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 2 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 2 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.
Prof. Raul Tempone will give a seminar talk entitled "Multi-Index Monte Carlo" at Uppsala University, Sweden 1 min read · Mon, Jun 15 2015 News Prof. Raul Tempone will give a seminar talk entitled "Multi-Index Monte Carlo" at Uppsala University.
Prof. Raul Tempone and Dr. Alvaro Moraes will teach the course "Simulation and Inference of Stochastic Reaction Networks" at the department of Mathematics and Statistics of KTH (Royal Institute of Technology) in Stockholm 1 min read · Wed, Jun 10 2015 News 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) 1 min read · Mon, Jun 1 2015 News 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, PhD Candidate Abdul Lateef Haji Ali presented his Proposal Thesis Defense entitled "Optimizing Multilevel Stochastic Samplers: Monte Carlo and Sparse Grids" 1 min read · Sun, May 24 2015 News 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".
Chaouki Ben Issaid successfully defended his MS Thesis 2 min read · Mon, May 4 2015 News Monte Carlo On April 30th, 2015, Chaouki Ben Issaid successfully defended his MS Thesis entitled "Bayesian Optimal Experimental Design Using Multilevel Monte Carlo".
Pedro Vilanova successfully defended his PhD Thesis 1 min read · Mon, May 4 2015 News On May 3rd, 2015, Pedro Vilanova successfully defended his Ph.D. Thesis entitled "Multilevel Approximations of Markovian Jump Processes with Applications in Communication Networks".
Chiheb Ben Hammouda successfully defended his MS Thesis 2 min read · Mon, May 4 2015 News 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".
AMCS - PhD Thesis Defense: Multilevel Approximations of Markovian Jump Processes with Applications in Communication Networks By Pedro Vilanova (PhD Student of Prof. Raul Tempone, KAUST) 1 min read · Sun, May 3 2015 News Multilevel Approximations of Markovian Jump Processes with Applications in Communication Networks By Pedro Vilanova (PhD Student of Prof. Raul Tempone, KAUST).
MS-Thesis Defense: Drift-Implicit Multi-Level Monte Carlo Tau-Leap Methods for Stochastic Reaction Networks By Chiheb Ben Hammouda (Master Student of Prof. Raul Tempone, KAUST) 1 min read · Thu, Apr 30 2015 News 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) 1 min read · Thu, Apr 30 2015 News MS-Thesis Defense: Bayesian Optimal Experimental Design Using Multilevel Monte Carlo By Chaouki ben Issaid (Master Student of Prof. Raul Tempone, KAUST).
Seminar: An Integrated Approach for Model-Based Systems and Software Engineering By Prof. Jacques Duysens (ANSYS Inc.) 1 min read · Wed, Apr 29 2015 News 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 1 min read · Tue, Apr 28 2015 News Jacques Duysens will be visiting the SRI Uncertainty Quantification Center during the period April 28 - 30, 2015.
Alexander Litvinenko is giving talk "Sampling and low-rank tensor approximation of the response surface" on workshop "Uncertainty Management for Robust Industrial Design in Aeronautics - UMRIDA", April 15-16, TU Delft, Netherlands 1 min read · Wed, Apr 15 2015 News uncertainty quantification UMRIDA is a Level 1 collaborative project within the European Commission's Seventh Framework Programme. It involves a consortium of 21 partners from the industrial aeronautics sector, leading research institutes and universities as well as SME's.
Marco Iglesias will be visiting the SRI Uncertainty Quantification Center during the period April 14 - 23, 2015 1 min read · Tue, Apr 14 2015 News Marco Iglesias received his Ph.D. in 2008 from the Institute for Computational Engineering and Sciences, the University of Texas at Austin. From 2008 and 2013 Iglesias held postdoctoral positions at the Department of Civil and Environmental Engineering at MIT as well as the Mathematics Institute at the University of Warwick.
Dr. Matteo Icardi has become Warwick Zeeman Lecturer at the University of Warwick 1 min read · Sun, Mar 15 2015 News Dr. Matteo Icardi joined KAUST in January 2013 and has been since then a postdoctoral fellow in the Stochastic Numerics Research Group lead by Prof. Tempone and in SRI-UQ Center. His main research effort was related to computational fluid dynamics and uncertainty quantification in multiscale heterogeneous materials.
Alexander Litvinenko is organizing a mini-symposia "Efficient Methods for Uncertainty Quantification by Means of Tensor Format Representations" on SIAM CSE conference in Salt Lake City, March 2015 1 min read · Sat, Mar 14 2015 News Alexander Litvinenko is organizing a mini-symposia "Efficient Methods for Uncertainty Quantification by Means of Tensor Format Representations" at the SIAM CSE conference in Salt Lake City, March 2015.
Prof. Tempone joined the Advisory and Impact Board of the UK EPSRC Programme Grant EQUIP (solution of statistical inverse problems) 1 min read · Wed, Feb 18 2015 News Prof. Tempone joined the Advisory and Impact Board of the EPSRC Programme Grant EQUIP. EQUIP is a 2.6M EPSRC Programme Grant which will tackle a number of key challenges arising in the solution of statistical inverse problems, guided by applications arising in subsurface geophysics.
Georgios Zouraris will be visiting the Stochastic Numerics Research Group 1 min read · Sun, Feb 15 2015 News Georgios Zouraris will be visiting the Stochastic Numerics Research Group during the period Feb. 15 - June 15, 2015.
Dr. Bilal Saad accepted researcher position at Baker Hughes Dhahran Research and Technology Center 1 min read · Sun, Feb 8 2015 News For the last two years, Bilal has been a postdoctoral fellow at KAUST with the Stochastic Numerics research group. Bilal is an applied mathematician with a strong focus on mathematical modeling, numerical simulation of partial differential equations, coupling methods for multiphysics and multiscale problems, high-performance computing, and more recently, parameter estimation. During his tenure at KAUST, his main efforts have been devoted to developing efficient computational tools for simulating fluid flow in porous media subject to uncertainty.
Alvaro Moraes successfully defended his PhD thesis 1 min read · Tue, Jan 27 2015 News On Jan 26th, 2015, Alvaro Moraes successfully defended his Ph.D. thesis entitled “Simulation and Statistical Inference of Stochastic Reaction Networks with Applications to Epidemic Models”.
AMCS - PhD Thesis Defense: Simulation and Statistical Inference of Stochastic Reaction Networks with Applications to Epidemic Models By Alvaro Moraes (PhD Student of Prof. Raul Tempone, KAUST) 1 min read · Mon, Jan 26 2015 News Simulation and Statistical Inference of Stochastic Reaction Networks with Applications to Epidemic Models By Alvaro Moraes (PhD Student of Prof. Raul Tempone, KAUST).
Boualem Djehiche will be visiting the Stochastic Numerics Research Group during the period Jan. 23 - 29, 2015 1 min read · Fri, Jan 23 2015 News Boualem Djehiche will be visiting the Stochastic Numerics Research Group during the period Jan. 23 - 29, 2015.
Seminar: Bayesian OED for core-flooding experiment application based on Laplace Approximation By Longting Mo (Visiting Master student, Nanjing University, China) 1 min read · Thu, Jan 22 2015 News Bayesian OED for core-flooding experiment application based on Laplace Approximation By Longting Mo (Visiting Master student, Nanjing University, China).
Seminar: A Bayesian level-set approach for geometric inverse problems By Prof. Marco Iglesias (University of Nottingham, U.K.) 1 min read · Sun, Jan 18 2015 News A Bayesian level-set approach for geometric inverse problems By Prof. Marco Iglesias (University of Nottingham, U.K.).
Marco Iglesias will be visiting the SRI Uncertainty Quantification Center during the period Jan. 14 - 20, 2015 1 min read · Wed, Jan 14 2015 News Marco Iglesias received his Ph.D. in 2008 from the Institute for Computational Engineering and Sciences, the University of Texas at Austin. From 2008 and 2013 Iglesias held postdoctoral positions at the Department of Civil and Environmental Engineering at MIT as well as the Mathematics Institute at the University of Warwick.
Dr. Matteo Icardi is organizing a workshop "Open-source software for computational engineering" for the WEP 2015 1 min read · Sun, Jan 11 2015 News Computer simulations are becoming a powerful predictive tool for many engineering problems where the experimental and design processes are prohibitive. Among the variety of solutions available on the market for fluid, solid, and molecular simulations (with very high license fees), a new modeling strategy based on free and open-source codes is becoming more popular, not only for academic and research purposes.
Former SIAM President Prof. Mac Hyman came to review the UQ Strategic Initiative Center 1 min read · Sat, Jan 10 2015 News Former SIAM President Prof. Mac Hyman came to review the UQ Strategic Initiative Center and spent four days at KAUST.
Marco Iglesias will be visiting the Stochastic Numerics Research Group during the period 1-11 Sep. 2015 1 min read · Fri, Jan 9 2015 News Marco Iglesias will be visiting the Stochastic Numerics Research Group during the period 1-11 Sep. 2015.
