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.
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).
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.
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.
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.
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.
Arias and Art Songs for Guests of SRI-UQ 1 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
SRI UQ Annual Workshop 2016 1 min read · Tue, Jan 5 2016 News Advances in Uncertainty Quantification Methods, Algorithms, and Applications (UQAW 2016).
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.
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).
The role of applied mathematics in finance 1 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
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.
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.
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.
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.
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.
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.
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.
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.
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.
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
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.
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 1 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.
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.
Quan has accepted a staff engineer/scientist position at the United Technologies Systems and Controls Engineering, USA 1 min read · Tue, Sep 15 2015 News 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 minisymposium entitled "Advanced multilevel Monte Carlo methods" at the SciCADE 2015 conference in Potsdam, Germany on September 14-18, 2015 1 min read · Mon, Sep 14 2015 News 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.
PhD student Abdul Lateef Haji Ali will give a minisymposium talk at the International Conference on Scientific Computation And Differential Equations 2015 (SciCADE 2015), University of Potsdam, Germany 1 min read · Mon, Sep 14 2015 News 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.
Seminar: Chebyshev nodes in multiple dimensions by PhD candidate Sören Wolfers 1 min read · Thu, Sep 10 2015 News 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.
Seminar: A regularising ensemble Kalman method for PDE-constrained inverse problems By Prof. Marco Iglesias (University of Nottingham, U.K.) 1 min read · Tue, Sep 8 2015 News 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 1 min read · Wed, Sep 2 2015 News 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", Aug. 18, 2015 1 min read · Tue, Aug 18 2015 News 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 on the Congress on Industrial and Applied Mathematics (ICIAM 2015), Aug. 10-14, 2015 in Beijing, China 1 min read · Mon, Aug 17 2015 News 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.
PhD Student Abdul Lateef Haji Ali to Present 'Monte Carlo Methods' Talk at University of Basel 1 min read · Sat, Aug 15 2015 News Monte carlo methods I discuss using single level and multilevel Monte Carlo methods to compute quantities of interests of a stochastic particle system in the mean-field. In this context, the stochastic particles follow a coupled system of Ito stochastic differential equations (SDEs).
During the period August 15 until August 31 Prof. Tempone and part of his KAUST research group will be visiting Prof. Nobile’s research group at EPFL, Lausanne, Switzerland 1 min read · Sat, Aug 15 2015 News During the period August 15 until August 31 Prof. Tempone and part of his KAUST research group will be visiting Prof. Nobile’s research group at EPFL.
Dr. Long, Prof. Tempone and colleagues from MIT will organize a mini symposia at the Congress on Industrial and Applied Mathematics (ICIAM 2015) in Beijing, China 1 min read · Thu, Aug 13 2015 News The challenge of optimal information gathering-for the purpose of inference, prediction, design, or control-pervades fields ranging from geophysics to chemical engineering and beyond. These questions can be formalized through the framework of optimal experimental design. Yet extending classical design methodologies to tackle problems of greater scale and dynamic complexity, and to find optimal sequential designs, requires new algorithms and formulations.
PhD student Abdul Lateef Haji Ali will give invited talks at the Congress on Industrial and Applied Mathematics (ICIAM 2015) in Beijing, China 1 min read · Mon, Aug 10 2015 News We perform a general optimization of the parameters in the Multilevel Monte Carlo (MLMC) discretization hierarchy based on uniform discretization methods with general approximation orders and computational costs. We optimize hierarchies with geometric and non-geometric sequences of mesh sizes and show that geometric hierarchies are nearly optimal and have the same asymptotic computational complexity as non-geometric optimal hierarchies.
Dr. A. Litvinenko together with colleagues from France and Germany is organizing a minisymposia at Congress on Industrial and Applied Mathematics (ICIAM2015), Aug. 10-14, 2015 in Beijing, China 1 min read · Mon, Aug 10 2015 News Stochastic PDEs Approximations of stochastic and multi-parametric differential equations may lead to extremely high dimensional problems that suffer from the so called curse of dimensionality. Computational tractability may be recovered by relying on adaptive low-rank/sparse approximation.
Dr. Kody Law moving to Oak Ridge National Laboratory in Tennessee, USA 1 min read · Sat, Aug 1 2015 News Dr. Kody Law has been a research scientist at the SRI UQ Center since June 2013. During this time his focus has been on inverse uncertainty quantification, including sequential data assimilation as well as static sampling algorithms. Most notably, recent work involves lifting multilevel Monte Carlo algorithms to the Bayesian computation context.
Dr. Alvaro Moraes will give two invited talks at Centro de Matemática (CMAT), Montevideo - Uruguay 1 min read · Fri, Jul 31 2015 News In this talk, we present a novel multilevel Monte Carlo method for kinetic simulation of stochastic reaction networks characterized by fast and slow reaction channels. To produce efficient simulations, we automatically classify the reaction channels into fast and slow classes. To this end, we first introduce the concept of the level of activity of a reaction channel, which depends on the current state of the system.
Dr. A.Litvinenko is invited to visit the research group of Prof. Dr. Peter Benner at the Max Planck Institute for Dynamics of Complex Technical Systems, Magdeburg, Germany. 1 min read · Mon, Jul 27 2015 News Dr. A.Litvinenko is invited to visit the research group of Prof. Dr. Peter Benner "Computational Methods in Systems and Control Theory" at the Max Planck Institute for Dynamics of Complex Technical Systems, Magdeburg, Germany.
Alexander Litvinenko was invited to Goethe Center for Scientific Computing, Goethe University Frankfurt, Germany, to give a lecture course "Introduction to tensors: different formats, arithmetics, ranks, few examples" 1 min read · Thu, Jul 23 2015 News Alexander Litvinenko was invited to Goethe Center for Scientific Computing, Goethe University Frankfurt, Germany, to give a lecture course "Introduction to tensors: different formats, arithmetics, ranks, few examples".
Our research on optimal experimental design is highlighted on KAUST discovery 1 min read · Sun, Jul 12 2015 News A fast computational method optimizes sensor measurement networks for noisy, sparsely observed environments.
Dr. Alvaro Moraes will give a contributed talk at the 10th IMACS Seminar on Monte Carlo Methods (MCM 2015), July 6-10, 2015, Linz, Austria 1 min read · Wed, Jul 8 2015 News n 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.
PhD student Abdul Lateef Haji Ali will give a contributed talk at the 10th IMACS Seminar on Monte Carlo Methods (MCM 2015), July 6-10, 2015, Linz, Austria 1 min read · Wed, Jul 8 2015 News We perform a general optimization of the parameters in the Multilevel Monte Carlo (MLMC) discretization hierarchy based on uniform discretization methods with general approximation orders and computational costs.
Dr. Pedro Vilanova will give a contributed talk at the 10th IMACS Seminar on Monte Carlo Methods (MCM 2015), July 6-10, 2015, Linz, Austria 1 min read · Mon, Jul 6 2015 News In this work, we present a novel multilevel Monte Carlo method for kinetic simulation of stochastic reaction networks characterized by fast and slow reaction channels. To produce efficient simulations, we automatically classify the reaction channels into fast and slow classes. To this end, we first introduce the concept of the level of activity of a reaction channel, which depends on the current state of the system.
Dr. Pedro Vilanova will present a poster at Workshop on Mathematical Trends in Reaction Network Theory, July 1-3, 2015, Copenhagen, Denmark 1 min read · Wed, Jul 1 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. We apply this stochastic representation in the computation of efficient approximations of expected values of functionals of SNR bridges, i.e., SRNs conditioned to its values in the extremes of given time-intervals.
Dr. Alvaro Moraes will present a poster at Workshop on Mathematical Trends in Reaction Network Theory, July 1-3, 2015, Copenhagen, Denmark 1 min read · Wed, Jul 1 2015 News In this work, we present a novel multilevel Monte Carlo method for kinetic simulation of stochastic reaction networks characterized by fast and slow reaction channels. To produce efficient simulations, we automatically classify the reaction channels into fast and slow classes. To this end, we first introduce the concept of the level of activity of a reaction channel, which depends on the current state of the system.
PhD student Abdul Lateef Haji Ali will give an invited talk at University of Pavia 1 min read · Tue, Jun 30 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.
Prof. Tempone and part of his KAUST research group will be visiting ICES, Austin, Texas, US 1 min read · Thu, Jun 25 2015 News During the period June 25 until August 4 Prof. Tempone and part of his KAUST research group will be visiting ICES, Austin, Texas, US.
Prof. Raul Tempone will give an invited talk entitled "Multi-Index Monte Carlo" at Institut Mittag-Leffler, Sweden 1 min read · Thu, Jun 18 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.
