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Total result(s) found: 19
  • 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