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Total result(s) found: 30
  • 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
  • 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
  • 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