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Total result(s) found: 28
  • 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