News

September 2016

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  MIMClib: new open source library for UQ problems

  1 min read · Thu, Sep 15 2016

  News

  MIMClib is an open-source library for UQ problems written mainly in Python. The library aims to give the user an easy to use, customizable, and extendable library to solve a wide class of stochastic problems subject to error tolerance efficiently.
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  Prof. Raul Tempone will be a lecturer at the UQ School WIAS - Berlin

  1 min read · Mon, Sep 12 2016

  News

  Prof. Raul Tempone will be a lecturer at the UQ School WIAS - Berlin, Germany from Sep 12th to Sep 16th, 2016.
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  Sparse approximation of multilinear problems with applications to kernel-based methods in UQ

  1 min read · Thu, Sep 1 2016

  News

  Sparse approximation

  ​We provide a framework for the sparse approximation of multilinear problems and show that several problems in uncertainty quantification fit within this framework. In these problems, the value of a multilinear map has to be approximated using approximations of different accuracy and computational work of the arguments of this map.

August 2016

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  Prof. Raul Tempone visits Chalmers

  1 min read · Sun, Aug 28 2016

  News

  During his visit to Chalmers, Prof. Raul Tempone met with Prof. Stig Larsson and Dr. Jesper Karlsson, a former KAUST postdoctoral fellow with the Stochastic Numerics group and now working with Dynamore.
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  Prof. Tempone and Zaid Sawlan visited Prof. Ivo Babuska (ICES, University of Texas at Austin, USA)

  1 min read · Sat, Aug 20 2016

  News

  Prof. Tempone and Zaid Sawlan visited Prof. Ivo Babuska in August 2016 to continue their ongoing collaboration on computational predictions for metallic fatigue processes.
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  Dr. Chengcheng Tang, former KAUST student and now postdoctoral fellow at Stanford, met with Prof. Raul Tempone and Juho Happola

  1 min read · Fri, Aug 19 2016

  News

  Dr. Chengcheng Tang, former KAUST student and now a postdoctoral fellow at Stanford met with Prof. Raul Tempone and Juho Happola at the MCQMC'16 conference. Stanford - the USA, Aug 14th to Aug 19th, 2016.
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  Lorenzo Tamellini will be visiting the Stochastic Numerics Research Group

  1 min read · Tue, Aug 16 2016

  News

  Lorenzo Tamellini will be visiting the Stochastic Numerics Research Group during the period Aug. 16 - 30, 2016.
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  Prof. Mike Giles, Prof. Raul Tempone and Dr. Abdul Lateef Haji Ali are organizing a minisymposium on Multilevel Monte Carlo methods at the MCQMC - Stanford

  1 min read · Sun, Aug 14 2016

  News

  Prof. Mike Giles, Prof. Raul Tempone, and Dr. Abdul Lateef Haji Ali are organizing a mini-symposium on Multilevel Monte Carlo methods at the MCQMC - Stanford - the USA, Aug 14th to Aug 19th, 2016.

July 2016

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  Prof. Raul Tempone is a plenary speaker at International Conference on Monte Carlo techniques

  1 min read · Tue, Jul 5 2016

  News

  Prof. Raul Tempone is a plenary speaker at International Conference on Monte Carlo techniques, Paris, France, July 5 - 8th 2016.

June 2016

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  Dr. Alexander Litvinenko presented his work "Approximation of non-linear Bayesian update" on 11th International EnKF Workshop

  1 min read · Wed, Jun 22 2016

  News

  Dr. Alexander Litvinenko presented his work "Approximation of non-linear Bayesian update" at the 11th International EnKF Workshop, June 20 to 22, 2016, Ulvik, Norway.
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  Prof. Tempone is an invited speaker at the 11th International EnKF "The ensemble Kalman filter" Workshop

  1 min read · Mon, Jun 20 2016

  News

  Prof. Tempone is an invited speaker at the 11th International EnKF "The ensemble Kalman filter" Workshop, from June 20 to 22, 2016. Ulvik, Norway.
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  Prof. Raul Tempone will visit the Dept. of Mathematics at the University of Santiago de Compostela (USC)

  1 min read · Tue, Jun 7 2016

  News

  From June 7th to 17th, 2016, Prof. Raul Tempone will visit the Dept. of Mathematics at the University of Santiago de Compostela (USC), Spain, and give a series of lectures.
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  Prof. Raul Tempone to visit and give a seminar talk at the Dept. of Mathematics, Aachen University, Germany

  1 min read · Thu, Jun 2 2016

  News

  Prof. Raul Tempone will visit and give a seminar talk at the Dept. of Mathematics, Aachen University, Germany from June 2nd to 4th, 2016.

May 2016

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  Dr. Abdul-Lateef Haji-Ali has been awarded a Hooke research fellowship from the Mathematical Institute in Oxford University

  1 min read · Mon, May 30 2016

  News

  Dr. Abdul-Lateef Haji-Ali, who defended his KAUST Ph.D. on May 19, 2016, has been awarded a Hooke research fellowship from the Mathematical Institute at Oxford University.
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  ​On May 29th, 2016, PhD Candidate Juho Häppölä presented his Proposal Thesis Defense entitled "Efficient computational methods for Stochastic Differential Equations"

  1 min read · Sun, May 29 2016

  News

  We present past results and future prospects inefficient evaluation of payoff functionals on randomly evolving dynamic quantities. In the presentation, we go through recent results in Fourier methods for exponential levy processes and derive an adaptive multi-level time stepper for simulating SDEs. We also discuss on-going research on optimal stopping for stochastic differential equations.
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  Alexander Litvinenko presented his work "Approximation of non-linear Bayesian update for inverse problems" on 8th International Conference "Inverse Problems: Modeling and Simulation

  1 min read · Sat, May 28 2016

  News

  Alexander Litvinenko presented his work "Approximation of non-linear Bayesian update for inverse problems" at the 8th International Conference "Inverse Problems: Modeling and Simulation", May 23 – 28, 2016, in Fethiye, Turkey.
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  Abdul-Lateef Haji-Ali successfully defended his PhD thesis

  1 min read · Mon, May 23 2016

  News

  On May 19th, 2016, Abdul-Lateef Haji-Ali​ successfully defended his Ph.D. thesis entitled “Efficient Multilevel and Multi-index Sampling Methods for Stochastic Differential Equations”.
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  Prof. Raul Tempone (KAUST) and Prof. Fabio Nobile (EPFL) are organizing the KAUST UQ School on Numerical Methods for Direct and Inverse Problems

  1 min read · Sun, May 22 2016

  News

  Prof. Raul Tempone (KAUST) and Prof. Fabio Nobile (EPFL) are organizing the KAUST UQ School on Numerical Methods for Direct and Inverse Problems, from May 22 to 28, 2016 at KAUST.
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  PhD Defense by Abdul Lateef Haji Ali

  1 min read · Thu, May 19 2016

  News

  Efficient Multilevel and Multi-index Sampling Methods for Stochastic Differential Equations by Abdul Lateef Haji Ali, Ph.D. candidate of Prof. Raul Tempone (KAUST).
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  Welcome New Postdoctoral Fellow: Dr. Joakim Beck

  1 min read · Sun, May 15 2016

  News

  Joakim Beck has joined as a Post Doctoral Fellow the Stochastic Numerics Group and SRI Uncertainty Quantification Center at KAUST. Joakim is an applied mathematician specializing in computational science and uncertainty quantification.
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  Dr. Pedro Vilanova accepted a position with UMass

  1 min read · Tue, May 10 2016

  News

  Pedro is a founding class member of KAUST. He obtained his Ph.D. in Applied Math in May 2015 under the supervision of Prof. Raul Tempone. During his Ph.D., Pedro coauthored several research articles in refereed journals related to numerical methods and algorithms for pure jump Markovian processes.
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  Welcome New Postdoctoral Fellow: Dr. Carina Suciu

  1 min read · Tue, May 10 2016

  News

  Carina Suciu has joined the Stochastic Numerics Group and SRI Uncertainty Quantification Center at KAUST. Carina is an Applied Mathematician and Computational Scientist specializing in numerical methods solving Populations Balance Systems (PBS). In 2007 she started to work in cooperation with chemical engineers and industrial partners, in the framework of a project “Coupled Simulations of Particle Populations in Turbulent Flows”.
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  Prof. Tempone is an invited speaker at the Uncertainty Quantification Workshop Institut Mittag-Leffler, Sweden

  1 min read · Mon, May 9 2016

  News

  uncertainty quantification

  Prof. Tempone is an invited speaker at the Uncertainty Quantification Workshop, from May 9 to 13, 2016. Institut Mittag-Leffler, Sweden.
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  Prof. Raul Tempone is an invited speaker at the Challenges in high-dimensional analysis and computation Workshop

  1 min read · Mon, May 2 2016

  News

  Prof. Raul Tempone is an invited speaker at the Challenges in high-dimensional analysis and computation Workshop, from May 2 to 6, 2016. San Servolo, Venice, Italy.

April 2016

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  Fabian Crocce accepted a position of assistant professor at Universidad de la República, Uruguay and is starting a company on workforce optimization

  1 min read · Wed, Apr 20 2016

  News

  Fabián Crocce joined the SRI-UQ and the Stochastics numerics group as a postdoctoral fellow in March 2014. For two years he worked on computational finance with Prof. Raul Tempone and his team.
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  Dr. Alexander Litvinenko is organizing a minisymposia "Low-rank and Sparse Tensor Methods for Uncertainty Quantification" on SIAM UQ Conference, Lausanne, Switzerland

  1 min read · Tue, Apr 5 2016

  News

  ​Alexander Litvinenko is organizing a mini-symposia "Low-rank and Sparse Tensor Methods for Uncertainty Quantification" at SIAM UQ Conference, 5-8 April 2016, Lausanne, Switzerland.​
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  Prof. Raul Tempone is an invited speaker at the "Advances in numerical and analytic approaches for the study of non-spatial stochastic dynamical systems in molecular biology" Workshop, Cambridge, UK

  1 min read · Mon, Apr 4 2016

  News

  Prof. Raul Tempone is an invited speaker at the "Advances in numerical and analytic approaches for the study of non-spatial stochastic dynamical systems in molecular biology" Workshop (SDBW03), from April 4 to 8, 2016. Isaac Newton Institute for Mathematical Sciences, Cambridge, UK.

March 2016

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  Visiting student Marco Ballesio successfully defended his Master Thesis with grade 110/110 CUM LAUDE. Politecnico of Torino and Real Collegio Carlo Alberto. Italy - March 2016

  1 min read · Sun, Mar 20 2016

  News

  Marco Ballesio successfully defended his Master Thesis "Indirect Inference for Scalar Time-homogeneous Stochastic Differential Equations Based on Moment Expansions" at Politecnico of Torino and Real Collegio Carlo Alberto. He wrote his Thesis at KAUST in the period July 2015 - January 2016 oriented by Raul Tempone, and Pedro Vilanova (Stochastic Numerics Research Group).

February 2016

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  Prof. Raul Tempone visited Prof. Matteo Icardi's at the University of Warwick

  1 min read · Thu, Feb 25 2016

  News

  Prof. Raul Tempone visited Prof. Matteo Icardi's at the University of Warwick. Dr. Icardi was formerly a postdoctoral fellow at the KAUST Stochastic Numerics research group and currently holds a Zeeman Lecturer position at Warwick.
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  Prof. Tempone is an invited speaker at the Data Assimilation and Inverse Problems Workshop, Mathematics Institute, University of Warwick, UK

  1 min read · Mon, Feb 22 2016

  News

  Prof. Tempone is an invited speaker at the Data Assimilation and Inverse Problems Workshop, from February 22 to 24, 2016. Mathematics Institute, University of Warwick, UK.

January 2016

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  Prof. Raul Tempone is an invited speaker at the Workshop: "Uncertainty Quantification for Multiscale Stochastic Systems and Applications", UCLA, IPAM, Los Angeles, California

  1 min read · Tue, Jan 19 2016

  News

  Prof. Raul Tempone is an invited speaker at the Workshop: "Uncertainty Quantification for Multiscale Stochastic Systems and Applications", UCLA, IPAM, Los Angeles, California. Jan. 19-22, 2016.
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  Dr. Alvaro Moraes accepted a position at Saudi Aramco

  1 min read · Sun, Jan 17 2016

  News

  Alvaro is a founding class member of KAUST. He obtained his Ph.D. in Applied Math in January 2015 under the supervision of Prof. Raul Tempone. During his Ph.D., Alvaro coauthored five research articles in refereed journals related to numerical methods and algorithms for pure jump Markovian processes. In 2013, Alvaro was the recipient of the KAUST Academic Excellence Award.
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  Arias and Art Songs for Guests of SRI-UQ

  3 min read · Wed, Jan 6 2016

  News

  Guests of the January 2016 Uncertainty Quantification Applications Workshop (UQAW) had to check whether they were truly at a science and technology university in Saudi Arabia, or had perhaps taken a wrong turn en route to the poster session and reception in the KAUST University Library on the evening of 6 January. Director Raul Tempone invited them, drinks and hors d’ouvres in hand, to a piano at the entrance to the poster atrium, where Electrical Engineering PhD candidate Itsikiantsoa Randrianantenaina, from Madagascar, and Applied Mathematics Professor David Keyes, from New York City, were
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  SRI UQ Annual Workshop 2016

  1 min read · Tue, Jan 5 2016

  News

  Advances in Uncertainty Quantification Methods, Algorithms, and Applications (UQAW 2016).
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  Welcome New Research Scientist: Dr. Evangelia Kalligiannaki

  1 min read · Fri, Jan 1 2016

  News

  Evangelia Kalligiannaki has joined the Stochastic Numerics Group and SRI Uncertainty Quantification Center at KAUST. Evangelia is an Applied Mathematician and Computational Scientist specializing in multi-scale modeling and uncertainty quantification of high dimensional complex systems.

December 2015

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  Visiting student Alessandro Iania successfully defended his MS thesis. Politecnico di Torino, Italy - Dec. 2015

  1 min read · Wed, Dec 16 2015

  News

  Alessandro Iania successfully defended his Master thesis "Basket option pricing for processes with jumps using sparse grids and Fourier transforms" at Politecnico of Torino. He wrote his thesis at KAUST in the period May - Dec 2015 oriented by Raul Tempone, Fabian Crocce, and Juho Häppölä (Stochastic Numerics group).
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  The role of applied mathematics in finance

  4 min read · Thu, Dec 3 2015

  News

  applied mathematics Finance

  “Sometimes there’s a strange dichotomy between applied mathematics and pure mathematics,” said Professor Raul Tempone, a founding KAUST faculty member and principal investigator of the University's Stochastic Numerics Research Group. “People think that applied math is simply the application of theory.” The argument is that applied math is just classified by its ends in the sense that one is trying to solve a real problem. Tempone argues that this doesn’t mean that new theories don’t need to be created. It also does not mean that the kinds of problems are less challenging than the ones faced in

November 2015

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  Blanca Ayuso de Dios - Associate Professor at the Institute of Mathematics of the Hamburg University of Technology

  1 min read · Mon, Nov 30 2015

  News

  During Spring and Summer 2014, Dr. Blanca Ayuso de Dios was a visiting researcher and consultant within the Stochastic Numerics group lead by Prof. Tempone. During that time she collaborated with several group members and others from the KAUST SRI UQ​.
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  Dr. Alvaro Moraes will teach a short course at Séminaire Bachelier Paris, November 20, 2015

  1 min read · Fri, Nov 20 2015

  News

  ​Dr. Alvaro Moraes will teach the short course "Pure jump processes and Multilevel Monte Carlo" at Séminaire Bachelier Paris, November 20, 2015.
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  Georgios Zouraris will be visiting the Stochastic Numerics Research Group during the period Nov. 20 - Dec. 3, 2015

  1 min read · Fri, Nov 20 2015

  News

  Georgios Zouraris will be visiting the Stochastic Numerics Research Group during the period Nov. 20 - Dec. 3, 2015.
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  Prof. Raul Tempone gave an invited talk at the Workshop "Direct and inverse problems for PDEs with random coefficients” on Nov. 9 – 15, 2015. WIAS Berlin, Germany

  1 min read · Sun, Nov 15 2015

  News

  Prof. Raul Tempone gave an invited talk at the Workshop "Direct and inverse problems for PDEs with random coefficients” on Nov. 9 – 15, 2015. WIAS Berlin, Germany.
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  Prof. Raul Tempone was a lecturer at the Louis Bachelier labex thematic semester on "Monte-Carlo: uncertainty quantification, particle methods, stochastic algorithms for Big Data"

  1 min read · Fri, Nov 13 2015

  News

  Prof. Raul Tempone was a lecturer at the Louis Bachelier labex thematic semester on "Monte-Carlo: uncertainty quantification, particle methods, stochastic algorithms for Big Data", Nov. 13, 2015.
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  Prof. Raul Tempone was the opponent at Matti Leinonen's PhD dissertation defense

  1 min read · Fri, Nov 6 2015

  News

  Prof. Raul Tempone was the opponent at Matti Leinonen's Ph.D. dissertation defense. This took place at Aalto University, Finland, on Nov. 6, 2015.
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  Prof. Raul Tempone and Juho Happola gave a recruiting talk at Aalto University, Finland

  1 min read · Thu, Nov 5 2015

  News

  Prof. Raul Tempone and Juho Happola gave a recruiting talk at Aalto University, Finland, on Nov. 5, 2015.
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  Prof. Raul Tempone gave an invited talk entitled “Multi Index Monte Carlo” at Aalto University, Finland

  1 min read · Thu, Nov 5 2015

  News

  Prof. Raul Tempone gave an invited talk entitled “Multi-Index Monte Carlo” at Aalto University, Finland, on Nov. 5, 2015.​

October 2015

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  Lukasz Szpruch will be visiting the Stochastic Numerics Research Group

  1 min read · Fri, Oct 23 2015

  News

  Lukasz Szpruch will be visiting the Stochastic Numerics Research Group during the period Oct. 23rd - Nov. 2nd, 2015.
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  Seminar: Some aspects of time inconsistence in stochastic optimal control by Prof. Boualem Djehiche

  1 min read · Tue, Oct 13 2015

  News

  Seminar: Some aspects of time inconsistency in stochastic optimal control by Prof. Boualem Djehiche
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  Boualem Djehiche will be visiting the CEMSE division and the Stochastic Numerics Research Group

  1 min read · Sun, Oct 11 2015

  News

  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.

September 2015

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  Prof. Raul Tempone will give a minisymposium talk at the International Conference on Scientific Computation And Differential Equations 2015 (SciCADE 2015), September 14-18, Potsdam, Germany

  2 min read · Wed, Sep 16 2015

  News

  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.
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  Dr. Alvaro Moraes will give a minisymposium talk at the International Conference on Scientific Computation And Differential Equations 2015 (SciCADE 2015), September 14-18, Potsdam, Germany

  1 min read · Wed, Sep 16 2015

  News

  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.