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AMCS Seminar | Multi-level Monte Carlo for Approximation of Densities

Start Date: October 19, 2016
End Date: October 19, 2016

By Prof. Klaus Ritter (Technische Universität Kaiserslautern, Germany)
 
The multi-level Monte Carlo approach is a powerful variance reduction technique, which is applied, in particular, in the context of stochastic differential-equations. While the standard task is to compute the expectation of a real-valued functional, we study how to approximate densities of functionals in this talk. We discuss the basic ingredients of the algorithm, which include, in particular, smoothing and interpolation, both of which are not present in the standard application of the multi-level approach. We present upper bounds for the error and the cost, and we sketch an adaptive version of the algorithm. Joint work with Mike Giles (Oxford Univ.) and Tigran Nagapetyan (Oxford Univ.).
 
Biography: Prof Klaus Ritter Curriculum Vitae 1961 Born in Duisburg 1981-1988 Study in Computer Science and in Mathematics, Universität Erlangen-Nürnberg 1988 Diploma in Mathematics, Universität Erlangen-Nürnberg 1990 PhD in Mathematics, Universität Erlangen-Nürnberg 1991-1992 Postdoc (German Research Foundation), Department of Computer Science, University of Kentucky, Lexington 1996 Habilitation (venia legendi) in Mathematics, Universität Erlangen-Nürnberg 1998-1999 Senior Scientific Assistent, Department of Mathematics and Computer Science, Universität Passau 1999-2000 Feodor Lynen Research Fellow (Alexander von Humboldt Foundation), Department of Computer Science and Lamont Doherty Earth Observatory, Columbia University, New York 2000-2010 Professor, Department of Mathematics, Technische Universität Darmstadt 2006 Offer of a Professorship in Numerical Analysis, Universität Kiel, Offer of a Professorship in Applied Stochastics, Technische Universität Bergakademie Freiberg 2010 Professor, Department of Mathematics, Technische Universität Kaiserslautern
 

More Information:

For more info contact: Prof. Raul F. Tempone: email: raul.tempone@kaust.edu.sa
 
Date: Wednesday 19th Oct 2016
Time:03:00 PM - 04:00 PM
Location: Conference room: Building 1- Level 4- 4214
Refreshment will be served @ 2:45