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Total result(s) found: 8
  • Haji-Ali, Abdul-Lateef, Fabio Nobile, Raúl Tempone, and Sören Wolfers, "Multilevel weighted least squares polynomial approximation", ESAIM: M2AN, Volume 54, no. 2, (2020): 649–677

Keywords:
Multilevel methods, least squares approximation, multivariate approximation, polynomial approximation, convergence rates, error analysis
Refereed Journals
  • Ben Rached, Nadhir, Daniel MacKinlay, Zdravko Botev, Raúl Tempone, and Mohamed-Slim Alouini, "A Universal Splitting Estimator for the Performance Evaluation of Wireless Communications Systems", IEEE Transactions on Wireless Communications, 2020​
Keywords:
Rare event, performance evaluation, multilevel splitting algorithm, variance reduction
Refereed Journals
  • Ben Rached, Nadhir, Abla Kammoun, Mohamed-Slim Alouini, and Raúl Tempone, "An Accurate Sample Rejection Estimator for the Estimation of Outage Probability of EGC Receivers", arXiv 1903.05481, 2020.​
Keywords:
Outage probability, equal gain combining, importance sampling, sample rejection, generalised selection combining, bounded relative error.
  • ​Renzo Caballero, Ahmed Kebaier, Marco Scavino, and Raúl Tempone, "A Derivative Tracking Model for Wind Power Forecast Error", arXiv, 2006.15907​, 2020
Keywords:
Wind power, probabilistic forecasting, stochastic differential equations, Lamperti transform, numerical optimization, model selection, time-inhomogeneous Jacobi diffusion
  • Ballesio, Marco, Ajay Jasra, Erik von Schwerin, and Raúl Tempone; "A Wasserstein Coupled Particle Filter for Multilevel Estimation", arXiv, 2004.03981, 2020.
Keywords:
Filtering, Diffusions, Multilevel Monte Carlo, Particle Filters
  • Carlon, André Gustavo, Ben Mansour Dia, Luis Espath, Rafael Holdorf Lopez, Raúl Tempone, "Nesterov-aided stochastic gradient methods using Laplace approximation for Bayesian design optimization", Computer Methods in Applied Mechanics and Engineering, Volume 363, (2020).
Keywords:
Optimal experimental design, Bayesian inference, Laplace approximation, Stochastic optimization, Accelerated gradient descent, Importance sampling
Refereed Journals
Keywords:
Rough volatility, Monte Carlo, Adaptive sparse grids, Quasi Monte Carlo, Brownian bridge construction, Richardson extrapolation.
Refereed Journals
  • Bayer, Christian, Chiheb Ben Hammouda, and Raul Tempone. "Numerical smoothing and hierarchical approximations for efficient option pricing and density estimation." arXiv preprint arXiv:2003.05708 (2020).​
Keywords:
Deterministic quadrature methods, Hierarchical variance reduction methods, Multilevel Monte Carlo, Numerical smoothing, Adaptive sparse grids quadrature, Brownian bridge, Richardson extrapolation, Option pricing, Monte Carlo