News

January 2026

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  Smarter MRI image analysis for the whole heart

  1 min read · Thu, Jan 22 2026

  News Clip News

  bayesian analysis Bayesian Statistics

  A Bayesian approach that selects the most informative frames for manual labeling could speed up real-time heart MRI analysis.

November 2025

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  Realistic scenario planning for solar power

  1 min read · Tue, Nov 25 2025

  News Clip News

  numerical methods

  Placing realistic bounds on solar power scenarios enables smarter grid planning and energy management.

September 2025

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  KAUST alumnus Dr. Abdul-Lateef Haji-Ali receives prestigious Humboldt Research Fellowship for Experienced Researchers

  2 min read · Mon, Sep 29 2025

  Awards News

  uncertainty quantification stochastic differential equations Stochastic Optimal Control

  KAUST alumnus Abdul-Lateef Haji-Ali receives Humboldt Fellowship for advances in stochastic modeling

June 2025

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  Workshop Stochastic Numerics and Statistical Learning: Theory and Applications - May 2025

  1 min read · Tue, Jun 3 2025

  News

  The fourth annual workshop in the "Stochastic Numerics and Statistical Learning: Theory and Applications" series was held in KAUST 18-25 of May 2025. Following previous successful iterations, the workshop brought together students, researchers, and faculty with a shared interest in stochastic algorithms, statistical learning, optimization, and approximation. The workshop focused on stochastic algorithms and their rigorous numerical analysis in solving complex problems. These algorithms are crucial in tackling computational challenges across multiple fields, including machine learning

February 2025

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  Chiheb Ben Hammouda and Michael Samet's research visit to KAUST

  1 min read · Wed, Feb 19 2025

  News

  During the first two weeks of February 2025, Prof. Chiheb Ben Hammouda and Michael Samet visited the Stochastic Numerics Group at KAUST. Their visit marked a fruitful collaboration on a project on stochastic optimal control for intraday renewable energy trading.

May 2024

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  Gaukhar Shaimerdenova successfully defended her PhD Thesis

  2 min read · Thu, May 16 2024

  News

  On May 15, 2024, Gaukhar Shaimerdenova successfully defended her Ph.D. thesis entitled " Hierarchical ensemble-based data assimilation and rare event tracking ". Committee chairperson: Prof. Raúl Tempone, AMCS, KAUST. External examiner: Prof. Sumeetpal Singh , Tibra Foundation Chair in Mathematical Sciences, School of Mathematics, U niversity of Wollongong. Committee members: Prof. Omar Knio, AMCS, KAUST, Prof. Ibrahim Hoteit, PSE, KAUST, Prof. Håkon Hoel, University of Oslo, Prof. Nadhir Ben Rached, University of Leeds . Abstract: This thesis consists of three papers considering, in general
• 

  Stochastic Numerics and Statistical Learning: Theory and Applications Workshop 2024

  1 min read · Mon, May 13 2024

  News

  The Stochastic Numerics and Statistical Learning: Theory and Applications Workshop 2024 is an engaging and insightful event for researchers, faculty members and students interested in stochastic algorithms, statistical learning, optimization and approximation. This year, the workshop focuses on contributions that offer mathematical foundations for algorithmic analysis or highlight relevant applications.

April 2024

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  New Publication in Optimization Methods and Software by Our Research Team

  1 min read · Wed, Apr 3 2024

  News

  We are proud to announce a significant achievement by our research team: the acceptance of our paper, "Approximating Hessian matrices using Bayesian inference: a new approach for quasi-Newton methods in stochastic optimization," in the prestigious journal Optimization Methods and Software. This work is a collaborative effort by André Carlon, a postdoctoral fellow at the Stochastic Numerics group at KAUST, Raúl Tempone, the PI of the group, and Luis Espath, a professor at the University of Nottingham. Our research presents a novel approach to improving the performance of stochastic optimization

February 2024

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  StochNum Alumni Joakim Beck

  1 min read · Mon, Feb 12 2024

  News

  Alumni Dr. Joakim Beck served in our Stochastic Numerics group at KAUST from 2016 to January 2024, first as a Postdoctoral Fellow and later as a Research Scientist. He has recently accepted a faculty position at the Center for Integrative Petroleum Research (CIPR) at King Fahd University of Petroleum and Minerals (KFUPM), and started in February 2024. With a solid background in chemical engineering, stochastics, uncertainty quantification, numerical methods, and statistical science, Dr. Beck is well-equipped to contribute to CIPR's research initiatives. His expertise is expected to support the
• 

  A new Ph.D. student joins the team

  1 min read · Wed, Feb 7 2024

  News

  In February 2024, student Leon Wilkosz joined KAUST through the Stochastic Numerics Research Group, where he will pursue his Ph.D. studies under Prof. Raul Tempone's supervision. StochNum Team wishes an excellent experience for Leon!

December 2023

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  StochNum student Michael Samet achieved his Master's degree

  1 min read · Wed, Dec 20 2023

  News

  With immense pride, I dedicate this notable achievement to my cherished family, close friends, esteemed research collaborators, and the instructors from my past, all of whom have been pillars of support and encouragement throughout my transformative journey at KAUST. Particularly, I want to express my deepest gratitude to my academic advisor, Prof. Raùl Tempone, and my mentor, Prof. Chiheb Ben Hammouda, for their invaluable guidance during my MSc. studies and my wife, Hela, for her enduring patience and unwavering support. KAUST stands as a unique academic haven, fostering growth in an
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  Prof. Raul Tempone's talk in Edinburgh Mathematical Society, Dundee

  1 min read · Wed, Dec 20 2023

  News

  Uncertainty Quantification (UQ) emerges as a guiding force in the turbulent sea of data-driven domains, from energy to health. This talk presents a methodology that harnesses UQ for robust renewable energy forecasting, employing a stochastic differential equation model that sails beyond the challenges of wind and solar predictability. Shifting the focus to biomedical imaging, we unveil a novel UQ approach that dives into the depths of MRI analysis, providing more precise insights into cardiac health without being anchored to specific segmentation techniques. Embark on a voyage that highlights
• 

  StochNum student Eya ben Amar successfully completed her Master's degree

  1 min read · Tue, Dec 19 2023

  News

  Eya Ben Amar recently participated in the KAUST 2023 commencement ceremony, marking a significant achievement as a Master's graduate in the Computer, Electrical, and Mathematical Sciences and Engineering Division.
• 

  Research visit to RWTH, Aachen by Andre Carlon

  1 min read · Sun, Dec 10 2023

  News

  Between November 21st and December 2nd, André Carlon, one of the postdocs in our group, visited the Chair of Uncertainty Quantification (UQ) at RWTH University in Aachen, Germany. His visit was marked by fruitful collaborations on various UQ-related projects. In the photo, from left to right, are Dr. Alexander Litvinenko, Group Leader in UQ, Prof. Abdul-Lateef Haji-Ali, Associate Professor at Heriot-Watt University, and André Carlon

November 2023

• 

  Edinburgh Mathematical Society Welcomes Prof. Raul Tempone for a Pioneering Lecture in Dundee

  1 min read · Mon, Nov 13 2023

  News

  The Edinburgh Mathematical Society (EMS), established in 1883 as a cornerstone of the Scottish Mathematical Sciences community, will host an invited lecture by Prof. Raúl Tempone. Holding the prestigious Alexander von Humboldt Chair of Mathematics for Uncertainty Quantification, Prof. Tempone will deliver the talk “Navigating the Unknown: Harnessing Uncertainty in Renewable Energy and Heart Health.” Scheduled for Friday, 24th November 2024, from 15:30 to 16:30 in Fulton F20, this lecture offers insights into applying mathematical principles in critical areas of renewable energy and heart
• 

  StochNum welcomed visiting scholar Jonas Latz

  1 min read · Sun, Nov 12 2023

  News

  Jonas Latz, a Lecturer (Assistant Professor) at the University of Manchester, UK, visited the Stochastic Numerics group at KAUST this week. He presented his current research on continuous-time Markov processes in optimisation and Bayesian inference under large-scale data. In multiple discussions, Jonas and the group members developed new ideas for joint future projects at the intersection of partial differential equations and machine learning.
• 

  Research visit to RWTH Aachen by Aku Kammonen and Erik von Schwerin

  1 min read · Tue, Nov 7 2023

  News

  Aku Kammonen and Erik von Schwerin visited the MATH4UQ chair at RWTH Aachen. During the visit to the chair, they worked on an ongoing collaboration with Dr. Anamika Pandey. This research builds on previous work by Kammonen and co-authors, published in the paper Adaptive random Fourier features with Metropolis sampling. They also had the opportunity to discuss research with several students at the chair. Aku and Erik would like to thank all of their hosts for making it a memorable and productive visit.
• 

  Saifeddine ben Naamia and Eliza Rezvanova visited KTH Royal Institute of Technology in Stockholm Sweden

  1 min read · Mon, Nov 6 2023

  News

  In an exciting development, two StochNum students Saifeddine ben Naamia and Eliza Rezvanova , have been granted the opportunity to explore KTH Royal Institute of Technology in Stockholm and collaborate with esteemed academics. This international endeavor aims to foster academic exchange and enrich their knowledge. Their visit to KTH not only signifies a milestone in the academic journey but also stands as a testament to the importance of international collaboration in advancing research and knowledge.

October 2023

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  Prof. Raul Tempone visited German Aerospace Center (DLR) in Kolen, Germany

  1 min read · Tue, Oct 24 2023

  News

  On October 18th, 2023, Alexander von Humboldt Prof. Raúl Tempone visited the DLR center in Koln, Germany. Hosted by Prof. Michael Felderer and his team, the visit provided a valuable platform for knowledge exchange. Prof. Tempone presented the structure and mission of his research group. Prof. Michael Felderer, Director of the Institute for Software Technology (SC) at DLR, emphasized the institute's vital role in large language models and software development. His insights showcased the SC's significant contributions to engineering applications and technological innovations. Achim Basermann
• 

  Eya Ben Amar successfully defended her Masters thesis

  1 min read · Thu, Oct 12 2023

  News

  In a remarkable display of academic excellence, On Oct. 11, 2023, Eya Ben Amar successfully defended her Masters proposal entitled “Stochastic differential equations for performance analysis of wireless communication systems” Committee Chairperson: Prof. Raúl Tempone, AMCS, KAUST Committee Members: Prof . Ajay Jasra, AMCS, KAUST Prof. Mohamed-Slim Alouini, AMCS, KAUST Abstract: This thesis addresses the challenge of characterizing the time-varying nature of fading channels. The current time invariant models often fall short in capturing and tracking these dynamic characteristics. To overcome
• 

  StochNum warmly welcomed visiting students Owen Douglas from University of Oxford and Arved Bartuska from RWTH

  1 min read · Sun, Oct 1 2023

  News

  In a melting pot of intellectual pursuits, we warmly welcomed two visiting students Arved and Owen, as they embarked on an exciting academic journey. Owen Douglas from University of Oxford is conducting a project in neural networks applied to stochastic equations. Arved Bartuska from RWTH Aachen University is working on his thesis "Hierarchical Methods for Bayesian Optimal Experimental Design" under the supervision of prof. Raul Tempone. He is also collaborating on two underlying research papers with Dr. Andre Carlon. The goal of the project is to develop efficient estimators for nested

September 2023

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  Erik von Schwerin and Aku Kammonen visited RWTH Aachen University in last week of September

  1 min read · Wed, Sep 20 2023

  News

  For two weeks in August and September 2023, Aku Kammonen and Erik von Schwerin visited the MATH4UQ chair at RWTH Aachen. During the visit to the chair, they enjoyed informal research discussions with all present group members. They mainly focused on an ongoing collaboration with Dr. Anamika Pandey. This research builds on previous work by Kammonen and co-authors, published in the paper Adaptive random Fourier features with Metropolis sampling. Aku and Erik would like to thank their hosts for their kind hospitality

August 2023

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  Research Scientist Erik von Schwerin participation at ADMOS 2023 Conference in Gothenburg, Sweden

  1 min read · Wed, Aug 23 2023

  News

  Erik von Schwerin participated in the conference ADMOS 2023 with a talk based on the paper Goal-Oriented Adaptive Finite Element Multilevel Monte Carlo with Convergence Rates. This 11th iteration of the ADMOS conferences was held in Gothenburg, Sweden, on 19-21 June 2023. It attracted a strong international group of researchers and practitioners in adaptive modeling and simulation. Abstract: In this study, we present an adaptive multilevel Monte Carlo (AMLMC) algorithm for approximating deterministic, real-valued, bounded linear functionals that depend on the solution of a linear elliptic PDE
• 

  StochNum welcomed three collaborators in August 2023

  1 min read · Mon, Aug 7 2023

  News

  In an exciting collaboration for our esteemed research group, we are delighted to announce the visit of three highly regarded collaborators who joined us for an insightful and fruitful exchange of ideas. This visit promises to enhance our ongoing research efforts and pave the way for exciting future collaborations. Dr. Eduardo Jaber from Ecole Polytechnique France, Dr. Christian Bayer from WIAS institute Berlin and Dr. Burcu Aydogan from RWTH Aachen University joined us in the beginning of August. Simon Breneis a PhD student from WIAS Berlin also joined them. They work on an optimal execution
• 

  Eliza Rezanova successfully defended her PhD proposal

  1 min read · Thu, Aug 3 2023

  News

  In a remarkable display of academic excellence, On July 26, 2023, Eliza Rezanova successfully defended her PhD Proposal entitled “ Stochastic optimal control of renewable energy”. Committee Chairperson: Prof. Raúl Tempone, AMCS, KAUST Committee Members: Prof . Daniele Boffi, AMCS, KAUST Prof. David Bolin, AMCS, KAUST Abstract: Considering the large-scale development of renewable energy resources globally, and the high variability of these sources, the control optimization (scheduling) of energy supply systems is becoming increasingly crucial for the efficient use of production facilities to
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  Yang Liu successfully defended his PhD proposal

  1 min read · Thu, Aug 3 2023

  News

  In a remarkable display of academic excellence, On May 3, 2023, Yang Liu successfully defended his PhD proposal entitled " Hierarchical sampling techniques and goal-oriented adaptive finite element methods with application to elliptic PDEs with lognormal coefficients. Committee Chairperson: Prof. Raúl Tempone, AMCS, KAUST Committee Members: Prof . Daniele Boffi, AMCS, KAUST Prof. David Bolin, AMCS, KAUST Abstract: We propose our Adaptive Multilevel Monte Carlo (AMLMC) method to solve an elliptic partial differential equation with lognormal random input data where the PDE model has geometry
• 

  Saifeddine Ben Naamia successfully defended his MSc thesis

  1 min read · Thu, Aug 3 2023

  News

  In a remarkable display of academic excellence, On June 9, 2023, Saifeddine Ben Naamia successfully defended his Msc. thesis entitled " Data driven UQ for wind and solar production using SDE models with generalized diffusion coefficient and stochastic optimization Committee Chairperson: Prof. Raúl Tempone, AMCS, KAUST Committee Members: Prof . Ajay Jasra, AMCS, KAUST Prof. Mohamed-Slim Alouini, AMCS, KAUST Abstract: In the first part of the thesis, we focus on the development of a generalized Itoˆ stochastic differential equation (SDE) model to assess the uncertainty of de- terministic
• 

  Stochnum PhD Student Michael Samet participation at SIAM Conference on Financial Mathematics and Engineering (FM23)

  1 min read · Tue, Aug 1 2023

  News

  The recently concluded SIAM Conference on Financial Mathematics and Engineering (FM23) witnessed a presentation by a PhD student of our group, Michael Samet, on Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models . The Conference held at Philadelphia, Pennsylvania, U.S. , between June 6-9, 2023. Abstract : High-dimensional option pricing using Fourier-based approaches is still active area of intensive research. When the expression of characteristic function is available, carefully designed Fourier pricing methods are prominent because they profit from high
• 

  Stochnum PhD Student Eya Ben Amar attended Summer School CEMRACS 2023 at Marseille, France

  1 min read · Tue, Aug 1 2023

  News

  Eya Ben Amar attended S ummer School CEMRACS 2023, that was held in Marseille, France, from July 17-21, 2023. The Summer School welcomed a diverse group of students from different backgrounds creating a vibrant and inclusive learning. The program offered a wide range of courses, allowing students to explore various fields of interest and discover their passions. Eya attended five courses on “Scientific Machine Learning”.
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  Stochnum PhD Student Yang Liu participation at ECCOMAS-YIC23 Conference

  1 min read · Tue, Aug 1 2023

  News

  A phd student of our group Yang Liu participated in the confernce ECCOMAS-YIC23 and had a presentation, on Nonasymptotic QMC convergence analysis for elliptic PDE with lognormal coefficients . The Conference held at Porto, Portugal between June 19-21, 2023. Abstract : This study analyzes the nonasymptotic convergence behavior of the quasi- Monte Carlo (QMC) method with applications to linear elliptic partial differen- tial equations (PDEs) with lognormal coefficients. Following the error analysis in (Owen, 2006), we derive a non-asymptotic convergence estimate, which de- pends on the specific
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  Post-Doc Aku Jakko Kammonen participation at UNCECOMP 2023, 5th International Conference on Uncertainty Quantification in Computational Science and Engineering

  1 min read · Tue, Aug 1 2023

  News

  A postdoctoral fellow of our group Dr. Aku Jaakko Kammonen participated in the recently concluded UNCECOMP 2023, 5th International Conference on Uncertainty Quantification in Computational Science and Engineering and presented a talk on Adaptive random Fourier features based on Metropolis sampling . The Conference held at Athens, Greece, between June 12-14, 2023. Abstract : The supervised learning problem to approximate a function f by a neural network approximation with one hidden layer of width K is studied as a random Fourier features algorithm. Here the mean square loss problem can be
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  PhD Student Eya ben Amar participation at 14th International Conference on Monte Carlo Methods and Applications (MCM23)

  1 min read · Tue, Aug 1 2023

  News

  A PhD student of our group Eya ben Amar participated in the recently concluded 14 th International Conference on Monte Carlo methods and applications (MCM23) and presented a talk on State-dependent Importance Sampling for Estimating Expectations of Functionals of Sums of Independent Random Variables . The Conference held at Sorbonne University, Paris between June 26-30, 2023. Abstract : Estimating the expectations of functionals applied to sums of random variables (RVs) is a well-known problem encountered in many challenging applications. Generally, closed-form expressions of these quantities
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  Post-Doc Aku Jakko Kammonen participation at Siam Conference on Computational Science and Engineering (CSE23)

  1 min read · Tue, Aug 1 2023

  News

  A postdoctoral fellow of our group Dr. Aku Jaakko Kammonen participated in the recently concluded Conference on Computational Science and Engineering (CSE23) and presented a talk on Adaptive random Fourier features based on Metropolis sampling. The Conference held at Amsterdam, Netherlands, between February 26 - March 3, 2023. Abstract: The supervised learning problem to approximate a function $f:\mathbb R^d\to\mathbb R$ by a neural network approximation $\mathbb{R}^d\ni x\mapsto\sum_{k=1}^K\hat\beta_k e^{{\mathrm{i}}\omega_k\cdot x}$ with one hidden layer is studied as a random Fourier

July 2023

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  Michael Samet successfully defended his MSc thesis

  1 min read · Mon, Jul 31 2023

  News

  In a remarkable display of academic excellence, On July 11, 2023, Michael Samet successfully defended his Msc. thesis entitled " Hierarchical Adaptive Quadrature and Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options Committee Chairperson: Prof. Raúl Tempone, AMCS, KAUST Committee Members: Prof . Diogo Gomes, AMCS, KAUST Prof. Mohamed-Slim Alouini, AMCS, KAUST Abstract: Efficiently pricing multi-asset options is a challenging problem in computational finance. Although classical Fourier methods are extremely fast in pricing single asset options, maintaining the tractability
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  Post-Doc André Carlon participation at UNCECOMP2023 in Athens

  1 min read · Sun, Jul 30 2023

  News

  bayesian inference Stochastic Methods and Algorithms

  A postdoctoral fellow of our group Dr. Andre Carlon participated in the recently concluded 5th international conference on Uncertainty Quantification in Computational Science and Engineering and presented a talk on Adaptive double-loop Monte Carlo gradient estimators for Bayesian optimal experimental design. The conference held at Athens, Greece between 12-14 June, 2023. Abstract: Designing experiments is a challenging task. Models of experiments can be used to improve their design and maximize informativeness. In Bayesian Optimal Experimental Design (OED) with non-linear models, one uses the

June 2023

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  Workshop Stochastic Numerics and Statistical Learning: Theory and Applications - May 2023

  1 min read · Thu, Jun 15 2023

  News

  We are thrilled to announce the successful completion of our latest workshop on Stochastic Numerics and Statistical learning: Theory and Applications. The event took place from May 21st to 1st of June 2023, organized by Prof. Raul F. Tempone (Stochastic Numerics Research Group) and Prof. Ajay Jasra (Computational Probability Research Group), and was attended by a large number of enthusiastic participants from various universities and research institutes on-site or remotely. The workshop covered a range of topics including 32 talks, three mini-courses, and two poster sessions, with the

March 2023

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  Ph.D. student Yang Liu won the Finalist Award in the SIAM Hackathon

  1 min read · Wed, Mar 29 2023

  News

  Ph.D. student Yang Liu won the Finalist Award in the SIAM Hackathon on February 25-26, 2023 in Amsterdam, the Netherlands. The event is part of the SIAM CSE23 conference. The main objective of this two-day event is to develop advanced mathematical solutions to tackle practical issues in various industries, provided by participating industry partners. Yang Liu and his teammates chose the challenge provided by AMD. They are requested to replace the expensive physics-based simulations with faster surrogate models, for a certain type of wave equation with varying source term location. The wave
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  Research visit to Dundee and Edinburgh

  1 min read · Sun, Mar 5 2023

  News

  In the week of February 13 to 17, 2023, Erik von Schwerin went on a research visit to Dundee and Edinburgh. During the visit, he gave talks based on the paper Goal-Oriented Adaptive Finite Element Multilevel Monte Carlo with Convergence Rates in the seminar of the Mathematics department at University of Dundee and the MINDS seminar at Heriot-Watt University in Edinburgh. During the visit, he learned about some of the exciting research of the host institutions. One example is filtering problems related to predicting solar storms based on observation data and numerical simulations, and another

February 2023

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  A new Ms/Ph.D. student joins the team

  1 min read · Wed, Feb 1 2023

  News

  uncertainty quantification stochastic optimization

  In January 2023, student Ons Chaabene joined KAUST through the Stochastic Numerics Research Group, where she will pursue her Ms/Ph.D. studies under Prof. Raul Tempone. StochNum Team wishes an excellent experience for Ons!

January 2023

• 

  SthochNum welcomed three visiting students in January 2023

  1 min read · Tue, Jan 31 2023

  News

  In the last two weeks of January 2023, the StochNum Research Group welcomed three visiting students from RWTH Aachen University (Germany): Jonas Nießen, Leon Peter Wilkosz, and Veli Ünlü. Jonas Nießen is working on extending the numerical smoothing techniques developed in the context of stochastic differential equations to random PDEs, in combination with adaptive sparse grids, multilevel Monte Carlo, and Quasi-Monte Carlo methods. Leon Wilkosz works with different efficient sampling schemes of stochastic particle systems to approximate stochastic mean field limits. Veli Ünlü is researching
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  Dr. Hammouda (RWTH) visits KAUST to collaborate with the StochNum Research Group

  1 min read · Thu, Jan 26 2023

  News

  Between the 10th and 24th of January, 2023, the StochNum Research Group hosted Dr. Chiheb Ben Hammouda, a postdoctoral fellow at the Alexander von Humboldt Mathematics for Uncertainty Quantification Chair in RWTH-Aachen/Germany, and a former Ph.D. student of Professor Raul Tempone at KAUST. During his visit, Dr. Hammouda, in collaboration with Prof. Tempone, worked directly with the group's students and researchers. With MS/Ph.D. student Michael Samet, they worked on a new project on developing new Fourier techniques for pricing financial derivatives and risk management. He also collaborated

December 2022

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  Academic collaboration between KAUST and RWTH Aachen in a new project

  1 min read · Thu, Dec 1 2022

  News

  Between November 22nd and December 1st, 2022, the StochNum Research Group hosted Truong-Vinh Hoang, a postdoctoral fellow at the Alexander von Humboldt Mathematics for Uncertainty Quantification Chair in RWTH-Aachen. During his visit, Hoang worked with André Gustavo Carlon on a new project about the robustness certification of machine learning models, with the collaboration of Prof. Bernard Ghanem from the Visual Computer Center at the AI Initiative at KAUST. The main goal of this collaborative project is to develop numerical methods to improve the robustness of machine learning models to

November 2022

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  Stochnum Ph.D. student wins 1st place - 8th KAUST-NVIDIA AI Competition

  1 min read · Mon, Nov 14 2022

  News

  In October 2022, the KAUST Supercomputing Core Laboratory (KSL) in collaboration with NVIDIA promoted the 8th annual workshop on " Accelerating Scientific Applications using GPUs". During this event, the Spatio-temporal Statistics and Data Science (STSDS) group hosted the AI Competition on Geospatial Datasets, where the attendants competed in three categories for developing Artificial Intelligence models for analytics of big data produced by a scientific application. Ph.D. student Yang Liu, a member of the Stochastic Numerics Research Group, attended the AI Competition. He applied the gradient
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  New publication in Quantitative Finance Journal

  1 min read · Wed, Nov 2 2022

  News

  Adaptive sparse grid quadrature Quasi-Monte Carlo Numerical smoothing Richardson extrapolation option pricing Monte Carlo Distribution functions Greeks Risk estimation

  At the end of October, the paper Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing by Christian Bayer ( Weierstrass Institute for Applied Analysis and Stochastics - WIAS) , Chiheb Ben Hammouda ( RWTH Aachen University ) , and Raul Tempone ( King Abdullah University of Science and Technology - KAUST; RWTH Aachen University ), was published in the Quantitative Finance Journal and is available at Taylor & Francis Online. Abstract: When approximating the expectations of a functional of a solution to a stochastic differential

October 2022

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  Article published in IMA Journal of Numerical Analysis

  1 min read · Mon, Oct 24 2022

  News

  residual network deep random feature networks supervised learning layer- by-layer algorithm

  In September 2022, the IMA Journal of Numerical Analysis published the article Smaller generalization error derived for a deep residual neural network compared with shallow networks, by Aku Kammonen (KAUST), Jonas Kiessling (KTH Royal Institute of Technology), Petr Plecháč (University of Delaware), Mattias Sandberg (KTH Royal Institute of Technology), Anders Szepessy (KTH Royal Institute of Technology), and Raul Tempone (KAUST). Abstract: Estimates of the generalization error are proved for a residual neural network with L random Fourier features layers. An optimal distribution for the

September 2022

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  Article published by Foundations of Data Science

  1 min read · Thu, Sep 8 2022

  News

  Nonlinear Filtering Inverse problem conditional expectation weather forecast Deep learning

  In August 2022, the paper Machine learning-based conditional mean filter: A generalization of the ensemble Kalman filter for nonlinear data assimilation, by Truong-Vinh Hoang (RWTH Aachen University), Sebastian Krumscheid (Karlsruhe Institute of Technology), Hermann G. Matthies (Technische Universität Braunschweig) and Raul Tempone (KAUST/RWTH Aachen University) was published by Foundations of Data Science. Abstract: This paper presents the machine learning-based ensemble conditional mean filter (ML-EnCMF) — a filtering method based on the conditional mean filter (CMF) previously introduced in
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  Manuscript accepted by Journal of Computational Physics

  1 min read · Mon, Sep 5 2022

  News

  Monte Carlo multilevel Multi-index Kalman filter

  The manuscript entitled " Multi-index ensemble Kalman filtering" by Håkon A. Hoel, Gaukhar Shaimerdenova, and Raul Tempone has been accepted by the Journal of Computational Physics (JCP). The JCP is a bimonthly scientific journal covering original scientific contributions in advanced mathematical and numerical modeling reflecting a combination of concepts, methods, and principles of physics, mechanics, applied mathematics, statistics, applied geometry, computer science, chemistry, and other scientific disciplines as well. It was established in 1966 and is published by Elsevier. According to

August 2022

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  Ph.D. student Eliza Rezvanova visited RWTH Aachen University

  1 min read · Sun, Aug 28 2022

  News

  During two weeks in August 2022, Ph.D. student Eliza Rezvanova visited RWTH Aachen University to collaborate with Dr. Chiheb Ben Hammouda on stochastic optimal control of renewable energy project.
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  New preprint available from research on quasi-Newton methods for stochastic optimization

  1 min read · Sun, Aug 28 2022

  News

  stochastic optimization Bayesian Estimation machine learning

  A preprint of a new research project of our group named " Approximating Hessian matrices using Bayesian inference: a new approach for quasi-Newton methods in stochastic optimization" is available at arXiv. The manuscript is authored by André Carlon, Prof. Luis Espath, and Prof. Raúl Tempone. Abstract: Using quasi-Newton methods in stochastic optimization is not a trivial task. In deterministic optimization, these methods are often a common choice due to their excellent performance regardless of the problem's condition number. However, standard quasi-Newton methods fail to extract curvature
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  Ph.D. student Yang Liu attended WCCM-APCOM 2022

  1 min read · Sat, Aug 6 2022

  News

  Ph.D. student Yang Liu attended the WCCM-APCOM Yokohama 2022 and presented the work Goal-oriented adaptive MLMC method for elliptic random PDEs by Joakim Beck, Yang Liu, Erik von Schwerin, and Prof. Raul Tempone. Abstract: Multilevel Monte Carlo methods (MLMC) can dramatically reduce the computational cost of Monte Carlo simulations where each sample is computed using a discretization based numerical method, for example, when computing the expected value of a quantity of interest (QoI) depending on the solution to a partial differential equation with stochastic data. Goal-oriented adaptive