, Bayesian Analysis, Advance Publication, 12 May 2016. doi: 10.1214/16-BA1007
C. Bayer, J Happola, R. Tempone, Implied Stopping Rules for American Basket Options from Markovian Projection, arXiv:1705.00558v1, May 2017
A. Haji-Ali, R. Tempone, "Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation", has been accepted for publication in Statistics and Computing. 2017
M. Iglesias, Z. Sawlan, M. Scavino, R. Tempone, C. Wood, Bayesian inferences of the thermal properties of a wall using temperature and heat flux measurements, accepted for publication in International Journal of Heat and Mass Transfer, Sep. 2017
F. Crocce, J. Happola, J. Kiessling, R. Tempone, Error analysis in Fourier methods for option pricing, Accepted for publication in the Journal of Computational Finance (JCF), Dec. 2015
N. Ben Rached, A. Kammoun, M. Alouini, R. Tempone, Unified Importance Sampling Schemes for Efficient Simulation of Outage Capacity over Generalized Fading Channels, Accepted for publication in IEEE Journal of Selected Topics in Signal Processing, 2015
C. Bayer, A. Moraes, R. Tempone, and P. Vilanova, An Efficient Forward-Reverse Expectation-Maximization Algorithm for Statistical Inference in Stochastic Reaction Networks, Stochastic Analysis and Applications, Volume 34, Issue 2, 2016
F. Nobile, L. Tamellini, R. Tempone, Comparison of Clenshaw–Curtis and Leja quasi-optimal sparse grids for the approximation of random PDEs, International Conference on Spectral and High-Order Methods 2014 (ICOSAHOM'14), Salt Lake City, Utah, USA, June 23-27, 2014. Spectral and High Order Methods for Partial Differential Equations. Volume 106 of the series Lecture Notes in Computational Science and Engineering, pp 475-482. Springer, 2015
F. Nobile, L. Tamellini, R. Tempone, Convergence of quasi-optimal sparse grid approximation of Hilbert-valued functions: application to random elliptic PDEs, To appear in Numerische Mathematik, pp. 1—46, 2015. DOI 10.1007/s00211-015-0773-y.
G. Migliorati, F. Nobile, R. Tempone, Convergence estimates in probability and in expectation for discrete least squares with noisy evaluations in random points, Journal of Multivariate Analysis, Vol. 142, Pages 167–182. December 2015
M. Motamed, F. Nobile, R. Tempone, Analysis and computation of the elastic wave equation with random coefficients, Computers and Mathematics with Applications, Vol. 70, Issue 10, pp. 2454–2473, November 2015
J. Karlsson, S. Larsson, M. Sandberg, A. Szepessy, R. Tempone, An a posteriori error estimate for symplectic Euler approximation of optimal control problems, SIAM J. Sci. Comput. 37 (2015), A946-A969. [doi:10.1137/140959481].
Abdul-Lateef Haji-Ali, Fabio Nobile, Raul Tempone, Multi Index Monte Carlo: When Sparsity Meets Sampling, Numerische Mathematik, June 2015
Abdul Lateef Haji Ali, Fabio Nobile, Erik von Schwerin, Raul Tempone, Optimization of mesh hierarchies in Multilevel Monte Carlo samplers, Stochastic Partial Differential Equations: Analysis and Computations, 2015
Q. Long, M. Motamed, R. Tempone, Fast Bayesian optimal experimental design for seismic source inversion, Computer Methods in Applied Mechanics and Engineering, vol. 291, pp. 123-145, 2015.
B. Djehiche, H. Tembine, R. Tempone, A Stochastic Maximum Principle for Risk-Sensitive Mean-Field-Type Control, To appear in IEEE Transactions on Automatic Control, VOL. 60, NO. 10, October 2015.
Nathan Collier, Abdul-Lateef Haji-Ali, Fabio Nobile, Erik von Schwerin, Raul Tempone, A Continuation Multilevel Monte Carlo algorithm, BIT Numerical Mathematics, Volume 55, Issue 2, pp 399-432, June 2015
Q. Long, M. Scavino, R. Tempone, S. Wang. A Laplace method for under-determined Bayesian optimal experimental design. Computer Methods in Applied Mechanics and Engineering, Volume 285, Pages 849–876, March 2015.
A. Chkifa, A. Cohen, G. Migliorati, F. Nobile, R. Tempone, Discrete least squares polynomial approximation with random evaluations - application to parametric and stochastic elliptic PDEs, ESAIM: Mathematical Modelling and Numerical Analysis, 49 (3):815-837, 2015.
A. Moraes, R. Tempone, P. Vilanova, Multilevel hybrid Chernoff tau-leap, To appear in BIT Numer. Math., 2015. DOI 10.1007/s10543-015-0556-y
Annunziato, M. , Borzì, A. , Nobile, F. and Tempone, R., On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks. Applied Mathematics, Vol.5 No.16, September 2014. DOI: 10.4236/am.2014.516239.
Dario Bauso, Ben Mansour Dia, Boualem Djehiche, Hamidou Tembine, Raul Tempone, Mean Field Games for Marriage, PLOS ONE 9(5): e94933, 2014.
J. Kiessling and R. Tempone. Computable error estimates of a finite difference scheme for option pricing in exponential Levy models. BIT Numerical Mathematics, December 2014, Volume 54, Issue 4, pp 1023-1065
Christian Bayer, Hakon Hoel, Erik Von Schwerin, and Raul Tempone,  On non-asymptotic optimal stopping criteria in Monte CarloSimulations,  SIAM Journal on Scientific Computing, Volume 36, Issue 2, 2014.

Alvaro Moraes, Raúl Tempone, Pedro Vilanova, Hybrid Chernoff Tau-leap, SIAM Multiscale Modeling and Simulation journal, 12(2):581-615, 2014.

Ivo Babuska, Mohammad Motamed, and Raul Tempone A Stochastic Multiscale Method for the Elastodynamic Wave EquationArising from Fiber Composites. Computer Methods in Applied Mechanics and Engineering, Volume 276, 1 July 2014, Pages 190–211

G. Migliorati, F. Nobile, E. von Schwerin, and R. Tempone. Analysis of the Discrete L2 Projection on Polynomial Spaces with RandomEvaluations. Foundations of Computational Mathematics, June 2014, Volume 14, Issue 3, pp 419-456

Håkon Hoel, Erik von Schwerin, Raul Tempone, and Anders Szepessy, Implementation and analysis of an adaptive multilevel MonteCarlo algorithm, Monte Carlo Methods and Applications, Volume 0, Issue 0, ISSN (Online) 1569-3961, ISSN (Print) 0929-9629, DOI: 10.1515/mcma-2013-0014, November 2013

Alvaro Moraes, Fabrizio Ruggeri, Raul Tempone, Pedro Vilanova, Multiscale Modeling of Wear Degradation in Cylinder Liners, SIAM Multiscale Modeling and Simulation (MMS), 12(1):396-409, 2014.

Migliorati, G.; Nobile, F.; von Schwerin, E.; Tempone, R. Approximation of quantities of interest in stochastic PDEs by the randomdiscrete L2 projection on polynomial spaces. SIAM J. Sci. Comput., 35(3), A1440-A1460, 2013

Long, Quan; Scavino, Marco; Tempone, Raúl; Wang, Suojin Fastestimation of expected information gains for Bayesian experimental designsbased on Laplace approximations. Comput. Methods Appl. Mech. Engrg. 259 (2013), 24–39.

J. Beck, F. Nobile, L. Tamellini, R. Tempone. Convergence of quasi-optimal stochastic Galerkin methods for a class of PDEswith random coefficients. Computers & Mathematics with Applications, 2013. In press. Available online, DOI information: 10.1016/j.camwa.2013.03.004.

J. Beck, F. Nobile, L. Tamellini, R. Tempone. A quasi-optimal sparse grids procedure for groundwater flows. Spectral and High Order Methods for Partial Differential Equations - ICOSAHOM 2012. Selected papers from the ICOSAHOM conference June 25-29, 2012, Gammarth, Tunisia. Lecture Notes in Computational Science and Engineering Volume 95, pp. 1-16, 2014.

Motamed, Mohammad; Nobile, Fabio; Tempone, Raúl A stochastic collocation method for the second order wave equation with a discontinuous random speed. Numer. Math., Vol. 123, No. 3, p. 493-536, 2013.

Björk, T.; Szepessy, A.; Tempone, R.; Zouraris, G. E. Monte Carlo Euler approximations of HJM term structure financial models. BIT 53 (2013), no. 2, 341–383.

Beck, Joakim; Tempone, Raul; Nobile, Fabio; Tamellini, Lorenzo On the optimal polynomial approximation of stochastic PDEs by Galerkinand collocation methods. Math. Models Methods Appl. Sci. 22 (2012), no. 9, 1250023, 33pp.

H. Hoel, E. Von Schwerin, A. Szepessy and R. Tempone, Adaptive Multilevel Monte Carlo Simulation, Lecture Notes in Computational Science and Engineering, Vol. 82, pp. 217-234, Springer. 2012

J. Back, F. Nobile, L. Tamellini and R. Tempone. Implementation of optimal Galerkin and Collocation approximations of PDEs with Random Coefficients, in ESAIM Proceedings, vol. 33, p. 10-21, 2011.

F. Nobile, J. Back, L. Tamellini and R. Tempone. Stochastic spectral Galerkin and collocation methods for PDEs with random coefficients: a numerical comparison, in Spectral and high order methods for partial differential equations : selected papers from the ICOSAHOM ’09 Conference, June 22-26, Trondheim, Norway, p. 43-62, Lecture notes in computational science and engineering 76, 2011.

Karlsson, Jesper; Tempone, Raúl Towards automatic global error control: computable weak error expansion for the tau-leap method. Monte Carlo Methods Appl. 17 (2011), no. 3, 233–278.

Kiessling, Jonas; Tempone, Raúl Diffusion approximation of Lévy processes with a view towards finance. Monte Carlo Methods Appl. 17 (2011), no. 1, 11–45.

F. Nobile, I. Babuska and R. Tempone. A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data, in Siam Review, vol. 52, num. 2, p. 317–355, 2010.

F. Nobile and R. Tempone. Analysis and implementation issues for the numerical approximation of parabolic equations with random coefficients, in INTERNATIONAL JOURNAL FOR NUMERICAL METHODS IN ENGINEERING, vol. 80, num. 6-7, p. 979-1006, 2009.

Education

Postdoctoral Fellow, Institute for Computational and Engineering Sciences (ICES), University of Texas at Austin, 2003–2005
Ph.D., Numerical Analysis, Royal Institute of Technology, Stockholm, Sweden, 2002
Magister in Engineering Mathematics, Universidad de la Republica, Montevideo, Uruguay, 1999
Industrial and Mechanical Engineering, Universidad de la Republica, Montevideo, Uruguay, 1995

Scientific and Professional Membership

Member, Society for Industrial and Applied Mathematics (SIAM)
Member, American Mathematical Society (AMS)

Awards

First Dalhquist Research Fellowship, Royal Institute of Technology, Stockholm, Sweden, 2007–2008
Oden Faculty Research Fellow, Institute for Computational and Engineering Sciences (ICES), University of Texas at Austin, July 26–Sept. 8, 2007, and July 7–Aug. 13, 2006
Institute for Computational and Engineering Sciences (ICES) Postdoctoral Fellowship, University of Texas, 2003–2005
Swedish Institute Research Fellow, 2006–2007
Student Scholarship, Institute for Pure and Applied Mathematics (IMPA), Rio de Janeiro, Brazil, funded by the National Counsel of Technological and Scientific Development (CNPq) of Brazil, summer 1992

KAUST Affiliations

Director, KAUST Strategic Research Initiative, Uncertainty Quantification Center: http://sri-uq.kaust.edu.sa/Pages/People.aspx

Raul Tempone

Raul Tempone

Research Interests

Selected Publications

Education

Scientific and Professional Membership

Awards

KAUST Affiliations

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