Publications

Worst case scenario analysis for elliptic problems with uncertainty

Year: 2005

Authors: I. Babuska, Nobile, F, R. Tempone

Worst-case scenario analysis for elliptic PDE’s with uncertainty

Worst-case scenario analysis for elliptic PDE’s with uncertainty

Year: 2005

Authors: I. Babuska, Nobile, F, R. Tempone

Worst-case scenario analysis for elliptic PDE’s with uncertainty

A stochastic collocation method for elliptic partial differential equations with random input data 2007

Year: 2007

Authors: Ivo Babuska, Fabio Nobile, R. Tempone

Stochastic collocation methods
Finite elements
Uncertainty Quantification
Stochastic partial differential equations
exponential convergence

Adaptive weak approximation of diffusions with jumps

Year: 2008

Authors: Mordecki, E, A. Szepessy, R. Tempone, Zouraris, G. E

diffusions with jumps
Weak approximation
error control
Euler–Maruyama method
A posteriori error estimates
backward dual functions

A Stochastic Phase-Field Model Determined from Molecular Dynamics

Year: 2010

Authors: E. Von Schwerin, A. Szepessy

Phase-field
molecular dynamics
coarse graining
Smoluchowski dynamics
stochastic differential equation

How accurate is molecular dynamics?

Year: 2011

Authors: Christian Bayer, H. Hoel, P. Plechac, A. Szepessy, R. Tempone

How accurate is molecular dynamics?

Random matrix games in wireless networks

Year: 2012

Authors: M. Khan, H. Tembine

random marix games,
robust games
CODIPAS learning

Approximation of quantities of interest in stochastic PDES by the random discrete L2 projection on polynomial spaces

Year: 2013

Authors: Migliorati, G, Nobile, F, Erik Von Schwerin, R. Tempone

PDE stochastic data
discrete least squares
polynomial approximation

Mean-field learning for satisfactory solutions

Year: 2013

Authors: H. Tembine, R. Tempone, P. Vilanova

Mean field learning
satisfactory solution
speedup learning
convergence time

Inverse problems and uncertainty quantification

Year: 2013

Authors: Alexander Litvinenko, Hermann G. Matthies

Uncertainty Quantification
Inverse Problems
quadratic Bayesian update
PCE
update of polynomial chaos expansion

Robust linear quadratic mean-field games in crowd-seeking social networks

Year: 2013

Authors: H. Tembine, D. Bauso, T. Basar

Crowd-seeking social networks
robust mean-field games

Ensemble Kalman Methods for Inverse Problems

Year: 2013

Authors: M. A. Iglesias, Kody J.H. Law,, A.M. Stuart

filters
Numerical simulation
solution of equations
Velocity measurements,
Inverse Problems
Data analysis: algorithms and implementation

Map Estimators for Bayesian Nonparametrics

Year: 2013

Authors: M. Dashti, Kody J.H. Law,, A.M. Stuart, And J. Voss

Probability
Bayesian non-parametrics
Inverse Problems

Collocation approaches for forward uncertainty propagation in PDE models with random input data

Year: 2013

Authors: F. Nobile And R. Tempone

Collocation approaches for forward uncertainty propagation in PDE models with random input data

A projection method for under determined optimal experimental designs

Year: 2013

Authors: Q. Long,, M. Scavino, R. Tempone, Wang Suojin

A projection method for under determined optimal experimental designs

Convergence of quasi-optimal stochastic Galerkin methods for a class of PDEs with random coefficients

Year: 2014

Authors: Joakim Beck, Nobile, F, L. Tamellini, R. Tempone

Uncertainty Quantification
PDEs with random data
linear elliptic equations
multivariate polynomial approximation
best M -terms polynomial approximation
Stochastic Galerkin methods
sub-exponential convergence

A quasi-optimal sparse grids procedure for groundwater flows

Year: 2014

Authors: Joakim Beck, Nobile, F, L. Tamellini, R. Tempone

Uncertainty Quantification

Analysis of the discrete L2 projection on polynomial spaces with random evaluations

Year: 2014

Authors: G. Migliorati, Fabio Nobile, Erik Von Schwerin, Raul Tempone

approximation theory
error analysis
multivariate polynomial approximation
Nonparametric regression
Noise-free data
Generalized polynomial chaos
Point Collocation

Fast Distributed Strategic Learning for Global Optima in Queueing Access Games

Year: 2014

Authors: Hamidou Tembine

Fast Distributed Strategic Learning
Global Optima
Queueing Access Games

Tutorial on mean-field type games

Year: 2014

Authors: Hamidou Tembine

Mean Field Type Games

Demand response scheme based on lottery-like rebates

Year: 2014

Authors: Galina Schwartz, Hamidou Tembine, Saurabh Amin, Shankar Sastry

Demand response
lottery

On non-asymptotic optimal stopping criteria in Monte Carlo Simulations

Year: 2014

Authors: Christian Bayer, Håkon Hoel, Erik Von Schwerin, Raul Tempone

Monte Carlo methods
Optimal stopping
sequential stopping rules,
non-asymptotic

To be or not to be intrusive? The solution of parametric and stochastic equations - the "plain vanilla" Galerkin case

Year: 2014

Authors: Loïc Giraldi, Alexander Litvinenko, Dishi Liu, Hermann G. Matthies, Anthony Nouy

Uncertainty Quantification
stochastic Galerkin approximation
parametric problems
stochastic equation
coupled system
non-intrusive computation

Computable error estimates of a finite difference scheme for option pricing in exponential Levy models

Year: 2014

Authors: J. Kiessling And R. Tempone

Levy process
infinite activity
diffusion approximation
parabolic integro-differential equation
Weak approximation
error expansion
A posteriori error estimates
finite difference method
Option pricing

On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks

Year: 2014

Authors: Annunziato, M, Borzì, A, Nobile, F, Tempone, R.

Hamilton-Jacobi-Bellman Equation
Fokker-Planck Equation
Optimal Control Theory
Stochastic differential equations
Hybrid systems

Mean Field Games for Marriage

Year: 2014

Authors: Dario Bauso, Ben Mansour Dia, Boualem Djehiche, Hamidou Tembine, Raul Tempone

Society Influence
Marriage
Mean-Field

Construction of a mean square error adaptive Euler–Maruyama method with applications in multilevel Monte Carlo. 2014

Year: 2014

Authors: Haakon Hoel, Juho Häppölä, R. Tempone

Adaptive time stepping
Stochastic differential equations
Multilevel Monte Carlo

Discrete least squares polynomial approximation with random evaluations - application to parametric and stochastic elliptic PDEs

Year: 2015

Authors: A. Chkifa, A. Cohen, G. Migliorati, Fabio Nobile, R. Tempone

approximation theory
polynomial approximation
least squares
parametric and stochastic PDEs
high-dimensional approximation

A Continuation Multilevel Monte Carlo algorithm

Year: 2015

Authors: N. Collier, A.-L Haji-Ali, Fabio Nobile, Erik Von Schwerin, Raul Tempone

SDEs,
SPDEs
Multilevel Monte Carlo
Numerical Analysis

An a posteriori error estimate for symplectic Euler approximation of optimal control problems

Year: 2015

Authors: J. Karlsson, S. Larsson, M. Sandberg, A. Szepessy, Raul Tempone

Optimal Control
error estimates
adaptivity
error control

Optimization of mesh hierarchies in Multilevel Monte Carlo samplers

Year: 2015

Authors: A.-L Haji-Ali, Fabio Nobile, Erik Von Schwerin, R. Tempone

Multilevel Monte Carlo
Monte Carlo
Partial Di erential Equations with random data
Stochastic differential equations
Optimal discretization

Computable Error Estimates for Finite Element Approximations of Elliptic Partial Differential Equations with Rough Stochastic Data 2015

Year: 2015

Authors: Eric Joseph Hall, Håkon Hoel, Mattias Sandberg, Anders Szepessy, Raul Tempone

Computable error estimates for finite element approximations of elliptic partial differential equations with rough stochastic data

Analytic regularity and collocation approximation for elliptic PDEs with random domain deformations

Year: 2016

Authors: J. E. Castrillon-Candas, Fabio Nobile, R. Tempone

Uncertainty Quantification
Stochastic collocation
stochastic PDEs
Finite elements
Complex Analysis
Smolyak Sparse Grids

Parameter Estimation via Conditional Expectation — A Bayesian Inversion

Year: 2016

Authors: H. Matthies, E. Zander, B. Rosic, A. Litvinenko

parameter estimation,
Conditional Expectation
Bayesian Inversion

Smoothing the payoff for efficient computation of Basket option prices 2016

Year: 2016

Authors: Christian Bayer, Markus Siebenmorgen, Raul Tempone

Basket option pricing
smoothing payoff

Sparse approximation of multilinear problems with applications to kernel-based methods in UQ. 2016

Year: 2016

Authors: Fabio Nobile, Raul Tempone, Sören Wolfers

Sparse approximation of multilinear problems with applications to kernel-based methods in UQ

Implied stopping rules for American basket options from Markovian projection 2017

Year: 2017

Authors: Christian Bayer, Juho Häppölä, Raul Tempone

Implied Stopping Rules for American Basket Options from Markovian Projection

A hierarchical Bayesian setting for an inverse problem in linear parabolic PDEs with noisy boundary conditions 2017

Year: 2017

Authors: F. Ruggeri, Z. Sawlan, M. Scavino, Raul Tempone

A hierarchical Bayesian setting for an inverse problem in linear parabolic PDEs with noisy boundary conditions

Multilevel weighted least squares polynomial approximation 2017

Year: 2017

Authors: Fabio Nobile, Raul Tempone, Sören Wolfers

Multilevel methods
least squares approximation
multivariate approximation
polynomial approximation
error analysis

On the thermodynamics of the Swift–Hohenberg theory

Year: 2017

Authors: L.F.R. Espath, A. F. Sarmiento, Lisandro Dalcin, And V. M. Calo

Phase-field
Gradient theory
Thermodynamics of continua
Swift–Hohenberg theory

Nesterov-aided stochastic gradient methods using Laplace approximation for Bayesian design optimization 2018

Year: 2018

Authors: André Gustavo Carlon, Ben Mansour Dia, Luis Espath, Rafael Holdorf Lopez, Raul Tempone

Optimal experimental design
Bayesian inference
Laplace approximation
Stochastic optimization
Accelerated gradient descent
Importance sampling

IGA-based multi-index stochastic collocation for random PDEs on arbitrary domains 2018

Year: 2018

Authors: Joakim Beck, Lorenzo Tamellini, Raul Tempone

Isogeometric analysis
Uncertainty Quantification
Multilevel methods
Sparse grids
Stochastic collocation methods
Combination-technique

Importance Sampling Estimator of Outage Probability under Generalized Selection Combining Model 2018

Year: 2018

Authors: Nadhir Ben Rached, Zdravko Botev, Abla Kammoun, Raul Tempone, Mohamed-Slim Alouini

Outage probability
generalised selection combining
order statistics
Monte Carlo
Importance sampling

Multilevel double loop Monte Carlo and stochastic collocation methods with importance sampling for Bayesian optimal experimental design 2019

Year: 2019

Authors: Joakim Beck, Ben Mansour Dia, Luis Espath, R. Tempone

Electrical impedance tomography
Expected information gain
Importance sampling
multilevel
Stochastic collocation

Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks 2019

Year: 2019

Authors: Chiheb Ben Hammouda, Nadhir Ben Rached, Raul Tempone

Multilevel Monte Carlo
Continuous time Markov chains
Stochastic reaction networks
Stochastic biological systems
Importance sampling

Stochastic spectral Galerkin and collocation methods for PDEs with random coefficients: a numerical comparison

Year: 2011

Authors: Joakim Back, Fabio Nobile, Lorenzo Tamellini, Raul Tempone

A stochastic collocation method for the second order wave equation with a discontinuous random speed

Year: 2013

Authors: M. Motamed,, Fabio Nobile, Raul Tempone

stochastic PDEs
Uncertainty Quantification
Sparse grids
wave equation
Numerical Analysis

Well-Posedness And Accuracy Of The Ensemble Kalman Filter In Discrete And Continuous Time

Year: 2014

Authors: D. B. Kelly, Kody J.H. Law,, A.M. Stuart

ﬁltering
EnKF
chaotic dynamical systems
Navier-Stokes
Lorenz 96
Lorenz 63

Analysis of the 3DVAR Filter for the Partially Observed Lorenz ’63 Model

Year: 2014

Authors: Kody J.H. Law,, A. Shukla, A.M. Stuart

Mathematics - Dynamical Systems
Mathematics - Optimization and Control
Physics - Data Analysis
Statistics and Probability

Accuracy and Stability of The Continuous Time 3DVAR Filter for The Navier-Stokes Equation

Year: 2013

Authors: D. Bloemker, Kody J.H. Law,, A.M. Stuart, K. Zygalakis

Probability
Analysis of PDEs
Optimization and Control

Evaluation of Gaussian approximations for data assimilation in reservoir models

Year: 2013

Authors: Marco Iglesias, Kody J.H. Law,, A.M. Stuart

Data assimilation
Reservoir characterization
Uncertainty Quantification
Inverse modelling

Proposals Which Speed-Up Function-Space MCMC

Year: 2013

Authors: Kody J.H. Law,

Statistics - Methodology, Mathematics - Dynamical Systems,
Physics - Data Analysis
Statistics and Probability

Spectral uncertainty quantification and optimal Bayesian experimental design of combustion reaction systems using sparse adaptive polynomial chaos expansion.

A Laplace method for under-determined Bayesian optimal experimental designs

Year: 2015

Authors: Q. Long,, M. Scavino, R. Tempone, S.Wang

Bayesian Statistics

Multilevel Hybrid Chernoff Tau-leap

Year: 2016

Authors: A. Moraes, R. Tempone, P. Vilanova

error estimates
error control
control variates
Weak approximation
hybrid algorithms
Multi- level Monte Carlo
Chernoff tau-leap

Multiscale Modeling of Wear Degradation in Cylinder Liners

Year: 2014

Authors: A. Moraes, F. Ruggeri, R. Tempone, P. Vilanova

Pure jump processes
Multiscale approximation
Indirect inference,
Wear processes
Master Equation.

Hybrid Chernoff Tau-leap

Year: 2014

Authors: A. Moraes, R. Tempone, P. Vilanova

Tau-leap
error estimates
error control
exit probability
Weak approximation
hybrid algorithms

Analysis and Computation of Hyperbolic PDEs with Random Data

Year: 2015

Authors: M. Motamed,, Fabio Nobile, R. Tempone

Analysis and Computation of Hyperbolic PDEs with Random Data

A Stochastic Multiscale Method for the Elastodynamic Wave Equation Arising from Fiber Composites

Year: 2014

Authors: Ivo Babuska, M. Motamed,, Raul Tempone

fiber composites
multiscale simulation
stochastic elastic wave equation
Uncertainty Quantification

Analysis and computation of the elastic wave equation with random coefficients

Year: 2015

Authors: M. Motamed,, R. Tempone, Fabio Nobile

Uncertainty Quantification
Stochastic partial differential equations
elastic wave equation
reqularity
collocation method
error analysis

Convergence of quasi-optimal sparse-grid approximation of Hilbert-space-valued functions: application to random elliptic PDEs

Year: 2015

Authors: Fabio Nobile, L. Tamellini, R. Tempone

Uncertainty Quantification
random PDE
linear elliptic equations
multivariate polynomial approximation
best M-terms polynomial approximation
Smolyak approximation
Sparse grids
Stochastic collocation methods

Risk-Sensitive Mean-Field Games

Year: 2014

Authors: H. Tembine, Q. Zhu, T. Ba

Risk-Sensitive
Risk-Seeking
Mean field games
Risk-Averse

Distributed Strategic Learning for Wireless Engineers

Year: 2012

Authors: H. Tembine

Distributed Strategic Learning
Sparse Learning
Speedup
Time-Scaling
Combined Learning
CODIPAS

Efficient low-rank approximation of the stochastic Galerkin matrix in tensor formats

Year: 2014

Authors: Mike Espig, Wolfgang Hackbusch, Alexander Litvinenko, Hermann G. Matthies, Philipp Wähnert

Tensor approximation
stochastic PDEs
Stochastic Galerkin matrix
Low-rank tensor formats
Uncertainty Quantification

Fast estimation of expected information gains for Bayesian experimental designs based on Laplace approximations

Year: 2013

Authors: Quan Long, Marco Scavino, Raul Tempone, Wang Suojin

Bayesian Statistics
Information gain
Laplace approximation
Monte Carlo Sampling
Sparse quadrature
Uncertainty Quantification
Experimental Design

Implementation and analysis of an adaptive multilevel Monte Carlo algorithm

Year: 2013

Authors: Haakon Hoel, Erik Von Schwerin, Raul Tempone, Anders Szepessy

Computational finance
Monte Carlo
multilevel
adaptivity
Weak approximation
error control
Euler–Maruyama method
A posteriori error estimates
backward dual functions
Adjoints

On the optimal polynomial approximation of stochastic PDEs by Galerkin and collocation methods

Year: 2012

Authors: Joakim Beck, Raul Tempone, Fabio Nobile, Lorenzo Tamellini

Uncertainty Quantification
PDEs with random data
elliptic equations
multi- variate polynomial approximation
best M-terms polynomial approximation
Stochastic Galerkin methods
Smolyak approximation
Sparse grids
Stochastic collocation methods

Diffusion approximation of Lévy processes with a view towards finance

Year: 2011

Authors: Kiessling, Jonas, Raul Tempone

Levy processes
infinite activity
diffusion approximation
Monte Carlo
Weak approximation
error expansion
A posteriori error estimates
adaptivity
error control
mathematical finance

Towards automatic global error control: computable weak error expansion for the tau-leap method

Year: 2011

Authors: Karlsson, Jesper, Raul Tempone

Tau-leap
Weak approximation
reaction networks
Markov chain
error estimation
A posteriori error estimates
backward dual functions

Implementation of optimal Galerkin and Collocation approximations of PDEs with Random Coefficients

Year: 2011

Authors: Fabio Nobile, L. Tamellini, R. Tempone

Uncertainty Quantification
PDEs with random data
elliptic equations
multivariate polynomial approximation
Best M-Terms approximation
Stochastic Galerkin methods
Smolyak approximation
Sparse grids
Stochastic collocation methods

A stochastic collocation method for elliptic partial differential equations with random input data

Year: 2010

Authors: Ivo Babuska, Fabio Nobile, R. Tempone

Stochastic collocation methods
partial differential equations with random inputs
Finite elements
Uncertainty Quantification
convergence rates
multivariate polynomial approx- imation
Smolyak approximation
anisotropic sparse approximation

Adaptive weak approximation of reflected and stopped diffusions

Year: 2010

Authors: Christian Bayer, Anders Szepessy, Raul Tempone

Adaptive weak approximation of reflected and stopped diffusions

Analysis and implementation issues for the numerical approximation of parabolic equations with random coefficients

Year: 2009

Authors: Fabio Nobile, Raul Tempone

PDEs with random data
parabolic equations
multivariate polynomial approximation
Stochastic Galerkin methods
Stochastic collocation methods
multi- variate polynomial approximation
Sparse grids
Smolyak approximation
Point Collocation
Monte Carlo Sampling

An anisotropic sparse grid stochastic collocation method for partial differential equations with random input data

Year: 2008

Authors: Fabio Nobile, R. Tempone, Webster, C. G.

collocation techniques
PDEs with random data
differential equations
Finite elements
Uncertainty Quantification
anisotropic sparse grids
Smolyak sparse approximation
multi- variate polynomial approximation

A sparse grid stochastic collocation method for partial differential equations with random input data.

Year: 2008

Authors: Fabio Nobile, R. Tempone, Webster, C. G.

collocation techniques
stochastic PDEs
Finite elements
Uncertainty Quantification
sparse grid
Smolyak approximation
multivariate polynomial approximation

Validation Challenge Workshop

Year: 2008

Authors: R. G. Hills,, Pilch, Martin, Dowding, Kevin J, Red-Horse, John, Paez, Thomas L, Ivo Babuska, Raul Tempone

Validation
Modeling
Simulation

Reliability of computational science

Year: 2007

Authors: I. Babuska, Fabio Nobile, R. Tempone

Model validation
Uncertainty Quantification
Bayesian update
Failure probability

Convergence rates for an adaptive dual weighted residual finite element algorithm

Year: 2006

Authors: Moon, Kyoung-Sook, Erik Von Schwerin, A. Szepessy, Raul Tempone

adaptive methods mesh refinement algorithm a posteriori error estimate computational complexity finite elements

An adaptive algorithm for ordinary, stochastic and partial differential equations

Year: 2005

Authors: Moon, Kyoung-Sook, Erik Von Schwerin, Anders Szepessy, Raul Tempone

Adaptive methods,
mesh refinement algorithm
A posteriori error estimates
Computational complexity

Adaptive Monte Carlo algorithms for stopped diffusion

Year: 2005

Authors: Moon, Kyoung-Sook, Dzougoutov, Anna, Erik Von Schwerin, Anders Szepessy, Raul Tempone

adaptive mesh refinement
diffusion with boundary
algorithm
barrier option
Monte Carlo method
Weak approximation

Theory and methodology for estimation and control of errors due to modeling, approximation, and uncertainty

Year: 2005

Authors: Oden, J. Tinsley, Ivo Babuska, Fabio Nobile, Feng, Yusheng, Raul Tempone

Modeling error estimation
Stochastic partial differential equations
Adaptive modeling

Solving elliptic boundary value problems with uncertain coefficients by the finite element method: the stochastic formulation

Year: 2005

Authors: Ivo Babuska, Raul Tempone, Zouraris, Georgios

stochastic elliptic equation
perturbation estimates
Karhunen-Loeve expansion
Finite elements
Monte Carlo methods
p × h-version
k × h-version
expected value
error estimates
Adaptive methods,
error control

Convergence rates for adaptive weak approximation of stochastic differential equations

Year: 2005

Authors: Moon, Kyoung-Sook, Zouraris, Georgios, Anders Szepessy, Raul Tempone

Adaptive mesh refinement algorithm,
Almost sure convergence
Computational complexity
Monte Carlo methods
Stochastic differential equations

Galerkin finite element approximations of stochastic elliptic partial differential equations

Year: 2004

Authors: Ivo Babuska, Raul Tempone, Zouraris, G. E

stochastic elliptic equation
perturbation estimates
Karhunen-Loeve expansion
Finite elements
Monte Carlo methods
k × h-version
p × h-version
expected value
error estimates

A variational principle for adaptive approximation of ordinary differential equations

Year: 2003

Authors: Moon, Kyoung-Sook, Zouraris, Georgios, Raul Tempone, Anders Szepessy

A variational principle for adaptive approximation of ordinary differential equations

Convergence rates for adaptive approximation of ordinary differential equations

Year: 2003

Authors: Moon, Kyoung-Sook, Anders Szepessy, Raul Tempone, Zouraris, G. E

Convergence rates for adaptive approximation of ordinary differential equations

Solving stochastic partial differential equations based on the experimental data

Year: 2003

Authors: Ivo Babuska, Liu, Kang-Man, Raul Tempone

Covariance
Karhunen-Loeve expansion
stationary random function
principle component analysis

Adaptive weak approximation of stochastic differential equations

Year: 2001

Authors: Anders Szepessy, Raul Tempone, Zouraris, G. E

Adaptive weak approximation of stochastic differential equations

Adaptive multilevel Monte Carlo simulation

Year: 2012

Authors: Håkon Hoel, Erik Von Schwerin, Anders Szepessy, Raul Tempone

Computational finance
Monte Carlo
multilevel
adaptivity
Weak approximation
error control
Euler–Maruyama method
A posteriori error estimates
backward dual functions
Adjoints

Hyperbolic differential equations and adaptive numerics

Year: 2001

Authors: Moon, Kyoung-Sook, Anders Szepessy, Raul Tempone, Zouraris, Georgios

Hyperbolic differential equations and adaptive numerics

Mean field learning: a survey

Year: 2012

Authors: H. Tembine, R. Tempone, P. Vilanova

Mean field learning

Mean field games for cognitive radio networks

Year: 2012

Authors: H. Tembine, R. Tempone, P. Vilanova

Mean field games
cognitive radio networks.

Mean field interaction in biochemical reaction networks

Year: 2011

Authors: H. Tembine, R. Tempone, P. Vilanova

Mean field interaction
reaction networks

On the Linear Stability of the Fifth-Order WENO Discretization

Year: 2011

Authors: M. Motamed,, C. B. Macdonald, S. J. Ruuth

Linear stability analysis
Method of lines
WENO
Multistep methods,
Runge–Kutta methods
Hyperbolic conservation laws

Taylor expansion and discretization errors in Gaussian beam superposition

Year: 2010

Authors: M. Motamed,, O. Runborg

Wave propagation
High frequency
Asymptotic approximation
Gaussian beam superposition
Accuracy
error estimates

Static frame challenge problem: Summary

Year: 2008

Authors: I. Babuska, R. Tempone

Model validation
Uncertainty Quantification
Failure probability

A systematic approach to model validation based on Bayesian updates and prediction related rejection criteria

Year: 2008

Authors: I. Babuska, Fabio Nobile, R. Tempone

Model validation
Uncertainty Quantification
Bayesian update
Failure probability

Validation Challenge Workshop Summary

Year: 2008

Authors: K. J. Dowding, J. Red-Horse, R. G. Hills,, T. L. Paez, I. Babuska, R. Tempone

Validation Challenge Workshop Summary

Formulation of the Static Frame Problem

Year: 2008

Authors: I. Babuska, Fabio Nobile, R. Tempone

Model validation
Uncertainty Quantification
Failure probability

Gaussian coarse graining of a master equation extension of Clarke's model

Year: 2013

Authors: H. Hoel, Henrik Nyberg

Gaussian coarse graining of a master equation extension of Clarke's model

How accurate is Born-Oppenheimer molecular dynamics for crossings of potential surfaces

Year: 2013

Authors: H. Hoel, A. Khadir, P. Plechac, M. Sandberg

How accurate is Born-Oppenheimer molecular dynamics for crossings of potential surfaces

Cost effective policies for alternative distributions of stochastic water pollution

Year: 2002

Authors: I.M. Gren, G. Destouni, R. Tempone

Cost effective policies for alternative distributions of stochastic water pollution

Optimizacion de Carteras de las Aseguradoras de Fondos de Retiro

Year: 1999

Authors: E. Accinelli, A. Piria, R. Tempone

Optimizacion de Carteras de las Aseguradoras de Fondos de Retiro

Spectral Collocation for Partial Differential Equations with Random Coefficients

Year: 2006

Authors: I. Babuska, Fabio Nobile, R. Tempone

Spectral Collocation for Partial Differential Equations with Random Coefficients

Reliability of Computer Predictions in Computational Solid Mechanics: Towards the Estimation and Control of Errors Due to Modeling, Discretization, and Uncertainty

Year: 2006

Authors: J.T. Oden, I. Babuska, K. Liechti, J.C. Browne, L. Demkowicz, Y. Feng,, Fabio Nobile, R. Tempone, P. Hosatte

Reliability of Computer Predictions in Computational Solid Mechanics: Towards the Estimation and Control of Errors Due to Modeling
Discretization, and Uncertainty

Reliability, Uncertainty Estimates, Validation and Verification

Year: 2006

Authors: I. Babuska, Fabio Nobile, J.T. Oden, R. Tempone

Reliability
Uncertainty Estimates
Validation and Verification

Monte Carlo Euler approximations of HJM term structure financial models

Year: 2013

Authors: Björk.T, Szepessy, A, R. Tempone, Zouraris, G. E

HJM model
Option price
Bond market
Stochastic differential equations
Monte Carlo methods
A priori error estimates
A posteriori error estimates

Energy-constrained mean field games in wireless networks

Year: 2014

Authors: H. Tembine

Mean field stochastic games
antijamming strategies
one-and-half player game

A discrete adapted hierarchical basis solver for radial basis function interpolation

Year: 2013

Authors: Julio Enrique Castrillon Candas, Jun Li, Victor Eijkhout

Radial basis function
Interpolation
Hierarchical basis
Integral equations
Fast summation methods
Stable completion
Lifting
Generalized least squares
Best linear unbiased estimator

An Adapted Multi-Level Solver for Large Scale Radial Basis Function Interpolation with applications to Kriging

Year: 2013

Authors: Julio Enrique Castrillon Candas, Jun Li, Victor Eijkhout

An Adapted Multi-Level Solver for Large Scale Radial Basis Function Interpolation with applications to Kriging

Mean field stochastic games for sinr-based medium access control

Year: 2011

Authors: H. Tembine, P. Vilanova, M. Assaad, M. Debbah

Mean field stochastic games
SINR

Optimum and equilibrium in assignment problems with congestion: mobile terminals association to base stations

Year: 2013

Authors: Alonso Silva, Hamidou Tembine, Eitan Altman, Merouane Debbah

optimal transport theory
static mean field game
optimal placement,
cell formation

Evolutionary Coalitional Games for Random Access Control

Year: 2013

Authors: Xin Luo, Hamidou Tembine

evolutionary coalitional games
coalitional CODIPAS learning
group-formation
evolutionarily stable coalitional structure

Characteristics of two-dimensional quantum turbulence in a compressible superfluid

Year: 2013

Authors: T. W. Neely, A. S. Bradley, E. C. Samson, S. J. Rooney, E. M. Wright, Kody J.H. Law,, R. Carretero-González, P. G. Kevrekidis,, M. J. Davis, B. P. Anderson

2d quantum turbulence
inverse energy cascade
BEC
compressible superfluid

Hybrid learning in stochastic games and its applications in network security

Year: 2013

Authors: Q. Zhu, H. Tembine, T. Basar

Strategic Learning,
Hybrid systems
Game Theory
Network Security

Evolutionary games for multiple access control

Year: 2013

Authors: Q. Zhu, H. Tembine, T. Basar

Evolutionary Games
Multiple Access Control in Wireless Networks

Parameter Identification in a Probabilistic Setting

Year: 2013

Authors: Bojana V. Rosić, Anna Kučerová,, Jan Sýkora, Oliver Pajonk, Alexander Litvinenko, Hermann G. Matthies

Parameter identification
Non-Gaussian Bayesian update
Linear Bayes
Kalman ﬁlter
Polynomial Chaos

Numerical Methods for Uncertainty Quantification and Bayesian update in Aerodynamics

Year: 2013

Authors: A. Litvinenko, H. G. Matthies

Numerical Methods for Uncertainty Quantification and Bayesian update in Aerodynamics

Sampling and Low-Rank Tensor Approximation of the Response Surface

Year: 2013

Authors: Alexander Litvinenko, Hermann G. Matthies, El-Moselhy, Tarek A.

Low-rank response surface
update of surrogate
PCE
low-rank update,
uncertainties in aerodynamics
Uncertainty Quantification

Game Dynamics and Cost of Learning in Heterogeneous 4G Networks

Year: 2012

Authors: M. Khan, H. Tembine, A. Vasilakos

Game Dynamics
Cost of Learning
Heterogeneous Networks

Computational analysis of liquid crystalline elastomer membranes: changing Gaussian curvature without stretch energy

Year: 2014

Authors: F. Cirak, Q. Long,, K. Bhattacharya, M. Warner

Liquid crystalline elastomer
Nematic elastomer
Soft material
Non-developable surface
Finite elements

On approximation- interpolation of incompressible flows

Year: 1998

Authors: J. Oppelstrup, Raul Tempone

On approximation- interpolation of incompressible flows

Numerical Methods For Uncertainty Quantification In Option Pricing

Year: 2013

Authors: Chiheb Ben Hammouda

parametric uncertainty
Option pricing
Monte Carlo Sampling
Polynomial Chaos
Sparse Grid Quadrature

Uncertainty quantification in European type contingent claims

Year: 2013

Authors: Chaouki Ben Said

European options
Uncertainty Quantification
volatility
pricing
hedging strategy
Monte Carlo
Polynomial Chaos
sparse grid

Hybrid Adaptive Multilevel Monte Carlo Algorithm for Non-Smooth Observables of Itoˆ Stochastic Differential Equations

Year: 2013

Authors: Nadhir Ben Rached

Hybrid Adaptive Multilevel Monte Carlo Algorithm for Non-Smooth Observables of Itoˆ Stochastic Differential Equations

Adaptive Monte Carlo Euler Method For Options With Low Regularity Payoffs

Year: 2012

Authors: Nadhir Ben Rached

Adaptive Monte Carlo
Euler
low regularity
smoothing
low pass filter
Richardson ex- trapolation
single level
multilevel

Nonasymptotic mean-field games

Year: 2014

Authors: H. Tembine

Nonasymptotic Mean-Field Games
mean-field approximation in finite regime

Dark Solitary Waves in a Class of Collisionally Inhomogeneous Bose-Einstein Condensates

Year: 2013

Authors: Chang Wang, Kody J.H. Law,, Panayotis, G. Kevrekidis, Mason A. Porter

Bose-Einstein Condensates
dark solitons

Hit Counter

Year: 1

Authors: Hit Counter

Hit Counter

Efficient simulation of gas-liquid pipe flows with the generalized population balance equation coupled with the algebraic slip model

Year: 2014

Authors: Matteo Icardi, Gianni Ronco, Daniele L. Marchisio, Mathieu Labois

Population balance equation
Gas-Liquid flow
Algebraic Slip Model
Direct Quadrature Method of Moments

Pore-scale simulation of fluid flow in packed-bed reactors via rigid-body simulations and CFD

Year: 2014

Authors: Gianluca Boccardo, Luigi Del Plato, Daniele Marchisio,, Frederic Augier, Yacine Haroun, Daniel Ferre, Matteo Icardi

Porous media
fixed bed catalytic reactor
Blender
Fluent
CFD
fluid dynamics
Ergun law

A multilevel adaptive reaction-splitting simulation method for stochastic reaction networks

Year: 2016

Authors: A. Moraes, R. Tempone, P. Vilanova

error estimates
error control
control variates
Weak approximation
hybrid algorithms
Multilevel Monte Carlo
Chernoff tau-leap
reaction splitting

Fast Bayesian optimal experimental design for seismic source inversion

Year: 2015

Authors: Q. Long,, M. Motamed,, Raul Tempone

Bayesian experimental design,
Information gaingain
Laplace approximation
Monte Carlo Sampling
Uncertainty Quantification
Sparse quadrature
Seismic source inversion

Dynamic and energetic stabilization of persistent currents in Bose-Einstein condensates.

Year: 2014

Authors: Kody J.H. Law,, T. W. Neely, P. G. Kevrekidis,, B. P. Anderson, A. S. Bradley, R. Carretero-González

Bose-Einstein condensate (BEC)
vortices
bifurcation and stability analysis

Determining white noise forcing from Eulerian observations in the Navier-Stokes equation

Year: 2014

Authors: Viet Ha Hoang, Kody J.H. Law,, A.M. Stuart

Bayesian Inversion
Navier-Stokes equation
White noise forcing

Computation of the Response Surface in the Tensor Train data format

Year: 2014

Authors: Sergey Dolgov, Boris N. Khoromskij, Alexander Litvinenko, Hermann G. Matthies

Computation of the Response Surface in the Tensor Train data format

An Extension of Clarke’s Model With Stochastic Amplitude Flip Processes

Year: 2014

Authors: Haakon Hoel, Henrik Nyberg

Multipath channels
Gaussian processes
Ray tracing

Multi Index Monte Carlo: When Sparsity Meets Sampling

Year: 2015

Authors: A.-L Haji-Ali, Fabio Nobile, Raul Tempone

Multi- level Monte Carlo
Monte Carlo
Partial Differential Equations with random data
Stochastic differential equations
Weak approximation
Sparse approximation
Combination-technique

On the detectability of transverse cracks in laminated composites using electrical potential change measurements

Year: 2014

Authors: L. Selvakumaran, Q. Long,, S. Prudhomme, G. Lubineau

Transverse cracking
Sensitivity
Impedance tomography
Analytical model
Laminated composites

Comparison of Clenshaw–Curtis and Leja quasi-optimal sparse grids for the approximation of random PDEs

Year: 2015

Authors: Fabio Nobile, L. Tamellini, Raul Tempone

Uncertainty Quantification
PDEs with random data
linear elliptic equations
Stochastic collocation methods
Sparse grids approximation
Leja points
Clenshaw–Curtis points

A combined finite volume–nonconforming finite element scheme for compressible two phase flow in porous media

Year: 2014

Authors: Bilal Saad, Mazen Saad

Two-phase flow in porous medium
finite volume methods
finite element methods
convergence study

Kriging and Spatial Design Accelerated by Orders of Magnitude: Combining Low-Rank Covariance Approximations with FFT-Techniques

Year: 2013

Authors: Nowak, A. Litvinenko, W

low-rank tensor approximation
Spectral methods,
Efficient geostatistical estimation
geostatistical optimal design

Pore-scale simulation of fluid flow and solute dispersion in three-dimensional porous media

Year: 2014

Authors: Matteo Icardi, Gianluca Boccardo, Daniele L. Marchisio, Tiziana Tosco, Rajandrea Sethi

Pore-scale simulation of fluid flow and solute dispersion in three-dimensional porous media

Additional Results on the Hazard Rate Twisting Based Simulation Approach

Year: 2014

Authors: Nadhir Ben Rached, Fatma Benkhelifa, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone

Crude Monte Carlo
Rare events
Importance sampling
Hazard rate twisting
asymptotic optimality
Twisting parameter

Multilevel Monte Carlo method for PDEs with fluid dynamic applications

Year: 2014

Authors: Nathan Quadrio

Uncertainty Quantification
Monte Carlo Sampling
variance reduction
Multi- level Monte Carlo

Solving the Klein-Gordon equation using Fourier spectral methods: A benchmark test for computer performance

Year: 2015

Authors: S. Aseeri, O. Batrašev, M. Icardi, B. Leu, A. Liu, N. Li, B.K. Muite, E. Müller, B. Palen, M. Quell, H. Servat, P. Sheth, R. Speck, M. Van Moer, J. Vienne

HPC
Fourier methods

A Stochastic Maximum Principle for Risk-Sensitive Mean-Field-Type Control

Year: 2015

Authors: Boualem Djehiche, Hamidou Tembine, Raul Tempone

Optimization and Control (math.OC)
Systems and Control (cs.SY)
Probability (math.PR)
Risk Management (q-fin.RM)

Dimension-independent likelihood-informed MCMC

Year: 2014

Authors: Tiangang Cui, Kody J.H. Law,, Youssef M. Marzouk

Dimension-independent likelihood-informed MCMC

Controlling Unpredictability with Observations in the Partially Observed Lorenz '96 Model

Year: 2014

Authors: Kody J.H. Law,, D. Sanz-Alonso, A. Shukla, A.M. Stuart

Controlling Unpredictability with Observations in the Partially Observed Lorenz '96 Model

Deterministic Methods for Nonlinear Filtering, part I: Mean-field Ensemble Kalman Filtering

Year: 2014

Authors: Kody J.H. Law,, Raul Tempone, Hamidou Tembine

Deterministic Methods for Nonlinear Filtering, part I: Mean-field Ensemble Kalman Filtering

Multilevel ensemble Kalman filtering

Year: 2016

Authors: Håkon Hoel, Kody J.H. Law,, Raul Tempone

Multilevel ensemble Kalman filtering

A Fast Simulation Method for the Sum of Subexponential Distributions

Year: 2014

Authors: Nadhir Ben Rached, Fatma Benkhelifa, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone

A Fast Simulation Method for the Sum of Subexponential Distributions

Error analysis in Fourier methods for option pricing

Year: 2015

Authors: F. Crocce, J Happola, J. Kiessling, R. Tempone

error analysis
Option pricing
Fourier methods
Spectral methods,
Levy processes
Stochastic processes
Hardy functions

Polynomial Chaos Expansion of random coefficients and the solution of stochastic partial differential equations in the Tensor Train format

Year: 2015

Authors: Sergey Dolgov, Boris N. Khoromskij, Alexander Litvinenko, Hermann G. Matthies

Uncertainty Quantification
polynomial chaos expansion
Karhunen-Loeve expansion
stochastic Galerkin
tensor product methods
tensor train format
adaptive cross approximation
block cross

Multilevel Sequential Monte Carlo Samplers

Year: 2015

Authors: Alexandros Beskos, Ajay Jasra, Kody Law, Raul Tempone, Yan Zhou

Multilevel Monte Carlo
sequential Monte Carlo
Bayesian Inverse Problems

Validation of direct pore scale modeling approaches to wettability

Year: 2015

Authors: Raul Verma, Matteo Icardi, Masa Prodanovic

Validation of direct pore scale modeling approaches to wettability

On the predictivity of pore-scale simulations: estimating uncertainties with multilevel Monte Carlo

Year: 2016

Authors: Matteo Icardi, Gianluca Boccardo, Raul Tempone

pore-scale simulation
Multilevel Monte Carlo
stochastic upscaling
Uncertainty Quantification

An Efficient Forward-Reverse Expectation-Maximization Algorithm for Statistical Inference in Stochastic Reaction Networks

Year: 2016

Authors: Christian Bayer, A. Moraes, R. Tempone, P. Vilanova

Forward-reverse algorithm
Monte Carlo EM algorithm
inference for stochastic reaction networks
bridges for continuous-time Markov chains

Quantification of airfoil geometry-induced aerodynamic uncertainties - comparison of approaches

Year: 2015

Authors: Dishi Liu, Alexander Litvinenko, Claudia Schillings, Volker Schulz

Quantification of airfoil geometry-induced aerodynamic uncertainties - comparison of approaches

Variance Decomposition in Stochastic Simulators

Year: 2015

Authors: Olivier Le Maitre, Omar Knio, Alvaro Moraes

Variance Decomposition in Stochastic Simulators

An Improved Hazard Rate Twisting Approach for the Statistic of the Sum of Subexponential Variates

Year: 2015

Authors: N. Ben Rached, A. Kammonen, Mohamed-Slim Alouini, Raul Tempone

Hazard rate twisting
asymptotic optimality
minmax approach
subexponential
Twisting parameter
variance reduction

Accelerated dimension-independent adaptive Metropolis

Year: 2015

Authors: Yuxin Chen, David Keyes, Kody J.H. Law,, Hatem Ltaief

Accelerated dimension-independent adaptive Metropolis

An Efficient Simulation Scheme of the Outage Probability with Co-Channel Interference

Year: 2015

Authors: Nadhir Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone

Outage probability
sum of correlated Lognormal
Importance sampling
covariance matrix scaling
computational gain
naive Monte Carlo simulations

Optimal Bayesian Experimental Design for Priors of Compact Support with Application to Shock-Tube Experiments for Combustion Kinetics

Year: 2015

Authors: Fabrizio Bisetti, Daesang Kim, Omar Knio, Quan Long, Raul Tempone

Bayesian optimal experimental design
Laplace approximation
Truncated Gaussian approximation
Polynomial surrogates
Combustion kinetics
Shock–tube

A Sparse Stochastic Collocation Technique for High Frequency Wave Propagation with Uncertainty

Year: 2016

Authors: Gabriela Malenova, Mohammad Motamed, Olof Runborg, Raul Tempone

A Sparse Stochastic Collocation Technique for High Frequency Wave Propagation with Uncertainty

An adaptive sparse grid algorithm for elliptic PDEs with lognormal diffusion coefficient

Year: 2016

Authors: Fabio Nobile, L. Tamellini, Raul Tempone, F. Tesei

An adaptive sparse grid algorithm with application to elliptic PDEs with lognormal diffusion coefficient

Convergence estimates in probability and in expectation for discrete least squares with noisy evaluations in random points

Year: 2015

Authors: G. Migliorati, Fabio Nobile, Raul Tempone

approximation theory
discrete least squares
noisy evaluations
error analysis
convergence rates
large deviations
learning theory
multivariate polynomial approximation

Fourier Transform Methods for Option Pricing

Year: 2015

Authors: Soumaya Elkantassi

Fourier Transform Methods for Option Pricing

Multi-Index Stochastic Collocation for random PDEs

Year: 2016

Authors: A.-L Haji-Ali, Fabio Nobile, L. Tamellini, Raul Tempone

Multi-Index Stochastic Collocation for random PDEs

Multi-index Stochastic Collocation convergence rates for random PDEs with parametric regularity

Year: 2016

Authors: A.-L Haji-Ali, Fabio Nobile, L. Tamellini, Raul Tempone

Multi-index Stochastic Collocation convergence rates for random PDEs with parametric regularity

Unified Importance Sampling Schemes for Efficient Simulation of Outage Capacity over Generalized Fading Channels

Year: 2015

Authors: N. Ben Rached, A. Kammonen, Mohamed-Slim Alouini, Raul Tempone

Outage capacity
Naive Monte Carlo
Hazard rate twisting
Importance sampling
asymptotic optimality
bounded relative error

Multilevel hybrid split-step implicit tau-leap

Year: 2016

Authors: C. Ben Hammouda, A. Moraes, Raul Tempone

Stochastic reaction networks
Multilevel Monte Carlo
Split-step implicit

Basket option pricing for processes with jumps using sparse grids and Fourier transforms

Year: 2015

Authors: A. Iania

Basket option pricing for processes with jumps using sparse grids and Fourier transforms

Bayesian inference and model comparison for metallic fatigue data

Year: 2016

Authors: I. Babuska, Z. Sawlan, M. Scavino, Barna Szabó, Raul Tempone

Metallic fatigue data
fatigue life prediction
random fatigue-limit models
Maximum likelihood methods
Bayesian computational techniques for model calibration/ranking
predictive accuracy for Bayesian models

Inverse Problems in a Bayesian Setting

Year: 2016

Authors: H. G. Matthies, E. Zander, B. V. Rosic, A. Litvinenko, O. Pajonk

Inverse Problems
Bayesian Setting

Energy Exchange Analysis in Droplet Dynamics via the Navier–Stokes–Cahn–Hilliard Model

Year: 2016

Authors: LFR Espath,, AF Sarmiento, P Vignal, BON Varga, AMA Cortes, L Dalcin, VM Calo

Energy Exchange Analysis in Droplet Dynamics via the Navier–Stokes–Cahn–Hilliard Model

Some probabilistic properties of fractional point processes

Year: 2016

Authors: R. Garra, E. Orsingher, M. Scavino

Fractional point processes
Bern?stein functions
Space-time Fractional Poisson processes
grey Brownian motion

Bayesian inferences of the thermal properties of a wall using temperature and heat flux measurements

Year: 2018

Authors: Marco Iglesias, Zaid Sawlan, Marco Scavino, Raul Tempone, M.A. Katsoulakis, Christopher Wood

heat equation
nuisance boundary parameters marginalization
heat flux measurements
Solid Walls
Bayesian inference
thermal resistance
heat capacity
Experimental Design

Parametrizing coarse grained models for molecular systems at equilibrium

Year: 2016

Authors: E. Kalligiannaki, A. Chazirakis, A. Tsourtis, M.A. Katsoulakis, P. Plechac, V. Harmandaris

Parametrizing coarse grained models for molecular systems at equilibrium

Bayesian Parameter Estimation via Filtering and Functional Approximations

Year: 2017

Authors: H. G. Matthies, A. Litvinenko, B. V. Rosic, E. Zander

Bayesian Parameter Estimation via Filtering and Functional Approximations

A hierarchical Bayesian setting for an inverse problem in linear parabolic PDEs with noisy boundary conditions

Year: 2016

Authors: F. Ruggeri, Z. Sawlan, M. Scavino, Raul Tempone

A hierarchical Bayesian setting for an inverse problem in linear parabolic PDEs with noisy boundary conditions

On the Efficient Simulation of Outage Probability in a Log-normal Fading Environment

Year: 2017

Authors: N. Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone

On the Efficient Simulation of Outage Probability in a Log-normal Fading Environment

On the Efficient Simulation of the Left-Tail of the Sum of Correlated Log-normal Variates

Year: 2017

Authors: N. Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone

On the Efficient Simulation of the Left-Tail of the Sum of Correlated Log-normal Variates

Fast Bayesian experimental design: Laplace-based importance sampling for the expected information gain

Year: 2018

Authors: Joakim Beck, Ben Mansour Dia, Luis Espath, Quan Long, Raul Tempone

Fast Bayesian experimental design: Laplace-based importance sampling for the expected information gain

Smolyak's algorithm: A powerful black box for the acceleration of scientific computations

Year: 2018

Authors: Raul Tempone, Sören Wolfers

Smolyak algorithm
Sparse grids
hyperbolic cross approximation
Combination-technique
Multilevel methods

HLIBCov: Parallel Hierarchical Matrix Approximation of Large Covariance Matrices and Likelihoods with Applications in Parameter Identification

Year: 2017

Authors: Alexander Litvinenko

HLIBPro
HLIBCov
parallel hierarchical matrices
approximating large covariance matrice
parameter estimation,
Gaussian likelihood

Spatial Poisson processes for fatigue crack initiation

Year: 2019

Authors: Ivo Babuska, Zaid Sawlan, Barna Szabó, Raul Tempone

Fatigue crack initiation,
Linear elasticity
Notched metallic specimens,
Spatial Poisson processes
Fatigue-limit models
Maximum likelihood methods

Hierarchical adaptive sparse grids for option pricing under the rough Bergomi model

Year: 2018

Authors: Christian Bayer, Chiheb Ben Hammouda, Raul Tempone

Rough volatility
Monte Carlo
Adaptive sparse grids
Brownian bridge construction
Richardson extrapolation

Direct numerical simulation of bi-disperse particle-laden gravity currents in the channel configuration

Year: 2017

Authors: Francisco, Ezequiel P, L. F. R. Espath, J. H. Silvestrini

Bi-disperse flows
Particle-laden gravity currents
Direct numerical simulation
Energy budget

Reynolds number and settling velocity influence for finite-release particle-laden gravity currents in a basin

Year: 2018

Authors: Francisco, E.P, L. F. R. Espath, S. Laizet, J.H

Particle-laden gravity current
Energy budget
Deposition of particles
Direct numerical simulation

Reactive n-species Cahn–Hilliard system: A thermodynamically-consistent model for reversible chemical reactions

Year: 2019

Authors: Clavijo, S. P, A. F. Sarmiento, L. F. R. Espath, Lisandro Dalcin, A. M. A. Cortes, V. M. Calo

Multicomponent Cahn–Hilliard
Chemical reactions
Spinodal decomposition
Isogeometric analysis

Approximation Methods for Inhomogeneous Geometric Brownian Motion

Year: 2018

Authors: Capriotti Luca, Jiang Yupeng, Shaimerdenova Gaukhar

Inhomogeneous Geometric Brownian Motion
Constant Elasticity of Variance
Arrow-Debreu Security
Derivative Pricing
Power Series Expansions

Eficient Monte Carlo Simulation of the Left Tail of Positive Gaussian Quadratic Forms

Year: 2019

Authors: Chaouki Ben Issaid, Mohamed-Slim Alouini, Raul Tempone

Importance sampling
left tail
positive quadratic forms
Gaussian random vector
bounded relative error

Multilevel Monte Carlo in approximate Bayesian computation

Year: 2019

Authors: Ajay Jasra, Seongil Jo,, David Nott, Christine Shoemaker, Raul Tempone

Approximate Bayesian computation
Multilevel Monte Carlo
sequential Monte Carlo

On the sum of order statistics and applications to wireless communication systems performances

Year: 2018

Authors: Nadhir Ben Rached, Zdravko Botev, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone

order statistics
Outage probability
generalised selection combining
Monte Carlo
variance reduction
Importance sampling
conditional MC.

Tucker Tensor analysis of Matern functions in spatial statistics

Year: 2017

Authors: Alexander Litvinenko, David Keyes, Venera Khoromskaia, Boris N. Khoromskij, Hermann G. Matthies

Fourier transform
low-rank tensor approximation
geostatistical optimal design
kriging
Matern covariance
Hilbert tensor,
Kalman ﬁlter
Bayesian update
loglikelihood surrogate

Implied stopping rules for American basket options from Markovian projection

Year: 2019

Authors: Christian Bayer, Juho Häppölä, Raul Tempone

Basket option
Optimal stopping
Black–Scholes
Error bounds
Monte Carlo
Markovian projection
Hamilton–Jabcobi–Bellman

Multilevel ensemble Kalman filtering for spatio-temporal processes

Year: 2017

Authors: Haakon Hoel, Alexey Chernov, Kody Law, Fabio Nobile, Raul Tempone

Monte Carlo
multilevel
ﬁltering
Kalman ﬁlter
ensemble Kalman ﬁlter
partial differential equations (PDE)

Multilevel and Multi-index Monte Carlo methods for the McKean–Vlasov equation.

Year: 2017

Authors: Abdul-Lateef Haji-Ali, Raul Tempone

Multi-index Monte Carlo
Multilevel Monte Carlo
Monte Carlo Particle systems
McKean–Vlasov Mean-field
Stochastic differential equations
Combination-technique
Sparse approximation
Weak approximation

Ensemble-marginalized Kalman filter for linear time-dependent PDEs with noisy boundary conditions: Application to heat transfer in building walls.

Year: 2018

Authors: Iglesias, Marco, Zaid Sawlan, Marco Scavino, Raul Tempone, Christopher Wood

ensemble Kalman ﬁlter
linear PDEs
heat equation
nuisance boundary parameters marginalization
heat flux measurements
thermal resistance
heat capacity

Sparse approximation of multilinear problems with applications to kernel-based methods in UQ.

Year: 2018

Authors: Fabio Nobile, Raul Tempone, Sören Wolfers

kernel-based methods in UQ

Efficient outage probability evaluation of diversity receivers over α-μ fading channels

Year: 2018

Authors: Chaouki Ben Issaid, Mohamed-Slim Alouini, Raul Tempone

—α−μ, κ−μ, η−μ, importance sampling
Monte Carlo
bounded relative error
Outage probability
diversity techniques

Smoothing the payoff for efficient computation of Basket option prices

Year: 2018

Authors: Christian Bayer, Markus Siebenmorgen, Raul Tempone

Computational finance
European option pricing
Multivariate approximation and integration
Sparse grids
Stochastic collocation methods
Monte Carlo
Quasi Monte Carlo methods

On the Fast and Precise Evaluation of the Outage Probability of Diversity Receivers Over α−μ , κ−μ , and η−μ Fading Channels

Year: 2018

Authors: Chaouki Ben Issaid, Mohamed-Slim Alouini, Raul Tempone

—α−μ, κ−μ, η−μ, importance sampling
Monte Carlo
bounded relative error
Outage probability
diversity techniques

On the generalization of the hazard rate twisting-based simulation approach

Year: 2018

Authors: Rached, Nadhir Ben Rached, Fatma Benkhelifa, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone

Naive Monte Carlo
Rare events
Importance sampling
Hazard rate twisting
Logarithmic efficient
Twisting parameter

Nesterov-aided stochastic gradient methods using Laplace approximation for Bayesian design optimization

Year: 2020

Authors: André Gustavo Carlon, Ben Mansour Dia, Luis Espath, Rafael Holdorf Lopez, Raul Tempone

Optimal experimental design
Bayesian inference
Laplace approximation
Stochastic optimization
Accelerated gradient descent
Importance sampling

A Wasserstein Coupled Particle Filter for Multilevel Estimation

Year: 2020

Authors: Marco Ballesio, Ajay Jasra, Erik Von Schwerin, Raul Tempone

ﬁltering
diffusions
Multilevel Monte Carlo
Particle Filters

A Derivative Tracking Model for Wind Power Forecast Error

Year: 2020

Authors: Renzo Caballero, Ahmed Kebaier, Marco Scavino, Raul Tempone

Wind power
probabilistic forecasting
Stochastic differential equations
Lamperti transform,
numerical optimization
model selection
time-inhomogeneous Jacobi diffusion

A Universal Splitting Estimator for the Performance Evaluation of Wireless Communications Systems

Year: 2020

Authors: Nadhir Ben Rached, Daniel MacKinlay, Zdravko Botev, Raul Tempone, Mohamed-Slim Alouini

rare event
performance evaluation
multilevel splitting algorithm
variance reduction

On the Efficient Simulation of the Distribution of the Sum of Gamma-Gamma Variates with Application to the Outage Probability Evaluation Over Fading Channels

Year: 2017

Authors: Chaouki Ben Issaid, Nadhir Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone

Gamma-Gamma
generalized-K
Importance sampling
Monte Carlo
bounded relative error
Outage probability
diversity techniques

A Unified Moment-Based Approach for the Evaluation of the Outage Probability with Noise and Interference

Year: 2017

Authors: Nadhir Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone

moment-based approach
Outage probability
generalized fading environment
interference
power series expansion
cross-moments
convergence study
selection diversity

Accurate Outage Probability Evaluation of Equal Gain Combining Receivers

Year: 2018

Authors: Nadhir Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone

Outage probability
equal gain combining
Importance sampling
sample rejection
bounded relative error

Importance Sampling Estimator of Outage Probability under Generalized Selection Combining Model

Year: 2018

Authors: Nadhir Ben Rached, Zdravko Botev, Abla Kammoun, Raul Tempone, Mohamed-Slim Alouini

Outage probability
generalised selection combining
order statistics
Monte Carlo
Importance sampling

On the Sum of Gamma-Gamma Variates with Application to the Fast Outage Probability Evaluation over Fading Channels

Year: 2016

Authors: Chaouki Ben Issaid, Nadhir Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone

Gamma-Gamma
generalized-K
Importance sampling
Monte Carlo
bounded relative error
Outage probability
maximum ratio combining

An Exact Power Series Formula of the Outage Probability with Noise and Interference over Generalized Fading Channels

Year: 2016

Authors: Nadhir Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone

moment-based approach
Outage probability
cochannel interference
power series expansion
cross-moments
Rician fading environment
convergence study

A Unified Simulation Approach for the Fast Outage Capacity Evaluation over Generalized Fading Channels

Year: 2015

Authors: Nadhir Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone

Outage capacity
fading channels
Hazard rate twisting
Importance sampling
asymptotic optimality

A Fast Simulation Method for the Log-Normal Sum Distribution Using a Hazard Rate Twisting Technique

Year: 2015

Authors: Nadhir Ben Rached, Fatma Benkhelifa, Mohamed-Slim Alouini, Raul Tempone

Log-normal sum distribution
Crude Monte Carlo
Rare events
Importance sampling
Hazard rate twisting

Multilevel weighted least squares polynomial approximation

Year: 2020

Authors: Abdul-Lateef Haji-Ali, Fabio Nobile, Raul Tempone, Sören Wolfers

Multilevel methods
least squares approximation
multivariate approximation
polynomial approximation
convergence rates
error analysis

IGA-based multi-index stochastic collocation for random PDEs on arbitrary domains

Year: 2019

Authors: Joakim Beck, Lorenzo Tamellini, Raul Tempone

Isogeometric analysis
Uncertainty Quantification
Multilevel methods
Sparse grids
Stochastic collocation methods
Combination-technique

Classical Langevin Dynamics Derived from Quantum Mechanics

Year: 2019

Authors: Håkon Hoel, Anders Szepessy

Stochastic methods
Quantum dynamics and nonequilibrium statistical mechanics
Stochastic differential and integral equations
Stochastic ordinary differential equations

Multilevel Ensemble Kalman Filtering with local-level Kalman Gains

Year: 2020

Authors: Håkon Hoel, Gaukhar Shaimerdenova, Raul Tempone

Stochastic differential and integral equations
Complexity and performance of numerical algorithms

Construction of a Mean Square Error Adaptive Euler–Maruyama Method With Applications in Multilevel Monte Carlo

Year: 2016

Authors: Haakon Hoel, Juho Häppölä, Raul Tempone

Multilevel Monte Carlo
Stochastic differential equations
Euler–Maruyama method
Adaptive methods,
A posteriori error estimation
Adjoints

Computable Error Estimates for Finite Element Approximations of Elliptic Partial Differential Equations with Rough Stochastic Data

Year: 2016

Authors: Eric Joseph Hall, Håkon Hoel, Mattias Sandberg, Anders Szepessy, Raul Tempone

a posteriori error
Galerkin error
quadrature error
elliptic PDE
random PDE
Monte Carlo methods
lognormal

Pricing American Options by Exercise Rate Optimization 2018

Year: 2018

Authors: Christian Bayer, Raul Tempone, Sören Wolfers

Computational finance
American option pricing
stochastic optimization problem
Rough Bergomi

Bayesian earthquake dating and seismic hazard assessment using chlorine-36 measurements (BED v1)

Year: 2018

Authors: Joakim Beck, Sören Wolfers, Gerald P. Roberts

Bayesian earthquake dating

Computation of Electromagnetic Fields Scattered From Objects With Uncertain Shapes Using Multilevel Monte Carlo Method 2018

Year: 2018

Authors: Alexander Litvinenko, Abdulkadir C. Yucel, Hakan Bagci, Jesper Oppelstrup, Eric Michielssen, Raul Tempone

uncertainty quantiﬁcation in geometry
random geometry
multilevel Monte Carlo method (MLMC)
continuation MLMC
integral equation
fast multipole method (FMM)
fast Fourier transform (FFT)
scattering problem

ℋ‐matrix techniques for approximating large covariance matrices and estimating its parameters

Year: 2016

Authors: Alexander Litvinenko, Marc Genton, Ying Sun, David Keyes

ℋ‐matrix

Multilevel Monte Carlo Acceleration of Seismic Wave Propagation under Uncertainty

Year: 2019

Authors: Marco Ballesio, Joakim Beck, Anamika Pandey, Laura Parisi, Erik Von Schwerin, Raul Tempone

Multilevel Monte Carlo
Propagation of Uncertainty
Seismic Wave Propagation
Partial Differential Equations with random data

Multilevel double loop Monte Carlo and stochastic collocation methods with importance sampling for Bayesian optimal experimental design

Year: 2020

Authors: Joakim Beck, Ben Mansour Dia, Luis Espath, R. Tempone

Electrical impedance tomography
Expected information gain
Importance sampling
multilevel
Stochastic collocation

A stochastic gradient approach for the reliability maximization of passively controlled structures

Year: 2019

Authors: A.G. Carlon, R.H. Lopez, L.F.R. Espath, L.F.F. Miguel, A.T. Beck

Robust design
Reliability maximization,
Stochastic gradient descent
Friction tuned mass dampers
Passive control

Solution of the 3D density-driven groundwater flow problem with uncertain porosity and permeability

Year: 2020

Authors: Alexander Litvinenko, Dimitry Logashenko, Raul Tempone, Gabriel Wittum, David Keyes

Uncertainty Quantification
Density-driven ﬂow
Multigrid
ug4
Reservoir
Groundwater
Salt formations

Numerical smoothing and hierarchical approximations for efficient option pricing and density estimation

Year: 2020

Authors: Christian Bayer, Chiheb Ben Hammouda, Raul Tempone

Deterministic quadrature methods
Hierarchical variance reduction methods
Multilevel Monte Carlo
Numerical smoothing
Adaptive sparse grids quadrature
Brownian bridge,
Richardson extrapolation
Option pricing
Monte Carlo

Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model

Year: 2020

Authors: Christian Bayer, Chiheb Ben Hammouda, Raul Tempone

Rough volatility
Monte Carlo
Adaptive sparse grids
Quasi Monte Carlo
Brownian bridge construction
Richardson extrapolation

An Accurate Sample Rejection Estimator of the Outage Probability With Equal Gain Combining

Year: 2020

Authors: Nadhir Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone

Outage probability
equal gain combining
Importance sampling
sample rejection
generalised selection combining
bounded relative error

Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks

Year: 2020

Authors: Chiheb Ben Hammouda, Nadhir Ben Rached, Raul Tempone

Multilevel Monte Carlo
Continuous time Markov chains
Stochastic reaction networks
Stochastic biological systems
Importance sampling

Multilevel Ensemble Kalman filtering for spatially extended models

Year: 2020

Authors: Alexey Chernov, Haakon Hoel, Kody Law, Fabio Nobile, Raul Tempone

Monte Carlo
multilevel
ﬁltering
Kalman ﬁlter
ensemble Kalman ﬁlter

Weak error rates for option pricing under the rough Bergomi model

Year: 2020

Authors: Christian Bayer, Eric Joseph Hall, Raul Tempone

Rough Bergomi
Weak error rate

Smaller generalization error derived for deep compared to shallow residual neural networks

Year: 2020

Authors: A. Kammonen, J. Kiessling, P. Plechac, M. Sandberg, A. Szepessy, R. Tempone

residual network
deep random feature
supervised learning
error estimates
layer by layer algorithm

A note on tools for prediction under uncertainty and identifiability of SIR-like dynamical systems for epidemiology

Year: 2020

Authors: C. Piazzola, L. Tamellini, R. Tempone

Dynamical Systems
Mathematical Epidemiology
Uncertainty Quantification
Model Identifiability
Bayesian Inversion
Fisher Approximation

A simple approach to proving the existence, uniqueness, and strong and weak convergence rates for a broad class of McKean--Vlasov equations

Year: 2021

Authors: A.-L Haji-Ali, H. Hoel, R. Tempone

Interacting stochastic particle systems
Stochastic mean-field limit
Weak and strong convergence rates

Efficient Importance Sampling for Large Sums of Independent and Identically Distributed Random Variables

Year: 2021

Authors: N. Ben Rached, A.-L Haji-Ali, G. Rubino, R. Tempone

Importance sampling
rare event
exponential twisting
Gamma IS PDF

Wind Field Reconstruction with Adaptive Random Fourier Features

Year: 2021

Authors: J. Kiessling, E. Strom, R. Tempone

Random Fourier features
neural networks
Metropolis algorithm
discrete Fourier
physical loss function
spatial interpolation
machine learning
wind field reconstruction
flow field estimation

Efficient Importance Sampling for the Left Tail of Positive Gaussian Quadratic Forms

Year: 2020

Authors: Chaouki Ben Issaid, Mohamed-Slim Alouini, Raul Tempone

Importance sampling
left tail
positive quadratic forms
Gaussian random vector
bounded relative error

Principal Component Density Estimation for Scenario Generation Using Normalizing Flows

Year: 2021

Authors: E. Cramer, A. Mitsos, R. Tempone, M. Dahmen

Renewable energy
scenario generation
normalizing flows
dimensionality reduction
principal component analysis

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