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.
During the period June 25 until August 4 Prof. Tempone and part of his KAUST research group will be visiting ICES, Austin, Texas, US.
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.
Prof. Raul Tempone will give a seminar talk entitled "Multi-Index Monte Carlo" at Uppsala University.
The course will be given over three days, two classes/day of 50 + 50 minutes each (one in the morning and one in the afternoon). This entails approximately eleven hrs of lectures in total.
Prof. Raul Tempone is co-organizer of the KAUST Research Conference: Recent Trends in Predicting and Monitoring the Integrity of Composites (COMINT), June 1-2, 2015.
On May 24th, 2015, Ph.D. Candidate Abdul Lateef Haji Ali presented his Proposal Thesis Defense entitled "Optimizing Multilevel Stochastic Samplers: Monte Carlo and Sparse Grids".
On April 30th, 2015, Chaouki Ben Issaid successfully defended his MS Thesis entitled "Bayesian Optimal Experimental Design Using Multilevel Monte Carlo".
On May 3rd, 2015, Pedro Vilanova successfully defended his Ph.D. Thesis entitled "Multilevel Approximations of Markovian Jump Processes with Applications in Communication Networks".
On April 30th, 2015, Chiheb Ben Hammouda successfully defended his MS Thesis entitled "Drift-Implicit Multi-Level Monte Carlo Tau-Leap Methods for Stochastic Reaction Networks".
Multilevel Approximations of Markovian Jump Processes with Applications in Communication Networks By Pedro Vilanova (PhD Student of Prof. Raul Tempone, KAUST).
Drift-Implicit Multi-Level Monte Carlo Tau-Leap Methods for Stochastic Reaction Networks By Chiheb Ben Hammouda (Master Student of Prof. Raul Tempone, KAUST).
MS-Thesis Defense: Bayesian Optimal Experimental Design Using Multilevel Monte Carlo By Chaouki ben Issaid (Master Student of Prof. Raul Tempone, KAUST).
An Integrated Approach for Model-Based Systems and Software Engineering By Prof. Jacques Duysens (ANSYS Inc.).
Jacques Duysens will be visiting the SRI Uncertainty Quantification Center during the period April 28 - 30, 2015.