2018 | STOCHNUM | Stochastic Numerics Research Group

Articles

Rached, N. B., Botev, Z., Kammoun, A., Alouini, M.-S., & Tempone, R. (2018). On the Sum of Order Statistics and Applications to Wireless Communication Systems Performances. IEEE Transactions on Wireless Communications, 17(11), 7801–7813. doi:10.1109/twc.2018.2871201

Keywords: Order statistics, outage probability, Generalized selection combining, Monte Carlo, Variance reduction techniques, Importance sampling, Conditional MC.

Bayer, C., Häppölä, J., & Tempone, R. (2018). Implied stopping rules for American basket options from Markovian projection. Quantitative Finance, 1–20. doi:10.1080/14697688.2018.1481290

Keywords: Basket option, Optimal stopping, Black–Scholes, Error bounds, Monte Carlo, Markovian projection, Hamilton–Jabcobi–Bellman

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Iglesias, M., Sawlan, Z., Scavino, M., Tempone, R., & Wood, C. (2018) Ensemble-marginalized Kalman filter for linear time-dependent PDEs with noisy boundary conditions: Application to heat transfer in building walls. Inverse Problems 34, no. 7: 075008. doi:10.1088/1361-6420/aac224

Keywords: Ensemble Kalman filter, Linear PDEs, Heat equation, Nuisance boundary parameters marginalization, Heat flux measurements, Thermal resistance, Heat capacity

Alouini, M.-S., Rached, N. B., Kammoun, A., & Tempone, R. (2018) On the efficient simulation of the left-tail of the sum of correlated log-normal variates. Monte Carlo Methods and Applications 0. Available: http://dx.doi.org/10.1515/mcma-2018-0009

Keywords: Sum of correlated Log-normal, Small probability values, Variance reduction techniques, Left-tail of the sum of correlated Log-normal variates, Importance sampling, Control variate, Asymptotically vanishing relative error

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Beck, J., Sangalli, G., & Tamellini, L. (2018). A sparse-grid isogeometric solver. Computer Methods in Applied Mechanics and Engineering. doi:10.1016/j.cma.2018.02.017.

Keywords: Isogeometric analysis, B-splines, NURBS, Sparse grids, Combination technique

Beck, J., Dia, B.M., Espath, L.F.R., Long, Q., & Tempone, R. (2018). Fast Bayesian experimental design: Laplace-based importance sampling for the expected information gain. Computer Methods in Applied Mechanics and Engineering 334: 523–553. doi:10.1016/j.cma.2018.01.053

Keywords: Bayesian experimental design, Expected information gain, Monte Carlo, Laplace approximation, Importance sampling, Composite
materials

Issaid, C. B., Alouini, M.-S., & Tempone, R. (2018) On the Fast and Precise Evaluation of the Outage Probability of Diversity Receivers Over α−μ, κ−μ, and η−μ Fading Channels. IEEE Transactions on Wireless Communications: V.17, n.2: 1255 - 1268. doi:10.1109/TWC.2017.2777465

Keywords: —α−μ, κ−μ, η−μ, Importance sampling, Monte Carlo, Bounded relative error, Outage probability, Diversity techniques

Nobile, F., Tempone, R., & Wolfers, S. (2017). Sparse approximation of multilinear problems with applications to kernel-based methods in UQ. Numerische Mathematik 139, n. 1: 247-280. doi:10.1007/s00211-017-0932-4

Keywords: kernel-based methods in UQ

Iglesias, M., Sawlan, Z., Scavino, M., Tempone, R., & Wood, C. (2018). Bayesian inferences of the thermal properties of a wall using temperature and heat flux measurements. International Journal of Heat and Mass Transfer 116: 417–431. doi:10.1016/j.ijheatmasstransfer.2017.09.022

Keywords: Heat Equation, Nuisance Boundary Parameters Marginalization, Heat Flux Measurements, Solid Walls, Bayesian Inference, Thermal Resistance, Heat Capacity, Experimental Design.

Rached, N. B., Benkhelifa, f., Kammoun, A., Alouini, M.-S., & Tempone, R. (2018). On the generalization of the hazard rate twisting-based simulation approach. Statistics and Computing 28: 61-75. doi:10.1007/s11222-016-9716-4

Keywords: Naive Monte Carlo, Rare events, Importance sampling, Hazard rate twisting, Logarithmic efficient, Twisting parameter

Rached, N. B., Botev, Z., Kammoun, A., Alouini, M.-S., & Tempone, R. (2018). Importance sampling estimator of outage probability under a generalized selection combining model. IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP): 3909-3913 [conference paper]. doi:10.1109/ICASSP.2018.8462177

Keywords: Outage probability, Generalized selection combining, Order statistics, Monte Carlo, Importance sampling

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Francisco, E. P., Espath, L. F. R., Laizet, S., & Silvestrini,J. H. (2018). Reynolds number and settling velocity influence for finite-release particle-laden gravity currents in a basin. Computers & Geosciences 110: 1-9. doi:10.1016/j.cageo.2017.09.010

Keywords: Particle-laden gravity current, Energy budget, Deposition of particles, Direct numerical simulation

Capriotti, L., Jiang, Y., & Shaimerdenova, G (2018). Approximation Methods for Inhomogeneous Geometric Brownian Motion. International Journal of Theoretical and Applied Finance, v. 22. doi.org/10.1142/s0219024918500553

Keywords: Inhomogeneous Geometric Brownian Motion; Constant Elasticity of Variance; Arrow-Debreu Security, Derivative Pricing; Power Series Expansions

Manuscripts

Litvinenko, A., Yucel, A. C., Bagci, H., Oppelstrup, J., Michielssen, E., & Tempone, R. Computation of Electromagnetic Fields Scattered From Objects With Uncertain Shapes Using Multilevel Monte Carlo Method. arXiv preprint, arXiv:1809.00362, 2018

Keywords: Uncertainty quantification in geometry, Random geometry, Multilevel Monte Carlo method (MLMC), Continuation MLMC, Integral equation, Fast multipole method (FMM), Fast Fourier transform (FFT), Scattering problem.

Beck, J., Tamellini, L., & Tempone, R. IGA-based Multi-Index Stochastic Collocation for random PDEs on arbitrary domains. arXiv preprint, arXiv:1810.01661, 2018

Keywords: Isogeometric analysis, Uncertainty Quantification, Sparse Grids, Stochastic Collocation methods, multilevel methods, combination-technique.

Bayer, C., Tempone, R., & Wolfers, S. Pricing American Options by Exercise Rate Optimization. arXiv preprint, arXiv:1809.07300, 2018

Keywords: Computational finance, American options, Stochastic optimization, Rough Bergomi.

Carlon, A. G., Dia, B. M., Espath, L., Lopez, R. H., & Tempone R. Nesterov-aided stochastic gradient methods using Laplace approximation for Bayesian design optimization. arXiv preprint, arXiv:1807.00653, 2018

Keywords: Optimal Experimental Design, Bayesian Inference, Laplace Approximation, Stochastic Optimization, Accelerated Gradient Descent, Importance Sampling

Bayer, C., Hammouda, C. B., & Tempone, R. Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model. arXiv preprint arXiv:1812.08533, 2018

Keywords: Rough volatility, Monte Carlo, Adaptive sparse grids, Brownian bridge construction, Richardson extrapolation.

Beck, J., Dia, B. M., Espath, L. F. R., & Tempone, R. Multilevel Double Loop Monte Carlo and Stochastic Collocation Methods with Importance Sampling for Bayesian Optimal Experimental Design, arXiv preprint arXiv:1811.11469, 2018

Keywords: Electrical impedance tomography, Expected information gain, Importance sampling, Multilevel, Stochastic collocation

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