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Stochastic Numerics Research Group
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2013

  1. Home
  2. Publications
  • Clear filters
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
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
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
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
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
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
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
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
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
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
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
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