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Total result(s) found: 252
  • Bayer, Christian, Juho Häppölä, and Raúl Tempone. "Implied stopping rules for American basket options from Markovian projection." Quantitative Finance, 19(3), 371-390, (2019)
Keywords:
Basket option, Optimal stopping, Black–Scholes, Error bounds, Monte Carlo, Markovian projection, Hamilton–Jabcobi–Bellman
Refereed Journals
  • Jasra, Ajay, Seongil Jo, David Nott, Christine Shoemaker, and Raul Tempone. "Multilevel Monte Carlo in approximate Bayesian computation." Stochastic Analysis and Applications(2019): 1-15.​
Keywords:
Approximate Bayesian computation, multilevel Monte Carlo, sequential Monte Carlo.
Refereed Journals
  • Issaid, Chaouki Ben, Mohamed-Slim Alouini, and Raul Tempone. "Eficient Monte Carlo Simulation of the Left Tail of Positive Gaussian Quadratic Forms." arXiv preprint arXiv:1901.09174 (2019).
Keywords:
Importance sampling, left tail, positive quadratic forms, Gaussian random vectors, bounded relative error.
  • Beck, Joakim, Ben Mansour Dia, Luis FR Espath, and Raul Tempone. "Multilevel Double Loop Monte Carlo and Stochastic Collocation Methods with Importance Sampling for Bayesian Optimal Experimental Design." arXiv preprint arXiv:1811.11469 (2018).​
Keywords:
Expected information gain, Laplace approximation, Importance sampling, Composite material, Stochastic collocation, Electrical impedance tomography
  • Clavijo, S. P., A. F. Sarmiento, L. F. R. Espath, Lisandro Dalcin, A. M. A. Cortes, and V. M. Calo. "Reactive n-species Cahn–Hilliard system: A thermodynamically-consistent model for reversible chemical reactions." Journal of Computational and Applied Mathematics 350 (2019): 143-154.​​​
Keywords:
Multicomponent Cahn–Hilliard, Chemical reactions, Isogeometric analysis, Spinodal decomposition
Refereed Journals
  •  I. Babuska, Z. Sawlan, M. Scavino, B. Szabo, R. Tempone, Spatial Poisson processes for fatigue crack initiation, Computer Methods in Applied Mechanics and Engineering, Volume 345, 1 March 2019, Pages 454-475.​​​​​​​​​​
Keywords:
Fatigue crack initiation, Linear elasticity, Notched metallic specimens, Spatial Poisson processes, Fatigue-limit models, Maximum likelihood methods
Refereed Journals
  • Rached, Nadhir Ben, Fatma Benkhelifa, Abla Kammoun, Mohamed-Slim Alouini, and Raul Tempone. "On the generalization of the hazard rate twisting-based simulation approach." Statistics and Computing 28, no. 1 (2018): 61-75.
Keywords:
Naive Monte Carlo, Rare events, Importance sampling, Hazard rate twisting, Logarithmic efficient, Twisting parameter.
Refereed Journals
  • Issaid, Chaouki Ben, Mohamed-Slim Alouini, and Raul Tempone. "On the Fast and Precise Evaluation of the Outage Probability of Diversity Receivers Over αμ , κμ , and ημ Fading Channels." IEEE Transactions on Wireless Communications 17, no. 2 (2018): 1255-1268.
Keywords:
—α−μ,κ−μ,η−μ, importance sampling,Monte Carlo, bounded relative error, outage probability, diversitytechniques.
Refereed Journals
  • Bayer, Christian, Markus Siebenmorgen, and Raul Tempone. "Smoothing the payoff for efficient computation of Basket option prices." Quantitative Finance 18, no. 3 (2018): 491-505.
Keywords:
Computational Finance, European option pricing, Multivariate approximation and integration, Sparse grids, Stochastic Collocation methods, Monte Carlo and Quasi Monte Carlo methods.
Refereed Journals
  • Issaid, Chaouki Ben, Mohamed-Slim Alouini, and Raul Tempone. "Efficient outage probability evaluation of diversity receivers over α-μ fading channels." In Wireless Communications and Networking Conference (WCNC), 2018 IEEE, pp. 1-6. IEEE, 2018.
Keywords:
—α − µ, importance sampling, Monte Carlo, bounded relative error, outage probability, diversity techniques
Refereed Journals
  • Rached, Nadhir Ben, Zdravko Botev, Abla Kammoun, Mohamed-Slim Alouini, and Raul Tempone. "Importance sampling estimator of outage probability under generalized selection combining model." In 2018 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), pp. 3909-3913. IEEE, 2018.​
Keywords:
Outage probability, generalized selection combining, order statistics, Monte Carlo, importance sampling.
Refereed Journals
  • Nobile, Fabio, Raul Tempone, and Sören Wolfers. "Sparse approximation of multilinear problems with applications to kernel-based methods in UQ." Numerische Mathematik 139, no. 1 (2018): 247-280.​
Keywords:
kernel-based methods in UQ
Refereed Journals
  • Iglesias, Marco, Zaid Sawlan, Marco Scavino, Raul Tempone, and Christopher Wood. "Ensemble-marginalized Kalman filter for linear time-dependent PDEs with noisy boundary conditions: Application to heat transfer in building walls." Inverse Problems 34, no. 7 (2018): 075008.​
Keywords:
Ensemble Kalman filter, linear PDEs, heat equation, nuisance boundary parameters marginalization, heat flux measurements, thermal resistance, heat capacity
Refereed Journals
  • Litvinenko, Alexander, Abdulkadir C. Yucel, Hakan Bagci, Jesper Oppelstrup, Eric Michielssen, and Raúl Tempone. "Computation of Electromagnetic Fields Scattered From Objects With Uncertain Shapes Using Multilevel Monte Carlo Method." arXiv preprint arXiv:1809.00362 (2018).​
Keywords:
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
  • Beck, Joakim, Lorenzo Tamellini, and Raúl Tempone. "IGA-based Multi-Index Stochastic Collocation for random PDEs on arbitrary domains." arXiv preprint arXiv:1810.01661 (2018).​
Keywords:
Isogeometric analysis, Uncertainty Quantification, Sparse Grids, Stochastic Collocation methods, multilevel methods, combination-technique
  • Rached, Nadhir Ben, Zdravko Botev, Abla Kammoun, Mohamed-Slim Alouini, and Raul Tempone. "On the sum of order statistics and applications to wireless communication systems performances." IEEE Transactions on Wireless Communications 17, no. 11 (2018): 7801-7813.
Keywords:
Order statistics, outage probability, generalized selection combining, Monte Carlo, variance reduction techniques, importance sampling, conditional MC.
Refereed Journals
  • Bayer, Christian, Raúl Tempone, and Sören Wolfers. "Pricing American Options by Exercise Rate Optimization." arXiv preprint arXiv:1809.07300 (2018).​​​
Keywords:
Computational finance, American options, stochastic optimization, rough Bergomi,
  • M. Ballesio, J. Beck, A. Pandey, L. Parisi, E. von Schwerin, R. Tempone, Multilevel Monte Carlo Acceleration of Seismic Wave Propagation under Uncertainty, Under review​
Keywords:
Multilevel Monte Carlo, Propagation of Uncertainty, Seismic Wave Propagation, Partial Differential Equations with random data
  • Carlon, Andre Gustavo, Ben Mansour Dia, Luis FR Espath, Rafael Holdorf Lopez, and Raul Tempone. "Nesterov-aided Stochastic Gradient Methods using Laplace Approximation for Bayesian Design Optimization." arXiv preprint arXiv:1807.00653 (2018).​
Keywords:
Optimal Experimental Design, Bayesian Inference, Laplace Approximation, Stochastic Optimization, Accelerated Gradient Descent, Importance Sampling
  • Capriotti, Luca and Jiang, Yupeng and Shaimerdenova, Gaukhar, ''Approximation Methods for Inhomogeneous Geometric Brownian Motion'' (October 8, 2018). International Journal of Theoretical and Applied Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3247379​
Keywords:
Inhomogeneous Geometric Brownian Motion; Constant Elasticity of Variance; Arrow-Debreu Security, Derivative Pricing; Power Series Expansions
Refereed Journals
  • Francisco, E. P., L. F. R. Espath, S. Laizet, and J. H. Silvestrini. "Reynolds number and settling velocity influence for finite-release particle-laden gravity currents in a basin." Computers & Geosciences 110 (2018): 1-9.​
Keywords:
Particle-laden gravity current, Energy budget, Deposition of particles, Direct numerical simulation
Refereed Journals
  • Bayer, Christian, Chiheb Ben Hammouda, and Raul Tempone. "Hierarchical adaptive sparse grids for option pricing under the rough Bergomi model." arXiv preprint arXiv:1812.08533(2018).
Keywords:
Rough volatility, Monte Carlo, Adaptive sparse grids, Brownian bridge construction, Richardson extrapolation
Keywords:
Ensemble Kalman Filter, Linear PDEs, Heat Equation, Nuisance Boundary Parameters Marginalization, Heat Flux Measurements, Thermal Resistance, Heat Capacity.
Refereed Journals
  • Beck, Joakim, Ben Mansour Dia, Luis FR Espath, Quan Long, and Raul Tempone. "Fast Bayesian experimental design: Laplace-based importance sampling for the expected information gain." Computer Methods in Applied Mechanics and Engineering 334 (2018): 523-553​
Keywords:
Fast Bayesian experimental design: Laplace-based importance sampling for the expected information gain
Refereed Journals
  • ​Iglesias, Marco, Zaid Sawlan, Marco Scavino, Raul Tempone, and Christopher Wood. "Bayesian inferences of the thermal properties of a wall using temperature and heat flux measurements." International Journal of Heat and Mass Transfer 116 (2018): 417-431.
Keywords:
Heat Equation, Nuisance Boundary Parameters Marginalization, Heat Flux Measurements, Solid Walls, Bayesian Inference, Thermal Resistance, Heat Capacity, Experimental Design
Refereed Journals
  • Haji-Ali, Abdul-Lateef, and Raúl Tempone. "Multilevel and Multi-index Monte Carlo methods for the McKean–Vlasov equation." Statistics and Computing 28, no. 4 (2018): 923-935.​​​
Keywords:
Multi-index Monte Carlo, Multilevel Monte Carlo, Monte Carlo Particle systems, McKean–Vlasov Mean-field, Stochastic differential equations, Weak approximation, Sparse approximation, Combination technique.
Refereed Journals
  • Hoel, Hakon, Alexey Chernov, Kody Law, Fabio Nobile, and Raul Tempone. "Multilevel ensemble Kalman filtering for spatio-temporal processes." (2018)
Keywords:
Monte Carlo, multilevel, filtering, Kalman filter, ensemble Kalman filter, partial differential equations (PDE)
  • Litvinenko, Alexander, David Keyes, Venera Khoromskaia, Boris N. Khoromskij, and Hermann G. Matthies. "Tucker Tensor analysis of Matern functions in spatial statistics." arXiv preprint arXiv:1711.06874 (2017).
Keywords:
Fourier transform, low-rank tensor approximation, geostatistical optimal design, kriging, Matern covariance, Hilbert tensor, Kalman filter, Bayesian update, loglikelihood surrogate.
  • Francisco, Ezequiel P., L. F. R. Espath, and J. H. Silvestrini. "Direct numerical simulation of bi-disperse particle-laden gravity currents in the channel configuration." Applied Mathematical Modelling 49 (2017): 739-752.
Keywords:
Bi-disperse flows, Particle-laden gravity currents, Direct numerical simulation, Energy budget
Refereed Journals
  • Espath, L. F. R., A. F. Sarmiento, Lisandro Dalcin, and V. M. Calo. "On the thermodynamics of the Swift–Hohenberg theory." Continuum Mechanics and Thermodynamics 29, no. 6 (2017): 1335-1345.
Keywords:
Phase-field, Gradient theory, Thermodynamics of continua, Swift–Hohenberg theory
Refereed Journals
  • ​A. Litvinenko, HLIBCov: Parallel Hierarchical Matrix Approximation of Large Covariance Matrices and Likelihoods with Applications in Parameter Identification, https://arxiv.org/abs/1709.08625, 2017
Keywords:
HLIBPro, HLIBCov, parallel hierarchical matrices, approximating large covariance matrice, parameter estimation, Gaussian likelihood
  • ​R. Tempone, S. Wolfers, Smolyak’s algorithm: A powerful black box for the acceleration of scientific computations, submitted arXiv:1703.08872 Apr. 2017​​​​
Keywords:
Smolyak algorithm, sparse grids, hyperbolic cross approximation, combination technique, multilevel methods
  • ​​F. Nobile, R. Tempone, S. Wolfers, Multilevel weighted least squares polynomial approximation​, submitted arXiv:1707.00026 Oct. 2017​​
Keywords:
Multilevel methods, least squares approximation, multivariate approximation, polynomial approximation, error analysis
  • N. Rached, A. Kammoun, M. Alouini, R.Tempone, On the Efficient Simulation of the Left-Tail of the Sum of Correlated Log-normal Variates
Keywords:
On the Efficient Simulation of the Left-Tail of the Sum of Correlated Log-normal Variates
  • Nadhir Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone , On the Efficient Simulation of Outage Probability in a Log-normal Fading Environment,IEEE Transactions on Communications  65 Issue: 6  , 2017​

Keywords:
On the Efficient Simulation of Outage Probability in a Log-normal Fading Environment
Refereed Journals
  • F. Ruggeri, Z. Sawlan, M. Scavino, R. Tempone, A hierarchical Bayesian setting for an inverse problem in linear parabolic PDEs with noisy boundary conditions, Bayesian Analysis, Advance Publication, 12 May 2016. doi: 10.1214/16-BA1007​​​​​​
Keywords:
A hierarchical Bayesian setting for an inverse problem in linear parabolic PDEs with noisy boundary conditions
Refereed Journals
  • ​A. Litvinenko, M. Genton, Y. Sun, D. Keyes, ℋ‐matrix techniques for approximating large covariance matrices and estimating its parameters, arXiv:1611.09293, 2017 
Keywords:
ℋ‐matrix techniques for approximating large covariance matrices and estimating its parameters
  • ​H. G. Matthies, A. Litvinenko, B. V. Rosic, E. Zander, Bayesian Parameter Estimation via Filtering and Functional Approximations, arXiv:1611.09293 ​, 2017
Keywords:
Bayesian Parameter Estimation via Filtering and Functional Approximations
  • C. Bayer, J Happola, R. Tempone, Implied Stopping Rules for American Basket Options from Markovian  Projection,  arXiv:1705.00558v1May 2017 
Keywords:
Implied Stopping Rules for American Basket Options from Markovian Projection
  • ​A. Haji-Ali, R. Tempone, "Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation", has been accepted for publication in Statistics and Computing. 2017
Keywords:
Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation
Refereed Journals
  • E. Kalligiannaki, A. Chazirakis, A. Tsourtis, M.A. Katsoulakis, P. Plechac, and V. Harmandaris, Parametrizing coarse grained models for molecular systems at equilibrium, EPJ ST, 225(8), 1347-1372, 2016, DOI: 10.1140/epjst/e2016-60145-x.
Keywords:
Parametrizing coarse grained models for molecular systems at equilibrium
Refereed Journals
  • ​ Soeren Wolfers, Fabio Nobile, Raul Tempone, Sparse approximation of multilinear problems with applications to kernel-based methods in UQ. Submitted arXiv 1609.00246, Sept 2016.
Keywords:
Sparse approximation of multilinear problems with applications to kernel-based methods in UQ
  • C. Bayer, M. Siebenmorgen, R. Tempone, Smoothing the payoff for efficient computation of Basket option prices,  arXiv:1607.05572, 2016​
Keywords:
Basket option pricing, smoothing payoff
  • R. Garra, E. Orsingher, M. Scavino, Some probabilistic properties of fractional point processes, Submitted arXiv:1604.05235, April 2016.
Keywords:
Fractional point processes, Bern?stein functions, Space-time Fractional Poisson processes, grey Brownian motion
  • 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, Journal of Fluid Mechanics, Apr 2016.
Keywords:
Energy Exchange Analysis in Droplet Dynamics via the Navier–Stokes–Cahn–Hilliard Model
Refereed Journals
  • H. G. Matthies, E. Zander, B. V. Rosić, A. Litvinenko, O. Pajonk, Inverse Problems in a Bayesian Setting, Chapter in the book Computational Methods for Solids and Fluids, edited by Adnan Ibrahimbegovic, Springer, 2016
Keywords:
Inverse Problems, Bayesian Setting
  • H. Matthies, E. Zander, B. Rosic, A. Litvinenko​; Parameter Estimation via Conditional Expectation - A Bayesian Inversion, 2016
Keywords:
Parameter Estimation, Conditional Expectation, Bayesian Inversion
  • I. Babuska, Z. Sawlan, M. Scavino, B. Szabo, R. Tempone, Bayesian inference and model comparison for metallic fatigue data, Computer Methods in Applied Mechanics and Engineering, , Volume 304, 1 June 2016, Pages 171-196, ISSN 0045-7825​​​​
Keywords:
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.
Refereed Journals
  • C. Ben Hammouda, A. Moraes, R. Tempone, Multilevel hybrid split-step implicit tau-leap, Numerical Algorithms, pp 1-34, June 2016
Keywords:
Stochastic reaction networks, Multilevel Monte Carlo, Split-step implicit
Refereed Journals
  • A. Haji-Ali, F. Nobile, L. Tamellini, R. Tempone, Multi-index Stochastic Collocation convergence rates for random PDEs with parametric regularity. To appear in Foundations of Computational Mathematics. 2016
Keywords:
Multi-index Stochastic Collocation convergence rates for random PDEs with parametric regularity
Refereed Journals
  • A. Haji-Ali, F. Nobile, L. Tamellini, R. TemponeMulti-Index Stochastic Collocation for random PDEsComputer Methods in Applied Mechanics and Engineering​, 2016
Keywords:
Multi-Index Stochastic Collocation for random PDEs
Refereed Journals
  • F. Nobile, L. Tamellini, R. Tempone and F. Tesei, An adaptive sparse grid algorithm for elliptic PDEs with lognormal diffusion coefficient, “Sparse Grids and Applications - Stuttgart 2014”, Lecture Notes in Computational Science and Engineering, Volume 109 2016, Springer
Keywords:
An adaptive sparse grid algorithm with application to elliptic PDEs with lognormal diffusion coefficient
  • Gabriela Malenova, Mohammad Motamed, Olof Runborg, Raul Tempone, A Sparse Stochastic Collocation Technique for High Frequency Wave Propagation with Uncertaintyaccepted for publication in Journal on Uncertainty Quantification, May 2016
Keywords:
A Sparse Stochastic Collocation Technique for High Frequency Wave Propagation with Uncertainty
Refereed Journals
  • C. Bayer, A. Moraes, R. Tempone, P. Vilanova, An Efficient Forward-Reverse Expectation-Maximization Algorithm for Statistical Inference in Stochastic Reaction Networks, Stochastic Analysis and Applications, Volume 34, Issue 2, 2016
Keywords:
Forward-reverse algorithm, Monte Carlo EM algorithm, inference for stochastic reaction networks, bridges for continuous-time Markov chains.
Refereed Journals
  • Matteo Icardi, Gianluca Boccardo, Raul Tempone, On the predictivity of pore-scale simulations: estimating uncertainties with multilevel Monte Carlo, Advances in Water Resources, Feb. 2016
Keywords:
pore-scale simulation, multilevel Monte Carlo, stochastic upscaling, uncertainty quantification
Refereed Journals
  • Håkon Hoel, Kody J. H. Law, Raul Tempone, Multilevel ensemble Kalman filtering to appear in SIAM Journal on Numerical Analysis, 2016.​
Keywords:
Multilevel ensemble Kalman filtering
Refereed Journals
  • F. Ruggeri, Z. Sawlan, M. Scavino, R. Tempone, A hierarchical Bayesian setting for an inverse problem in linear parabolic PDEs with noisy boundary conditions, accepted for publication in Bayesian Analysis, April 2016
Keywords:
linear parabolic PDEs, noisy boundary parameters, Bayesian inference, heat equation, thermal diffusivity
Refereed Journals
  • A. Moraes, R. Tempone, and P. Vilanova. A multilevel adaptive reaction-splitting simulation method for stochastic reaction networks. SIAM Journal on Scientific Computing (SISC), Vol 38, Issue 4, 2016.
Keywords:
Error estimates, error control, control variates, weak approximation, hybrid algorithms, multilevel Monte Carlo, Chernoff tau-leap, reaction splitting
Refereed Journals
  • A. Moraes, R. Tempone, P. Vilanova, Multilevel Hybrid Chernoff Tau-leap, BIT Numerical Mathematic, Volume 56, Issue 1pp 189–239​. March 2016. 
Keywords:
Error estimates, error control, control variates, weak approximation, hybrid algorithms, multilevel Monte Carlo, Chernoff tau-leap
Refereed Journals
  • J. E. Castrillon-Candas, F. Nobile, R. F. Tempone, Analytic regularity and collocation approximation for elliptic PDEs with random domain deformations, ​Accepted for publication in Computers and Mathematics with Applications, Jan. 2016
Keywords:
Uncertainty Quantification, Stochastic Collocation, Stochastic PDEs, Finite Elements, Complex Analysis, Smolyak Sparse Grids.
Refereed Journals
  • A. Iania, Basket option pricing for processes with jumps using sparse grids and Fourier transforms Master Thesis, Politecnico di Torino - KAUST, 2015
Keywords:
Basket option pricing for processes with jumps using sparse grids and Fourier transforms
  • N. Ben Rached, A. Kammoun, M. Alouini, R. Tempone, Unified Importance Sampling Schemes for Efficient Simulation of Outage Capacity over Generalized Fading Channels, Accepted for publication in IEEE Journal of Selected Topics in Signal Processing, 2015
Keywords:
Outage capacity, naive Monte Carlo, hazard rate twisting, Importance Sampling, asymptotic optimality, bounded relative error
Refereed Journals
  • Eric Joseph Hall, Hakon Hoel, Mattias Sandberg, Anders Szepessy, Raul Tempone​, Computable error estimates for finite element approximations of elliptic partial  differential equations with rough stochastic data, Submitted arXiv Oct. 2015
Keywords:
Computable error estimates for finite element approximations of elliptic partial differential equations with rough stochastic data
  • Soumaya Elkantassi, Fourier Transform Methods for Option PricingGraduation Project Report​, Hosting Institution: KAUST, June 2015
Keywords:
Fourier Transform Methods for Option Pricing
  • G. Migliorati, F. Nobile, R. Tempone, Convergence estimates in probability and in expectation for discrete least squares with noisy evaluations in random points, Journal of Multivariate Analysis, Vol. 142,  Pages 167–182. December 2015.​​​
Keywords:
approximation theory, discrete least squares, noisy evaluations, error analysis, convergence rates, large deviations, learning theory, multivariate polynomial approximation
Refereed Journals
  • Fabrizio Bisetti, Daesang Kim, Omar Knio, Quan Long, and Raul Tempone. Optimal Bayesian Experimental Design for Priors of Compact Support with Application to Shock-Tube Experiments for Combustion Kinetics.  Accepted by International Journal for Numerical Methods in Engineering​​
Keywords:
Bayesian optimal experimental design; Laplace approximation; Truncated Gaussian approximation; Polynomial surrogates; Shock–tube; Combustion kinetics
Refereed Journals
  • Nadhir Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, and Raul Tempone, An Efficient Simulation Scheme of the Outage Probability with Co-Channel Interference, will be published in the Proceedings of IEEE  GLOBECOM 2015
Keywords:
Outage Probability, sum of correlated Lognormal, Importance Sampling, covariance matrix scaling, computational gain, naive Monte Carlo simulations.
Conference Proceedings
  • Yuxin Chen, David Keyes, Kody J.H. Law, Hatem Ltaief, Accelerated dimension-independent adaptive Metropolis, Submitted Jun 2015, arXiv:1506.05741
Keywords:
Accelerated dimension-independent adaptive Metropolis
  • N. Ben Rached, A. Kammoun, M.-S. Alouini, and R. Tempone, An Improved Hazard Rate Twisting Approach for the Statistic of the Sum of Subexponential Variates, Communications Letters, IEEE, Volume:19 Issue:1, 2015​
Keywords:
Hazard rate twisting, asymptotic optimality, minmax approach, subexponential, twisting parameter, variance reduction
Refereed Journals
  • Olivier Le Maitre, Omar Knio, and Alvaro Moraes, Variance Decomposition in Stochastic SimulatorsThe Journal of Chemical Physics, Volume 142, Issue 24, 2015
Keywords:
Variance Decomposition in Stochastic Simulators
Refereed Journals
  • Dishi Liu, Alexander Litvinenko, Claudia Schillings, and Volker Schulz, Quantification of airfoil geometry-induced aerodynamic uncertainties - comparison of approaches submitted 2015
Keywords:
Quantification of airfoil geometry-induced aerodynamic uncertainties - comparison of approaches
  • Raul Verma, Matteo Icardi, Masa Prodanovic, Validation of direct pore scale modeling approaches to wettability, submitted March 2015
Keywords:
Validation of direct pore scale modeling approaches to wettability
  • Alexandros Beskos, Ajay Jasra, Kody Law, Raul Tempone and Yan Zhou​, Multilevel Sequential Monte Carlo Samplers, submitted 2015​
Keywords:
Multilevel Monte Carlo, Sequential Monte Carlo, Bayesian Inverse Problems
  • Sergey Dolgov, Boris N. Khoromskij, Alexander Litvinenko, Hermann G. Matthies, Polynomial Chaos Expansion of random coefficients and the solution of stochastic partial differential equations in the Tenso​r Train formatsubmitted to SIAM Journal on Uncertainty Quantification, Volume 3, Issue 1, p. 1109–1135, Nov. 2015. DOI:10.1137/140972536​
Keywords:
uncertainty quantification, polynomial chaos expansion, Karhunen-Loeve expansion, stochastic Galerkin, tensor product methods, tensor train format, adaptive cross approximation, block cross
Refereed Journals
  • F. Crocce, J. Happola, J. Kiessling, R. Tempone, Error analysis in Fourier methods for option pricing, Accepted for publication in the Journal of Computational Finance (JCF), Dec. 2015​
Keywords:
Error analysis, Option pricing, Fourier methods, Spectral methods, Levy processes, Stochastic processes, Hardy functions, Trapezoidal quadrature
Refereed Journals
  • B. Djehiche, H. Tembine, R. Tempone, A Stochastic Maximum Principle for Risk-Sensitive Mean-Field-Type Control, To appear in IEEE Transactions on Automatic Control, VOL. 60, NO. 10, October 2015. 
Keywords:
Optimization and Control (math.OC); Systems and Control (cs.SY); Probability (math.PR); Risk Management (q-fin.RM)
Refereed Journals
  • 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, Solving the Klein-Gordon equation using Fourier spectral methods: A benchmark test for computer performance, submited to arXiv:1501.04552, 2015​​
Keywords:
HPC, and Fourier Methods
  • F. Nobile, L. Tamellini, R. Tempone, Comparison of Clenshaw–Curtis and Leja quasi-optimal sparse grids for the approximation of random PDEs, International Conference on Spectral and High-Order Methods 2014 (ICOSAHOM'14), Salt Lake City, Utah, USA, June 23-27, 2014. Spectral and High Order Methods for Partial Differential Equations. Volume 106 of the series Lecture Notes in Computational Science and Engineering, pp 475-482. Springer, 2015​​
Keywords:
Uncertainty Quantification ; PDEs with random data ; linear elliptic equations ; Stochastic Collocation methods ; Sparse grids approximation ; Leja points ; Clenshaw–Curtis points
  • A. Haji-Ali, F. Nobile, R. Tempone​, Multi Index Monte Carlo: When Sparsity Meets Sampling, Numerische Mathematik, Vol. 132, Pages  767–806, 2016.​​​
Keywords:
Multilevel Monte Carlo, Monte Carlo, Partial Differential Equations with random data, Stochastic Differential Equations, Weak Approximation, Sparse Approximation, Combination Technique.
Refereed Journals
  • Q. Long, M. Motamed, R. Tempone, Fast Bayesian optimal experimental design for seismic source inversion, Computer Methods in Applied Mechanics and Engineering, vol. 291, pp. 123-145, 2015.​​
Keywords:
Bayesian experimental design, Information gain, Laplace approximation, Monte Carlo sampling, Seismic source inversion, Sparse quadrature, Uncertainty quantification
Refereed Journals
  • A. Haji-Ali, F. Nobile, E. von Schwerin, R. Tempone​, Optimization of mesh hierarchies in Multilevel Monte Carlo samplersStochastic Partial Differential Equations: Analysis and Computations, Vol. 4, Issue 1, Pages  76–112, 2016.​​
Keywords:
Multilevel Monte Carlo, Monte Carlo, Partial Di erential Equations with random data, Stochastic Differential Equations, Optimal discretization
Refereed Journals
  • M. Motamed, F. Nobile, R. Tempone, Analysis and Computation of Hyperbolic PDEs with Random Data, Encyclopedia of Applied and Computational Mathematics, pp 51-58, November 2015
Keywords:
Analysis and Computation of Hyperbolic PDEs with Random Data
  • M. Motamed, F. Nobile, R. Tempone,  Analysis and computation of the elastic wave equation with random coefficients, Computers and Mathematics with Applications, Vol. 70, Issue 10, pp. 2454–2473, November 2015.
Keywords:
uncertainty quantification; stochastic partial differential equations; elastic wave equation; regularity; collocation method; error analysis.
Refereed Journals
  • J. Karlsson, S. Larsson, M. Sandberg, A. Szepessy, R. Tempone, An a posteriori error estimate for symplectic Euler approximation of optimal control problems, SIAM J. Sci. Comput. 37 (2015), A946-A969. [doi:10.1137/140959481]. 
Keywords:
Optimal Control, Error Estimates, Adaptivity, Error Control
Refereed Journals
  • F. Nobile, L. Tamellini, R. Tempone, Convergence of quasi-optimal sparse grid approximation of Hilbert-valued functions: application to random elliptic PDEs, To appear in Numerische Mathematik, pp. 1—46, 2015. DOI 10.1007/s00211-015-0773-y. 
Keywords:
Uncertainty Quantification · random PDEs · linear elliptic equations · multivariate polynomial approximation · best M-terms polynomial approximation · Smolyak approximation · Sparse grids · Stochastic Collocation method
Refereed Journals
  • N. Collier, A. Haji-Ali, F. Nobile, E. von Schwerin, R. TemponeA Continuation Multilevel Monte Carlo algorithmBIT Numerical Mathematics, Volume 55, Issue 2, pp 399-432, June 2015
Keywords:
SDEs, SPDEs, Multilevel Monte Carlo, Numerical Analysis
Refereed Journals
  • A. Chkifa, A. Cohen, G. Migliorati, F. Nobile, R. Tempone, Discrete least squares polynomial approximation with random evaluations - application to parametric and stochastic elliptic PDEs, ESAIM: Mathematical Modelling and Numerical Analysis, 49 (3):815-837, 2015.
Keywords:
approximation theory, polynomial approximation, least squares, parametric and stochastic PDEs, high-dimensional approximation
Refereed Journals
  • Q. Long, M. Scavino, R. Tempone, S. Wang. A Laplace method for under-determined Bayesian optimal experimental designs, Computer Methods in Applied Mechanics and Engineering​, Volum​e 285, Pages 849–876, March 2015.​
Keywords:
Bayesian statistics
Refereed Journals
  • Nadhir Ben Rached, Fatma Benkhelifa, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone, A Fast Simulation Method for the Sum of Subexponential Distributions, submitted to arXiv:1406.4689v4, Jun. 2014
Keywords:
A Fast Simulation Method for the Sum of Subexponential Distributions
  • Kody J.H. Law, Hamidou Tembine, Raul Tempone, Deterministic Methods for Nonlinear Filtering, part I: Mean-field Ensemble Kalman Filtering, submitted to arXiv:1409.0628v2, Nov. 2014
Keywords:
Deterministic Methods for Nonlinear Filtering, part I: Mean-field Ensemble Kalman Filtering
  • K.J.H. Law, D. Sanz-Alonso, A. Shukla, A.M. StuartControlling Unpredictability with Observations in the Partially Observed Lorenz '96 Modelsubmited to arXiv:1411.3113v1, Nov. 2014.
Keywords:
Controlling Unpredictability with Observations in the Partially Observed Lorenz '96 Model
  • Tiangang CuiKody J.H. LawYoussef M. Marzouk, Dimension-independent likelihood-informed MCMCsubmited to  arXiv:1411​.3688v1, Nov. 2014
Keywords:
Dimension-independent likelihood-informed MCMC
  • Nathan Quadrio, "Multilevel Monte Carlo method for PDEs with fluid dynamic applications", Master Thesis, KAUST, October 2014.
Keywords:
Uncertainty Quantification, Monte Carlo Sampling, Variance Reduction, Multi- level Monte Carlo
  • Nadhir Ben Rached, Fatma Benkhelifa, Abla Kammoun, Mohamed-Slim Alouini, and Raul Tempone, "Additional Results on the Hazard Rate Twisting-Based Simulation Approach", submitted to IEEE, 2014
Keywords:
Crude Monte Carlo, rare events, Importance Sampling, hazard rate twisting, asymptotically optimal, twisting parameter.
  • Matteo Icardi, Gianluca Boccardo, Daniele L. Marchisio, Tiziana Tosco, and Rajandrea Sethi, Pore-scale simulation of fluid flow and solute dispersion in three-dimensional porous media. Phys. Rev. E., 90 , 2014
Keywords:
Pore-scale simulation of fluid flow and solute dispersion in three-dimensional porous media
Refereed Journals
  • Hakon Hoel, Juho Happola, and Raul Tempone, Construction of a mean square error adaptive Euler–Maruyama method with applications in multilevel Monte Carlo. 2014​​​
Keywords:
Adaptive time stepping, stochastic differential equations, multilevel Monte Carlo.
  • Bilal Saad and Mazen Saad, "A combined finite volume–nonconforming finite element scheme for compressible two phase flow in porous media", Numerische Mathematik, Springer-Verlag Berlin Heidelberg 2014
Keywords:
Two-phase flow in porous medium, finite volume methods, finite element methods, convergence study
Refereed Journals
  • Annunziato, M. , Borzì, A. , Nobile, F. and Tempone, R., On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks. Applied Mathematics, Vol.5 No.16, September 2014. DOI: 10.4236/am.2014.516239
Keywords:
Hamilton-Jacobi-Bellman Equation, Fokker-Planck Equation, Optimal Control Theory, Stochastic Differential Equations, Hybrid Systems
Refereed Journals
  • L. Selvakumaran, Q. Long, S. Prudhomme, G. Lubineau, On the detectability of transverse cracks in laminated composites using electrical potential change measurements, Composite Structures, 121, 237-246 (2014).​
Keywords:
Transverse cracking, Sensitivity, Impedance tomography, Analytical model, Laminated composites
Refereed Journals
  • Hakon Hoel and Henrik Nyberg, "An Extension of Clarke’s Model With Stochastic Amplitude Flip Processes", IEEE Transactions on Communications, 2014.
Keywords:
Multipath channels, Gaussian processes, Ray tracing.
Refereed Journals
  • Sergey Dolgov, Boris N. Khoromskij, Alexander Litvinenko and Hermanz G. Matthies, "Computation of the Response Surface in the Tensor Train data format", Submitted on 11 Jun 2014, under revision.​
Keywords:
Computation of the Response Surface in the Tensor Train data format
  • Viet Ha Hoang, K. J. H. Law, and A. M. Stuart, "Determining white noise forcing from Eulerian observations in the Navier-Stokes equation", Stochastic Partial Differential Equations: Analysis and Computations, June 2014, Volume 2, Issue 2, pp 233-261​​
Keywords:
Bayesian inversion, Navier-Stokes equation, White noise forcing
Refereed Journals
  • K. J. H. Law, T. W. Neely, P. G. Kevrekidis, B. P. Anderson, A. S. Bradley, and R. Carretero-González, Dynamic and energetic stabilization of persistent currents in Bose-Einstein condensates. Phys. Rev. A 89, 053606 – Published 9 May 2014
Keywords:
Bose-Einstein condensate (BEC), vortices, bifurcation and stability analysis
Refereed Journals
  • Gianluca Boccardo, Luigi Del Plato, Daniele Marchisio, Frederic Augier, Yacine Haroun, Daniel Ferre, Matteo Icardi. Pore-scale simulation of fluid flow in packed-bed reactors via rigid-body simulations and CFD. 10th International Conference on CFD in Oil & Gas, Metallurgical and Process Industries SINTEF, Trondheim, NORWAY, 17-19th June 2014​
Keywords:
Porous media, fixed bed catalytic reactor, Blender, Fluent, CFD, fluid dynamics, Ergun law.
Conference Proceedings
  • Matteo Icardi, Gianni Ronco, Daniele L. Marchisio, Mathieu Labois, Efficient simulation of gas-liquid pipe flows with the generalized population balance equation coupled with the algebraic slip model, Applied Mathematical Modelling, vol. 38, pp. 4277–4290, September 2014.​
Keywords:
Population balance equation; Gas-Liquid flow; Algebraic Slip Model; Direct Quadrature Method of Moments
Refereed Journals
  • H. Tembine, Nonasymptotic mean-field games,  IEEE Transactions on Systems, Man, and Cybernetics, Part B: Cybernetics, accepted and to appear  2014.
Keywords:
Nonasymptotic Mean-Field Games, mean-field approximation in finite regime
Refereed Journals
  • Dario Bauso, Ben Mansour Dia, Boualem Djehiche, Hamidou Tembine, Raul Tempone, Mean Field Games for Marriage,  PLOS ONE 9(5): e94933, 2014.
Keywords:
Society Influence, Marriage, Mean-Field
Refereed Journals
  • J. Kiessling and R. TemponeComputable error estimates of a finite difference scheme for option pricing in exponential Levy models. BIT Numerical Mathematics, December 2014, Volume 54, Issue 4, pp 1023-1065​​
Keywords:
Levy process, infinite activity, diffusion approximation, parabolic integro-differential equation, weak approximation, error expansion, a posteriori error estimates, finite difference method, option pricing, jump-diffusion models
Refereed Journals
  • A. Moraes, F. Ruggeri, R. Tempone, and P. Vilanova. Multiscale modeling of wear degradation in cylinder liners. Multiscale Modeling & Simulation, 12(1):396-409, 2014.
Keywords:
Pure jump processes, Multiscale approximation, Indirect inference, Wear processes, Master Equation.
Refereed Journals
  • D. B. Kelly, K. J. H. Law, and A. M. Stuart, Well-Posedness And Accuracy Of The Ensemble Kalman Filter In Discrete And Continuous Time, Nonlinearity 27 2579, 2014.
Keywords:
Filtering, EnKF, chaotic dynamical systems, Navier-Stokes, Lorenz 96, Lorenz 63
Refereed Journals
  • Loïc Giraldi, Alexander Litvinenko, Dishi Liu, Hermann G. Matthies, Anthony Nouy, To be or not to be intrusive? The solution of parametric and stochastic equations - the "plain vanilla" Galerkin case. SIAM Journal on Scientific Computing (Vol. 36, Issue 6).
Keywords:
Uncertainty quantification, stochastic Galerkin approximation, parametric problems, stochastic equation, coupled system, non-intrusive computation
Refereed Journals
  • H. Tembine, Energy-constrained mean field games in wireless networks, Strategic Behavior and the Environment, 2014
Keywords:
mean field stochastic games, antijamming strategies, one-and-half player game
Refereed Journals
  • K. J. H. Law, A. Shukla, and A. M. Stuart. Analysis of the 3DVAR Filter for the Partially Observed Lorenz ’63 Model.  Discrete and Continuous Dynamical Systems A 34 1061-1078 (2014).
Keywords:
Mathematics - Dynamical Systems, Mathematics - Optimization and Control, Physics - Data Analysis, Statistics and Probability
Refereed Journals
  • A. Moraes, R. Tempone, and P. Vilanova. Hybrid chernoff tau-leap. Multiscale Modeling & Simulation, 12(2):581-615, 2014.
Keywords:
Tau-leap, error estimates, error control, exit probability, weak approximation, hybrid algorithms
Refereed Journals
  • Christian Bayer, Hakon Hoel, Erik Von Schwerin, and Raul Tempone, On non-asymptotic optimal stopping criteria in Monte Carlo Simulations, SIAM Journal on Scientific Computing, Volume 36, Issue 2, 2014
Keywords:
Monte Carlo methods, optimal stopping, sequential stopping rules, non-asymptotic
Refereed Journals
  • Galina Schwartz, Hamidou Tembine, Saurabh Amin, Shankar Sastry, Demand response scheme based on lottery-like rebates, 19th World Congress of the International Federation of Automatic Control (IFAC), Cape Town, South Africa, 24-29 August 2014 ​​
Keywords:
Demand response, lottery
Conference Proceedings
  • Hamidou Tembine,  Tutorial on Mean-field type games, 19th World Congress of the International Federation of Automatic Control (IFAC), Cape Town, South Africa, 24-29 August 2014​​
Keywords:
Mean Field Type Games
Conference Proceedings
  • Abdoul Karim Cisse and Hamidou Tembine,  Cooperative Mean-Field Type Games , 19th World Congress of the International Federation of Automatic Control (IFAC), Cape Town, South Africa, 24-29 August 2014​​
Keywords:
cooperation, mean field type games
Conference Proceedings
  • Hamidou Tembine, Nonasymptotic Mean-Field Games, 19th World Congress of the International Federation of Automatic Control (IFAC), Cape Town, South Africa, 24-29 August 2014​
Keywords:
Nonasymptotic Mean-Field Games
Conference Proceedings
  • Hamidou Tembine, Fast Distributed Strategic Learning for Global Optima in Queueing Access Games, 19th World Congress of the International Federation of Automatic Control (IFAC), Cape Town, South Africa, 24-29 August 2014​​
Keywords:
Fast Distributed Strategic Learning, Global Optima, Queueing Access Games
Conference Proceedings
  • Mike Espig, Wolfgang Hackbusch, Alexander Litvinenko, Hermann G. Matthies, Philipp Wähnert, Efficient low-rank approximation of the stochastic Galerkin matrix in tensor formats. Special Issue of CAMWA "High-Order Finite Element Approximation for PDEs", Volume 67 (Issue 4), March 2014
Keywords:
Tensor approximation; Stochastic PDEs; Stochastic Galerkin matrix; Low-rank tensor formats; Uncertainty quantification
Refereed Journals
  • F. Cirak, Q. Long, K. Bhattacharya, M. Warner, Computational analysis of liquid crystalline elastomer membranes: changing Gaussian curvature without stretch energy. International Journal of Solids and Structures. 51 (1): 144-153 (2014)
Keywords:
Liquid crystalline elastomer, Nematic elastomer, Soft material, Non-developable surface, Finite elements
Refereed Journals
  • H. Tembine, Q. Zhu, T. Basar, Risk-Sensitive Mean-Field Games, IEEE Transactions on Automatic Control, volume 59, Issue 4, April 2014.
Keywords:
Risk-Sensitive, Mean-Field Games, Risk-Seeking, Risk-Averse
Refereed Journals
  • G. Migliorati, F. Nobile, E. von Schwerin, and R. Tempone. Analysis of the discrete L2 projection on polynomial spaces with random evaluations. Foundations of Computational Mathematics, June 2014, Volume 14, Issue 3, pp 419-456
Keywords:
Approximation theory, Error analysis, Multivariate polynomial approximation, Nonparametric regression, Noise-free data, Generalized polynomial chaos, Point collocation
Refereed Journals
  • Ivo Babuska, Mohammad Motamed, and Raul Tempone, A Stochastic Multiscale Method for the Elastodynamic Wave Equation Arising from Fiber Composites, Computer Methods in Applied Mechanics and Engineering, Volume 276, 1 July 2014, Pages 190–211
Keywords:
Fiber composites, multiscale simulation, stochastic elastic wave equation, uncertainty quantification
Refereed Journals
  • J. Beck, F. Nobile, L. Tamellini, R. Tempone A quasi-optimal sparse grids procedure for groundwater flows. Spectral and High Order Methods for Partial Differential Equations - ICOSAHOM 2012. Selected papers from the ICOSAHOM conference June 25-29, 2012, Gammarth, Tunisia. Lecture Notes in Computational Science and Engineering Volume 95, pp. 1-16, 2014.​
Keywords:
Uncertainty Quantification
  • J. Beck, F. Nobile, L. Tamellini, R. Tempone, Convergence of quasi-optimal stochastic Galerkin methods for a class of PDEs with random coefficients,  Computers & Mathematics with Applications. Volume 67, Issue 4, March 2014, Pages 732–751.
Keywords:
Uncertainty Quantification, PDEs with random data, linear elliptic equations, multivariate polynomial approximation, best M -terms polynomial approximation, Stochastic Galerkin method, sub-exponential convergence
Refereed Journals
  • Nowak, W., Litvinenko, A. Kriging and Spatial Design Accelerated by Orders of Magnitude: Combining Low-Rank Covariance Approximations with FFT-Techniques, Mathematical Geosciences, Vol. 45, Num. 4, pp 411--435, Springer 2013.​​​
Keywords:
Low-rank tensor approximation, Spectral methods, Efficient geostatistical estimation, Geostatistical optimal design
Refereed Journals
  • Chang Wang, K. J. H. Law, Panayotis. G. Kevrekidis, and Mason A. Porter, Dark Solitary Waves in a Class of Collisionally Inhomogeneous Bose-Einstein Condensates. Physical Review A 87 023621 (2013).
Keywords:
Bose-Einstein Condensates, dark solitons
Refereed Journals
  • Nadhir Ben Rached, "Hybrid Adaptive Multilevel Monte Carlo Algorithm for Non-Smooth Observables of Itoˆ Stochastic Differential Equations", Master Thesis, KAUST, November, 2013
Keywords:
Hybrid Adaptive Multilevel Monte Carlo Algorithm for Non-Smooth Observables of Itoˆ Stochastic Differential Equations
  • Chiheb Ben Hammouda, "Numerical Methods For Uncertainty Quantification In Option Pricing", Graduation Project Report, Tunisia Polytechnic School, Hosting Institution: KAUST, June 2013

Keywords:
parametric uncertainty, option pricing, Monte Carlo Sampling, Polynomial Chaos, Sparse Grid Quadrature
  • Chaouki Ben Said, "Uncertainty quantification in European type contingent claims", Graduation Project Report, Tunisia Polytechnic School,  Hosting Institution: KAUST, June 2013
Keywords:
European options, uncertainty quantification, volatility, pricing, hedging strategy, Monte Carlo, Polynomial Chaos, sparse grid.
  • Julio Enrique Castrillon Candas, Jun Li, Victor Eijkhout. "An Adapted Multi-Level Solver for Large Scale Radial Basis Function
    Interpolation with applications to Kriging". SRI Center for Uncertainty Quantification Annual Meeting, April 2013, Thuwal, Saudi Arabia.
Keywords:
An Adapted Multi-Level Solver for Large Scale Radial Basis Function Interpolation with applications to Kriging
Conference Proceedings
  • Q. Long, M. Scavino, R. Tempone and S. Wang. "A projection method for under determined optimal experimental designs".11th International Conference On Structural Safety & Reliability, Jun. 16-20, 2013, Columbia University, New York, USA.​
Keywords:
A projection method for under determined optimal experimental designs
Conference Proceedings
  • F. Nobile and R. Tempone”Collocation approaches for forward uncertainty propagation in PDE models with random input data”, Oberwolfach Report: Workshop Numerical Methods for PDE Constrained Optimization with Uncertain Data , March 2013.
Keywords:
Collocation approaches for forward uncertainty propagation in PDE models with random input data
  • H. Hoel, A. Khadir, P. Plechac, M. Sandberg,  and A. Szepessy, How accurate is Born-Oppenheimer molecular dynamics for crossings of potential surfaces, submitted to arXiv 2013

Keywords:
How accurate is Born-Oppenheimer molecular dynamics for crossings of potential surfaces
  • H. Hoel, and H. Nyberg, Gaussian coarse graining of a master equation extension of Clarke's model, submitted to IEEE Transactions on Communications. 2013
Keywords:
Gaussian coarse graining of a master equation extension of Clarke's model
  • Xin Luo, Hamidou Tembine, Evolutionary Coalitional Games for Random Access Control, In Proceedings of 32nd IEEE International Conference on Computer Communications, INFOCOM miniconference, April 14-19, 2013 - Turin, Italy.
Keywords:
evolutionary coalitional games, coalitional CODIPAS learning, group-formation, evolutionarily stable coalitional structure
Conference Proceedings
  • Alonso Silva, Hamidou Tembine, Eitan Altman, Merouane Debbah, Optimum and equilibrium in assignment problems with congestion: mobile terminals association to base stations, IEEE Transactions on Automatic Control, 2013
Keywords:
optimal transport theory, static mean field game, optimal placement, cell formation
Refereed Journals
  • K. J. H. Law. Proposals Which Speed-Up Function-Space MCMC. Journal of Computational and Applied Mathematics, 262, 127-138 (2014).

Keywords:
Statistics - Methodology, Mathematics - Dynamical Systems, Physics - Data Analysis, Statistics and Probability
Refereed Journals
  • Marco A. Iglesias, K. J. H. Law, and Andrew M. Stuart. Evaluation of Gaussian approximations for data assimilation in reservoir models. Computational Geosciences, 17:5, 851-885 (2013).
Keywords:
Data assimilation , Reservoir characterization , Uncertainty quantification , Inverse modelling
Refereed Journals
  • D. Bloemker, K. J. H. Law, A. M. Stuart, and K. Zygalakis. Accuracy and Stability of The Continuous Time 3DVAR Filter for The Navier-Stokes Equation.  Nonlinearity 26 2193 (2013).
Keywords:
Probability; Analysis of PDEs; Optimization and Control
Refereed Journals
  • M. Dashti, K. J. H. Law, A. M. Stuart and J. Voss.  Map Estimators for Bayesian Nonparametrics.  Inverse Problems, 29 095017 (2013).
Keywords:
Probability, Bayesian non-parametrics, Inverse problems
Refereed Journals
  • M. A. Iglesias, K. J. H. Law and A. M. Stuart. Ensemble Kalman Methods for Inverse Problems.  Inverse Problems 29 045001 (2013)​
Keywords:
Filters, Numerical simulation, solution of equations, Velocity measurements, Inverse problems, Data analysis: algorithms and implementation
Refereed Journals
  • T. W. Neely, A. S. Bradley, E. C. Samson, S. J. Rooney, E. M. Wright, K. J. H. Law, R. Carretero-González, P. G. Kevrekidis, M. J. Davis, and B. P. Anderson, "Characteristics of two-dimensional quantum turbulence in a compressible superfluid", Phys. Rev. Lett. 111, 235301 (2013) [6 pages]
Keywords:
2d quantum turbulence, inverse energy cascade, BEC, compressible superfluid
Refereed Journals
  • H. Tembine, D. Bauso, T. Basar, Robust linear quadratic mean-field games in crowd-seeking social networks. Proceedings of the 52nd IEEE Conf. on Decision and Control, pp. 3134-3139, December 10-13, 2013, Firenze, Italy. Control (Accepted), 2013.​
Keywords:
Crowd-seeking social networks, robust mean-field games
Conference Proceedings
  • Q. Zhu, H. Tembine, and T. Basar. Hybrid learning in stochastic games and its applications in network security. In F. L. Lewis, D. Liu (Eds.) Reinforcement Learning and Approximate Dynamic Programming for Feedback Control, Series on Computational Intelligence, IEEE Press/Wiley, 2013, chapter 14, pp. 305-329
Keywords:
Strategic Learning, Hybrid systems, Game Theory, Network Security
  • Q. Zhu, H. Tembine, and T. Basar. Evolutionary games for multiple access control. Advances in Dynamic Game Theory and Applications, Annals of Dynamic Games, vol. 12, Birkhäuser, 2013, pp. 39-72.
Keywords:
Evolutionary Games, Multiple Access Control in Wireless Networks
Refereed Journals
  • Alexander Litvinenko, Hermann G. Matthies, Inverse problems and uncertainty quantification, Submitted on 18 Dec 2013, under revision.​
Keywords:
uncertainty quantification, inverse problems, quadratic Bayesian update, PCE, update of polynomial chaos expansion, Lorenz 84 with uncertainties
  • Bojana V. Rosić, Anna Kučerová, Jan Sýkora, Oliver Pajonk, Alexander Litvinenko, Hermann G. Matthies, Parameter Identification in a Probabilistic Setting. Engineering Structures, Volume 50, Pages 179–196, May 2013.
Keywords:
Parameter identification; Non-Gaussian Bayesian update; Linear Bayes; Kalman filter; Polynomial chaos
Refereed Journals
  • A. Litvinenko and H. G. Matthies, Numerical Methods for Uncertainty Quantification and Bayesian update in Aerodynamics. Chapter in the book Management and Minimisation of Uncertainties and Errors in Numerical Aerodynamics, pp. 267-283, Editors: B. Eisfeld, H. Barnewitz, W. Fritz, F. Thiele, Springer, 2013
Keywords:
Numerical Methods for Uncertainty Quantification and Bayesian update in Aerodynamics
  • Litvinenko, Alexander and Matthies, HermannG. and El-Moselhy, Tarek A., "Sampling and Low-Rank Tensor Approximation of the Response Surface", Monte Carlo and Quasi-Monte Carlo Methods 2012, Springer Proceedings in Mathematics & Statistics Volume 65, 2013, pp 535-551
Keywords:
Low-rank response surface, update of surrogate, PCE, low-rank update, uncertainties in aerodynamics, uncertainty quantification
Refereed Journals
  • Håkon Hoel, Erik von Schwerin, Raul Tempone, and Anders Szepessy,  "Implementation and analysis of an adaptive multilevel Monte Carlo algorithm" Monte Carlo Methods and Applications. Volume 20, Issue 1, Pages 1–41, ISSN (Online) 1569-3961, ISSN (Print) 0929-9629, DOI: 10.1515/mcma-2013-0014, November 2013
     
Keywords:
Computational finance, Monte Carlo, multilevel, adaptivity, weak approximation, error control, Euler--Maruyama method, a posteriori error estimates, backward dual functions, adjoints
Refereed Journals
  • H. Tembine, R. Tempone, P. Vilanova, "Mean-field learning for satisfactory solutions", Accepted for publication in proceedings of the 50th IEEE Conference on Decision and Control​​​​
Keywords:
Mean field learning, satisfactory solution, speedup learning, convergence time
Conference Proceedings
  • Björk, T.; Szepessy, A.; Tempone, R.; Zouraris, G. E. "Monte Carlo Euler approximations of HJM term structure financial models." BIT 53 (2013), no. 2, 341–383.​
Keywords:
HJM model, Option price, Bond market, Stochastic differential equations, Monte Carlo methods, A priori error estimates, A posteriori error estimates
Refereed Journals
  • Long, Quan; Scavino, Marco; Tempone, Raúl; Wang, Suojin "Fast estimation of expected information gains for Bayesian experimental designs based on Laplace approximations." Comput. Methods Appl. Mech. Engrg. 259 (2013), 24–39. ​​​​​
Keywords:
Bayesian statistics; Information gain; Laplace approximation; Monte Carlo sampling; Sparse quadrature; Uncertainty quantification; Experimental design.
Refereed Journals
  • Migliorati, G.; Nobile, F.; von Schwerin, E.; Tempone, R. "Approximation of quantities of interest in stochastic PDEs by the random discrete L2 projection on polynomial spaces." SIAM J. Sci. Comput., 35(3), A1440-A1460, 2013​
Keywords:
PDE stochastic data, discrete least squares, polynomial approximation
Refereed Journals
  • Julio E. Castrillon-Candas, Jun Li, Victor Eijkhout. "A discrete adapted hierarchical basis solver for radial basis function interpolation." BIT Numerical Mathematics, Volume 53, Issue 1 (2013), Page 57-86​
Keywords:
Radial basis function, Interpolation, Hierarchical basis, Integral equations, Fast summation methods, Stable completion, Lifting, Generalized least squares, Best linear unbiased estimator
Refereed Journals
  • Motamed, Mohammad; Nobile, Fabio; Tempone, Raúl "A stochastic collocation method for the second order wave equation with a discontinuous random speed." Numer. Math., Vol. 123, No. 3, p. 493-536, 2013. 
Keywords:
Stochastic PDEs, Uncertainty Quantification, Sparse Grids, Wave Equation, Numerical Analysis
Refereed Journals
  • Nadhir Ben Rached, "Adaptive Monte Carlo Euler Method For Options With Low Regularity Payoffs", Graduation Project Report, Tunisia Polytechnic School,  Hosting Institution: KAUST, June 2012
Keywords:
Adaptive Monte Carlo, Euler, low regularity, smoothing, low pass filter, Richardson ex- trapolation, single level, multilevel.
  • A. Haji-Ali​, “Pedestrian Flow in the Mean-field Limit”, Master Thesis, KAUST, November 2012.
Keywords:
Crowd modeling, Mean-Field, Helbing, Pedestrian, Particle MLMC
  • H. Tembine, P. Vilanova, and M. Debbah. Noisy mean field game model for malware propagation in opportunistic networks. In Rahul Jain and Rajgopal Kannan, editors, Game Theory for Networks, volume 75 of Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering, pages 459-474. Springer Berlin Heidelberg, 2012. ​

Keywords:
Mean field games, opportunistic networks.
  • H. Tembine, R. Tempone, and P. Vilanova. Mean field games for cognitive radio networks. In American Control Conference (ACC), 2012, pages 6388 -6393, 2012.​

Keywords:
Mean field games, cognitive radio networks.
Conference Proceedings
  • H. Tembine, R. Tempone, and P. Vilanova. Mean field learning: a survey. CoRR, abs/1210.4657, 2012.​

Keywords:
Mean field learning