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Total result(s) found: 19
  • C. Piazzola, L. Tamellini and R. Tempone. "A note on tools for prediction under uncertainty and identifiability of SIR-like dynamical systems for epidemiology", arXiv preprint  arXiv:2008.01400.​​​​​​​​​ To appear in  Mathematical Biosciences, 2020​​​
Keywords:
Dynamical Systems, Mathematical Epidemiology, Uncertainty Quantification, Model Identifiability, Bayesian Inversion, Fisher Approximation
  • C. Ben Issaid, M.-S. Alouini, and R. Tempone, "Efficient Importance Sampling for the Left Tail of Positive Gaussian Quadratic Forms", to appear in IEEE Wireless Communications Letters, 2020.​​
Keywords:
Importance sampling, left tail, positive quadratic forms, Gaussian random vectors, bounded relative error.
  • A. Kammonen and J. Kiessling and P. Plechac and M. Sandberg and A. Szepessy and R. Tempone. "Smaller generalization error derived for deep compared to shallow residual neural networks", arXiv preprint  arXiv:2010.01887, September 2020.​​​​​​​​
Keywords:
residual network, deep random feature, supervised learning, error estimates, layer by layer algorithm.
  • Christian Bayer and Eric Joseph Hall and Raúl Tempone​. "Weak error rates for ​option pricing under the rough Bergomi model.​​" arXiv preprint arXiv:2009.01219​​​
Keywords:
Rough Bergomi, Weak error rate
  • Chiara Piazzola and Lorenzo Tamellini and Raúl Tempone,  "A note on tools for prediction under uncertainty and identifiability of SIR-like dynamical systems for epidemiology", arXiv preprint arXiv:2008.01400
Keywords:
Dynamical Systems, Mathematical Epidemiology, Uncertainty Quantification, Model Identifiability, Bayesian Inversion, Fisher Approximation
  • ​Chiheb Ben Hammouda,  Nadhir Ben Rached, and Raul Tempone. "Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks.​"​ Statistics and Computing (2020): 1-25.​​​
Keywords:
Multilevel Monte Carlo. Continuous time Markov chains. Stochastic reaction networks. Stochastic biological systems. Importance sampling
Refereed Journals
  • Litvinenko, Alexander, Dimitry Logashenko, Raúl Tempone, Gabriel Wittum, and David Keyes. . "Solution of the 3D density-driven groundwater flow problem with uncertain porosity and permeability". Int J Geomath 11, 10 (2020)
Keywords:
Uncertainty quantification·ug4·Multigrid·Density-driven flow· Reservoir·Groundwater·Salt formations
Refereed Journals
  • Beck, Joakim, Ben Mansour Dia, Luis Espath, Raúl Tempone. "Multilevel double loop Monte Carlo and stochastic collocation methods with importance sampling for Bayesian optimal experimental design". Int J Numer Methods Eng. (2020); 121: 34823503
Keywords:
Electrical impedance tomography, Expected information gain, Importance sampling, Multilevel, Stochastic collocation
Refereed Journals
  • Bayer, Christian, Raúl Tempone, and Sören Wolfers, "Pricing American Options by Exercise Rate Optimization", Quantitative Finance, (2020)
Keywords:
Computational finance, American option pricing, stochastic optimization problem, Monte Carlo, multivariateapproximation, rough volatility
Refereed Journals
  • ​Chernov, Alexey, Haakon Hoel, Kody Law, Fabio Nobile, and Raúl Tempone, "Multilevel Ensemble Kalman filtering for spatially extended models", arXiv preprint 1608.08558. To appear in Numerische Mathematik, 2020
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Keywords:
Monte Carlo, multilevel, filtering, Kalman filter, ensemble Kalman filter
  • Hoel, Håkon, Gaukhar Shaimerdenova, and Raúl Tempone, "Multilevel Ensemble Kalman Filtering with local-level Kalman Gains", arXiv preprint 2002.00480
Keywords:
Stochastic differential and integral equations, Complexity and performance of numerical algorithms
  • 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 of the Outage Probability With Equal Gain Combining"IEEE Open Journal of the Communications Society, Volume 1 (2020), Pages 1022-1034.
Keywords:
Outage probability, equal gain combining, importance sampling, sample rejection, generalised selection combining, bounded relative error.
Refereed Journals
  • ​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