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Stochastic Numerics Research Group
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2015

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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
A Laplace method for under-determined Bayesian optimal experimental designs
Year: 2015
Authors: Q. Long,, M. Scavino, R. Tempone, S.Wang
  • Bayesian Statistics
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
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
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
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
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
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)
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
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
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
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
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
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
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