2018

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

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

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

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

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

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

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.

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

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

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

2018

Contact Us

Quick links