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Stochastic Numerics Research Group
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2016

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  2. Publications
  • Clear filters
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
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
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
Multilevel ensemble Kalman filtering
Year: 2016
Authors: Håkon Hoel, Kody J.H. Law,, Raul Tempone
  • Multilevel ensemble Kalman filtering
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
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
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
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
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
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
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 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
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
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
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