Prof. Raul Tempone and Juho Happola gave a recruiting talk at Aalto University, Finland, on Nov. 5, 2015.
Prof. Raul Tempone gave an invited talk entitled “Multi-Index Monte Carlo” at Aalto University, Finland, on Nov. 5, 2015.
Lukasz Szpruch will be visiting the Stochastic Numerics Research Group during the period Oct. 23rd - Nov. 2nd, 2015.
Seminar: Some aspects of time inconsistency in stochastic optimal control by Prof. Boualem Djehiche
Boualem Djehiche will be visiting the CEMSE division (Computer, Electrical, and Mathematical Sciences & Engineering) and the Stochastic Numerics Research Group during the period 11-14 Oct. 2015.
We propose and analyze a novel Multi-Index Monte Carlo (MIMC) method for weak approximation of stochastic models that are described in terms of differential equations either driven by random measures or with random coefficients. The MIMC method is both a stochastic version of the combination technique introduced by Zenger, Griebel and collaborators and an extension of the Multilevel Monte Carlo (MLMC) method first described by Heinrich and Giles.
In this work, we present an extension to the context of Stochastic Reaction Networks (SRNs) of the forward-reverse representation introduced in "Simulation of forward-reverse stochastic representations for conditional diffusions", a 2014 paper by Bayer and Schoenmakers.
Dr. Quan Long will join United Technologies Corporation, Connecticut, USA, as an L5 staff engineer starting Fall 2015. Quan started his postdoc in our group in January 2011 and has been promoted to research scientist since October 2013. Quan obtained his Ph.D. at Cambridge University focusing on computational mechanics.
Prof. Raul Tempone and Dr. Kody Law are organizing a mini-symposium entitled "Advanced multilevel Monte Carlo methods" at the SciCADE 2015 conference in Potsdam, Germany on September 14-18, 2015.
Ph.D. student Abdul Lateef Haji Ali will give a mini-symposium talk at the International Conference on Scientific Computation And Differential Equations 2015 (SciCADE 2015), University of Potsdam, Germany, September 14-18.
Chebyshev nodes are well-known for their near-optimal polynomial interpolation and quadrature properties on intervals. In particular, the associated Lebesgue constant grows only logarithmically, whereas that associated with equispaced nodes grows exponentially. Generalizations of Chebyshev nodes to domains in multiple dimensions have previously been studied on hyper-cubes only. In this talk, we consider more general domains and study the properties of node sets that are similar to Chebyshev nodes in the sense that they are distributed more densely near the boundary of the domain.
We present a novel regularizing ensemble Kalman method for solving PDE-constrained inverse problems. By merging ideas from iterative regularisation approaches and ensemble Kalman algorithms we design a derivative-free solver for generic inverse problems. The proposed method can be used to estimate the parameters of large-scale PDE models in a black-box fashion.
Prof. Raul Tempone was the external thesis revisor in Markus Siebenmorgen's Phd dissertation defense
Prof. Raul Tempone was the external thesis revisor in Markus Siebenmorgen's Ph.D. dissertation defense. The advisor of Markus Siebenmorgen was Prof. Helmut Harbrecht from the University of Basel, Switzerland.
A. Litvinenko was invited to Max-Planck Institute for mathematics in Leipzig to give a talk "Numerical methods for solving stochastic partial differential equations in the Tensor Train format".
Dr. A. Litvinenko gave two talks at the Congress on Industrial and Applied Mathematics (ICIAM 2015), Aug. 10-14, 2015 in Beijing, China, about low-rank tensor methods for solving stochastic/uncertain partial differential equations.