Stochastic Numerics Research Group

Publications

Search Bibliography

Filter by: Year

select

Author

select

Title Keyword

select

Total result(s) found: 12

Carlon, A.G., R.H. Lopez, L.F.R. Espath, L.F.F. Miguel, A.T. Beck, "A stochastic gradient approach for the reliability maximization of passively controlled structures", Engineering Structures, Volume 186 (2019), Pages 1-12.

Keywords:

Robust design, Reliability maximization, Stochastic gradient descent, Friction tuned mass dampers, Passive control

Website

Download Document

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", in IEEE Journal on Multiscale and Multiphysics Computational Techniques, vol. 4, (2019), pp. 37-50

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

Website

Download Document

Refereed Journals

Hoel, Håkon, and Anders Szepessy, "Classical Langevin Dynamics Derived from Quantum Mechanics", arXiv preprint 1906.09858

Keywords:

Stochastic methods, Quantum dynamics and nonequilibrium statistical mechanics, Stochastic differential and integral equations, Stochastic ordinary differential equations

Website

Download Document

Manuscripts

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

Website

Download Document

Refereed Journals

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

Website

Download Document

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

Website

Download Document

Refereed Journals

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.

Website

Download Document

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.

Website

Download Document

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

Website

Download Document

Refereed Journals

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

Website

Download Document

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

Website

Download Document

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

Website

Download Document

Refereed Journals