Stochastic Numerics Research Group

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Total result(s) found: 9

Beck, Joakim, Lorenzo Tamellini, and Raúl Tempone, "IGA-based multi-index stochastic collocation for random PDEs on arbitrary domains", Computer Methods in Applied Mathematics and Engineering, Volume 351 (2019): 330-350

Keywords:

Isogeometric analysis, Uncertainty quantification, Sparse grids, Stochastic collocation methods, Multilevel methods, Combination-technique

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Ben Hammouda, Chiheb, Nadhir Ben Rached, Raúl Tempone. "Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks". arXiv preprint arXiv:1911.06286 (2019)

Keywords:

Multilevel Monte Carlo, Continuous time Markov chains, Stochastic reaction networks, Stochastic biological systems, Importance sampling

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Manuscripts

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

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Jasra, Ajay, Seongil Jo, David Nott, Christine Shoemaker, and Raul Tempone. "Multilevel Monte Carlo in approximate Bayesian computation." Stochastic Analysis and Applications, Volume 37, no.3 (2019): 346-360.

Keywords:

Approximate Bayesian computation, multilevel Monte Carlo, sequential Monte Carlo.

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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.

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Manuscripts

Ballesio, Marco, Joakim Beck, Anamika Pandey, Laura Parisi, Erik von Schwerin, Raúl Tempone, "Multilevel Monte Carlo Acceleration of Seismic Wave Propagation under Uncertainty", GEM - International Journal on Geomathematics, Volume 10, Issue 1, (2019). p.22

Keywords:

Multilevel Monte Carlo, Propagation of Uncertainty, Seismic Wave Propagation, Partial Differential Equations with random data

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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

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Manuscripts

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

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Refereed Journals

Babuska, Ivo, Zaid Sawlan, Marco Scavino, Barna Szabó, Raúl 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

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Refereed Journals