The UQ Hybrid Seminar Info uncertainty quantification The UQ Hybrid Seminar features online talks by researchers in the extended field of uncertainty quantification
KAUST Master Theses from Stochastic Numerics Research Group Publications List of completed Master Theses Ons Chaabene, "Supply Chain Modeling Under Uncertainty", MS-thesis, KAUST, October 2024. Eya Ben Amar, "Stochastic differential equations for performance analysis of wireless communication systems", MS-thesis, KAUST, October 2023. Michael Samet, "Hierarchical Adaptive Quadrature and Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options", MS-thesis, KAUST, July 2023. Saifeddine Ben Naamia, "Data driven UQ for wind and solar production using SDE models with generalized diffusion coefficient and stochastic optimization", MS-thesis, KAUST, June
KAUST PhD Theses from Stochastic Numerics Research Group Publications List of Completed PhD Theses Elsiddig Awadelkarim Elsiddig, "Some Contributions to Particle and Unbiased Simulation Methods", Ph.D. thesis, KAUST March 2025. Yang Liu, "Multilevel sampling and goal-oriented adaptive finite elements for random PDEs and advances in randomized quasi-Monte Carlo", Ph.D. thesis, KAUST November 2024. Gaukhar Shaimerdenova, "Hierarchical ensemble-based data assimilation and rare event tracking", Ph.D. thesis, KAUST May 2024. Marco Ballesio, "Multilevel Methods for Stochastic Forward and Inverse Problems", Ph.D. thesis January 2022. Chiheb Ben Hammouda, "Hierarchical
AMCS 301 Numerical methods for random partial differential equations: hierarchical approximation and machine learning approaches Teaching Random PDEs stochastic algorithms Monte carlo methods Quasi-Monte Carlo Hierarchical regression Multilevel Monte Carlo Stochastic collocation Multi-index Low-rank approximation hierarchical and sparse approximation Bayesian Inversion Bayesian optimal experimental design A course on modern numerical methods for random partial differential equations
AMCS 307 - Advanced Statistical Inference by Prof. Marco Scavino Teaching AMCS 241, 243, 245. Statistical inference in a wide range of problems at an advanced level. It covers the general theory of estimation, tests, and confidence intervals by deriving, in particular, the asymptotic properties of the maximum likelihood estimator and the likelihood ratio, Wald, and scores tests (and their generalizations), and the calculus of M- estimation.
AMCS 308 - Stochastic Numerics with Application in Simulation and Data Science by Prof. Raul Tempone Teaching Review of basic probability; Monte Carlo simulation; state-space models and time series; parameter estimation, prediction, and filtering; Markov chains and processes; stochastic control; Markov chain Monte Carlo. Examples from various engineering disciplines.
AMCS 308 Stochastic Numerics with Application in Simulation and Data Science Teaching stochastic algorithms Stochastic Methods Stochastic Modeling Stochastic Optimal Control Stochastic processes Filtering theory data assimilation Monte carlo methods Variance Reduction Importance sampling Monte Carlo methods. Simulation, estimation, data assimilation, and optimal control for time-discrete and time-continuous Markov chains
AMCS 336 - Fall 2022 - Numerical Methods for Stochastic Differential Equations by Prof. Raul Tempone Teaching Fall Semesters The goal of this course is to give basic knowledge of stochastic differential equations and their numerical solution, useful for scientific and engineering modeling, guided by some problems in applications in financial mathematics, material science, geophysical flow problems, turbulent diffusion, control theory, and Monte Carlo methods. We will discuss basic questions for numerical approximation of stochastic differential equations, for example: To determine the price of an option is it more efficient to solve the deterministic Black and Scholes partial differential equation or
AMCS 336 Numerical Methods for Stochastic Differential Equations with connections to Machine Learning Teaching stochastic differential equations Ito integral Monte Carlo Multilevel Monte Carlo Importance sampling Variance Reduction Kolmogorov Backward Equation Fokker-Planck equations Hamilton-Jabobi-Bellman Stochastic Optimal Control The goal of this course is to give basic knowledge of stochastic differential equations and their numerical solution, useful for scientific and engineering modeling, guided by some problems in applications in financial mathematics, material science, geophysical flow problems, turbulent diffusion, control theory, and Monte Carlo methods.
Course overview Teaching We offer three courses on topics in stochastic numerics on a regular schedule
Courses Teaching Fall Semesters AMCS 336 Numerical Methods for Stochastic Differential Equations by Prof. Raul Tempone Spring Semesters AMCS 308 Stochastic Numerics with Application in Simulation and Data Science by Prof. Raul Tempone Enrolled students can access courses material through KAUST's Blackboard via: https://blackboard.kaust.edu.sa
Stochastic Numerics Research Group Front Page Professor Raul F. Tempone leads the Stochastic Numerics Research Group or StochNum, for short. Research group areas of expertise and current scientific interests: numerical analysis, computational finance, computational statistics The main research focus of the group is using numerical analysis to develop and analyze efficient and robust numerical methods for problems involving stochastic models and differential equations in engineering and sciences. The research is driven by applications from areas such as computational mechanics, quantitative finance, biological and chemical modeling, and
1998 J. Oppelstrup and R.Tempone.”On approximation- interpolation of incompressible flows”, In Proceedings of the 4thWorld Congress of Computational Mechanics (WCCM), Buenos Aires, July 1998. Keywords: On approximation- interpolation of incompressible flows Read more Conference Proceedings
1999 E. Accinelli, A. Piria, R. Tempone. “Optimizacion de Carteras de las Aseguradoras de Fondos de Retiro”, Estudios Economicos, El Colegio de Mexico. 27, ene-jun 1999, Mexico. In Spanish Keywords: Optimizacion de Carteras de las Aseguradoras de Fondos de Retiro Read more Refereed Journals
2001 Szepessy, Anders; Tempone, Raúl; Zouraris, Georgios E. "Adaptive weak approximation of stochastic differential equations." Comm. Pure Appl. Math. 54 (2001), no. 10, 1169–1214. Keywords: Adaptive weak approximation of stochastic differential equations Read more | Website Refereed Journals Moon, Kyoung-Sook; Szepessy, Anders; Tempone, Raúl; Zouraris, Georgios "Hyperbolic differential equations and adaptive numerics." Theory and numerics of differential equations (Durham, 2000), 231–280, Universitext, Springer, Berlin, 2001. Keywords: Hyperbolic differential equations and adaptive numerics Read
2002 I.M. Gren, G. Destouni, and R. Tempone. “Cost effective policies for alternative distributions of stochastic water pollution”, Journal of Environmental Management, 66, 145-157, 2002. Keywords: Cost-effective policies for alternative distributions of stochastic water pollution Read more Refereed Journals
2003 Babuška, Ivo; Liu, Kang-Man; Tempone, Raúl "Solving stochastic partial differential equations based on the experimental data." Dedicated to Jim Douglas, Jr. on the occasion of his 75th birthday. Math. Models Methods Appl. Sci. 13 (2003), no. 3, 415–444. Keywords: Covariance; Karhunen Loeve expansion; stationary random function; principle component analysis Read more | Website | Download Document Refereed Journals Moon, Kyoung-Sook; Szepessy, Anders; Tempone, Raúl; Zouraris, Georgios E. "Convergence rates for adaptive approximation of ordinary differential equations." Numer. Math. 96 (2003)
2004 Babuška, Ivo; Tempone, Raúl; Zouraris, Georgios E. "Galerkin finite element approximations of stochastic elliptic partial differential equations." SIAM J. Numer. Anal. 42 (2004), no. 2, 800–825. Keywords: stochastic elliptic equation, perturbation estimates, Karhunen–Lo`eve expansion, finite elements, Monte Carlo method, k × h-version, p × h-version, expected value, error estimates Read more | Website | Download Document Refereed Journals
2005 I. Babuska, F. Nobile and R. Tempone. ”Worst-case scenario analysis for elliptic PDE’s with uncertainty”, Proceedings of the EURODYN conference, Paris, September 4-7, 2005. Keywords: Worst-case scenario analysis for elliptic PDE’s with uncertainty Read more | Website Conference Proceedings Oden, J. Tinsley; Babuška, Ivo; Nobile, Fabio; Feng, Yusheng; Tempone, Raul "Theory and methodology for estimation and control of errors due to modeling, approximation, and uncertainty." Comput. Methods Appl. Mech. Engrg. 194 (2005), no. 2-5, 195–204. Keywords: Modeling error estimation; Stochastic partial
2006 I. Babuska, F. Nobile, J.T. Oden, R. Tempone. ”Reliability, Uncertainty Estimates, Validation and Verification”, ICES Report 04-05. 2006. Keywords: Reliability, Uncertainty Estimates, Validation, and Verification Read more Manuscripts I. Babuska, J.T. Oden, K. Liechti, J.C. Browne, L. Demkowicz, Y. Feng, F. Nobile, R. Tempone, and P. Hosatte. ”Reliability of Computer Predictions in Computational Solid Mechanics: Towards the Estimation and Control of Errors Due to Modeling, Discretization, and Uncertainty”. TICAM Report 03-44. 2006. Keywords: Reliability of Computer Predictions in Computational
2007 Babuška, I.; Nobile, F.; Tempone, R "Reliability of computational science." Numer. Methods Partial Differential Equations 23 (2007), no. 4, 753–784. Keywords: model validation, uncertainty quantification, Bayesian update, failure probability Read more | Website Refereed Journals Babuška, Ivo; Nobile, Fabio; Tempone, Raúl "A stochastic collocation method for elliptic partial differential equations with random input data." SIAM J. Numer. Anal. 45 (2007), no. 3, 1005–1034. Keywords: collocation method, stochastic partial differential equations, finite elements, uncertainty quantification
2008 I. Babuska, F. Nobile and R. Tempone. ”Formulation of the Static Frame Problem”, Computer Methods in Applied Mechanics and Engineering, Vol. 197, Issues 29-32, pp. 2496-2499, (May 2008). Keywords: Model validation, Uncertainty quantification, Failure probability Read more Refereed Journals K. J. Dowding, J. Red-Horse, R. G. Hills, T. L. Paez, I. Babuska and R. Tempone.”Validation Challenge Workshop Summary”, Computer Methods in Applied Mechanics and Engineering, Vol. 197, Issues 29-32, pp. 2381-2384, (May 2008). Keywords: Validation Challenge Workshop Summary Read more Refereed Journals I
2009 Nobile, F., Tempone, Raul "Analysis and implementation issues for the numerical approximation of parabolic equations with random coefficients." Internat. J. Numer. Methods Engrg. 80 (2009), no. 6-7, 979–1006. Keywords: PDEs with random data, parabolic equations, multivariate polynomial approximation, Stochastic Galerkin methods, Stochastic Collocation methods, sparse grids, Smolyak approximation, Point Collocation, Monte Carlo sampling Read more | Website Refereed Journals
2010 M. Motamed and O. Runborg. Taylor Expansion and Discretization Errors in Gaussian Beam Superposition. Wave Motion, vol. 47, no. 7, pp. 421-439, 2010. Keywords: Wave propagation; High frequency; Asymptotic approximation; Gaussian beam superposition; Accuracy; Error estimates Read more Refereed Journals E. von Schwerin and A. Szepessy. A Stochastic Phase-Field Model Determined from Molecular Dynamics. ESAIM: M2AN, Volume 44, Issue 4, pp. 627-646, 2010. Keywords: Phase-field; molecular dynamics; coarse-graining; Smoluchowski dynamics; stochastic differential equation Read more Refereed Journals
2011 C. Bayer, H. Hoel, P. Plechac, A. Szepessy, R. Tempone. ”How accurate is molecular dynamics?”, arXiv:1104.0953, 2011 Keywords: How accurate is molecular dynamics? Read more | Website Manuscripts M. Motamed and C. B. Macdonald and S. J. Ruuth. On the Linear Stability of the Fifth-Order WENO Discretization. Journal of Scientific Computing, vol. 47, no. 2, pp. 127-149, 2011. Keywords: Linear stability analysis, Method of lines, WENO, Multistep methods, Runge–Kutta methods, Hyperbolic conservation laws Read more | Website Refereed Journals J. Back, F. Nobile, L. Tamellini, and R. Tempone
2012 Nadhir Ben Rached, "Adaptive Monte Carlo Euler Method For Options With Low Regularity Payoffs", Graduation Project Report, Tunisia Polytechnic School, Hosting Institution: KAUST, June 2012 Keywords: Adaptive Monte Carlo, Euler, low regularity, smoothing, low pass filter, Richardson extrapolation, single level, multilevel. Read more | Download Document Thesis A. Haji-Ali, “Pedestrian Flow in the Mean-field Limit”, Master Thesis, KAUST, November 2012. Keywords: Crowd modeling, Mean-Field, Helbing, Pedestrian, Particle MLMC Read more | Download Document Thesis H. Tembine, P. Vilanova, and M
2013 Nowak, W., Litvinenko, A. Kriging and Spatial Design Accelerated by Orders of Magnitude: Combining Low-Rank Covariance Approximations with FFT-Techniques, Mathematical Geosciences, Vol. 45, Num. 4, pp 411--435, Springer 2013. Keywords: Low-rank tensor approximation, Spectral methods, Efficient geostatistical estimation, Geostatistical optimal design. Read more | Website Refereed Journals Chang Wang, K. J. H. Law, Panayotis. G. Kevrekidis, and Mason A. Porter, Dark Solitary Waves in a Class of Collisionally Inhomogeneous Bose-Einstein Condensates. Physical Review A 87 023621 (2013). Keywords
2014 Nadhir Ben Rached, Fatma Benkhelifa, Abla Kammoun, Mohamed-Slim Alouini, Raul Tempone, A Fast Simulation Method for the Sum of Subexponential Distributions, submitted to arXiv:1406.4689v4, Jun. 2014. Keywords: A Fast Simulation Method for the Sum of Subexponential Distributions. Read more | Website Manuscripts Kody J.H. Law, Hamidou Tembine, Raul Tempone, Deterministic Methods for Nonlinear Filtering, part I: Mean-field Ensemble Kalman Filtering, submitted to arXiv:1409.0628v2, Nov. 2014. Keywords: Deterministic Methods for Nonlinear Filtering, part I: Mean-field Ensemble Kalman Filtering
2015 A. Iania, Basket option pricing for processes with jumps using sparse grids and Fourier transforms, Master Thesis, Politecnico di Torino - KAUST, 2015. Keywords: Basket option pricing for processes with jumps using sparse grids and Fourier transforms. Read more | Download Document Thesis N. Ben Rached, A. Kammoun, M. Alouini, R. Tempone, Unified Importance Sampling Schemes for Efficient Simulation of Outage Capacity over Generalized Fading Channels, Accepted for publication in IEEE Journal of Selected Topics in Signal Processing, 2015. Keywords: Outage capacity, naive Monte Carlo, hazard rate
2016 E. Kalligiannaki, A. Chazirakis, A. Tsourtis, M.A. Katsoulakis, P. Plechac, and V. Harmandaris, Parametrizing coarse-grained models for molecular systems at equilibrium, EPJ ST, 225(8), 1347-1372, 2016, DOI: 10.1140/epjst/e2016-60145-x. Keywords: Parametrizing coarse-grained models for molecular systems at equilibrium Read more | Website Refereed Journals Soeren Wolfers, Fabio Nobile, Raul Tempone, Sparse approximation of multilinear problems with applications to kernel-based methods in UQ. Submitted arXiv 1609.00246, Sept 2016 Keywords: Sparse approximation of multilinear problems with
2017 Haji-Ali, Abdul-Lateef, and Raúl Tempone. " Multilevel and Multi-index Monte Carlo methods for the McKean–Vlasov equation." Statistics and Computing 28, no. 4 (2018): 923-935. Keywords: Multi-index Monte Carlo, Multilevel Monte Carlo, Monte Carlo Particle systems, McKean–Vlasov Mean-field, Stochastic differential equations, Weak approximation, Sparse approximation, Combination technique. Read more | Website | Download Document Refereed Journals Hoel, Hakon, Alexey Chernov, Kody Law, Fabio Nobile, and Raul Tempone. " Multilevel ensemble Kalman filtering for spatio-temporal processes." (2018)
2018 Articles Rached, N. B., Botev, Z., Kammoun, A., Alouini, M.-S., & Tempone, R. (2018). On the Sum of Order Statistics and Applications to Wireless Communication Systems Performances. IEEE Transactions on Wireless Communications, 17(11), 7801–7813. doi:10.1109/twc.2018.2871201 Keywords: Order statistics, outage probability, Generalized selection combining, Monte Carlo, Variance reduction techniques, Importance sampling, Conditional MC. Read more | Website | Download Document Bayer, C., Häppölä, J., & Tempone, R. (2018). Implied stopping rules for American basket options from Markovian projection
2019 Articles Litvinenko, A., Logashenko, D., Tempone, R., Wittum, G., & Keyes, D. (2019). Efficient Simulations for Contamination of Groundwater Aquifers under Uncertainties. PAMM, 19(1). doi:10.1002/pamm.201900023 Read more | Website | Download Document Ballesio, M., Beck, J., Pandey, A., Parisi, L., von Schwerin, E., & Tempone, R. (2019). Multilevel Monte Carlo acceleration of seismic wave propagation under uncertainty. GEM - International Journal on Geomathematics, 10(1). doi:10.1007/s13137-019-0135-5 Keywords: Multilevel Monte Carlo, Propagation of Uncertainty, Seismic Wave Propagation
2020 Articles Chernov, A., Hoel, H., Law, K. J. H., Nobile, F., & Tempone, R. (2020). Multilevel ensemble Kalman filtering for spatio-temporal processes. Numerische Mathematik. doi:10.1007/s00211-020-01159-3 Read more | Website | Download Document Piazzola, C., Tamellini, L., & Tempone, R. (2020). A note on tools for prediction under uncertainty and identifiability of SIR-like dynamical systems for epidemiology. Mathematical Biosciences, 108514. doi:10.1016/j.mbs.2020.108514 Keywords: Dynamical Systems, Mathematical Epidemiology, Uncertainty Quantification, Model Identifiability, Bayesian Inversion
2021 Articles Kabanov, D. I., Espath, L., Kiessling, J., & Tempone, R. F. (2021). Estimating divergence-free flows via neural networks. PAMM, 21(1). doi:10.1002/pamm.202100173 Read more | Website | Download Document Kiessling, J., Ström, E., & Tempone, R. (2021). Wind field reconstruction with adaptive random Fourier features. Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences, 477(2255). doi:10.1098/rspa.2021.0236 Keywords: Random Fourier features, Metropolis algorithm, spatial interpolation, machine learning, wind field reconstruction, flow field estimation Read
A Derivative Tracking Model for Wind Power Forecast Error Bibliography: Renzo Caballero, Ahmed Kebaier, Marco Scavino, and Raúl Tempone, "A Derivative Tracking Model for Wind Power Forecast Error", arXiv, 2006.15907, 2020 Authors: Renzo Caballero, Ahmed Kebaier, Marco Scavino, Raúl Tempone Keywords: Wind power, probabilistic forecasting, stochastic differential equations, Lamperti transform, numerical optimization, model selection, time-inhomogeneous Jacobi diffusion Year: 2020 Abstract: Reliable wind power generation forecasting is crucial for applications such as the allocation of energy reserves, optimization for electricity price, and
A simple approach to proving the existence, uniqueness, and strong and weak convergence rates for a broad class of McKean--Vlasov equations Bibliography: A.-L Haji-Ali, H. Hoel, and R. Tempone. "A simple approach to proving the existence, uniqueness, and strong and weak convergence rates for a broad class of McKean--Vlasov equations", arXiv preprint arXiv:2101.00886, 2021 Authors: A.-L Haji-Ali, H. Hoel, And R. Tempone Keywords: Interacting stochastic particle systems, Stochastic mean-field limit, Weak and strong convergence rates. Year: 2021 Website | Download Document
A Universal Splitting Estimator for the Performance Evaluation of Wireless Communications Systems Bibliography: Ben Rached, Nadhir, Daniel MacKinlay, Zdravko Botev, Raúl Tempone, and Mohamed-Slim Alouini, "A Universal Splitting Estimator for the Performance Evaluation of Wireless Communications Systems", IEEE Transactions on Wireless Communications, 2020 Authors: Nadhir Ben Rached, Daniel MacKinlay, Zdravko Botev, Raul Tempone, Mohamed-Slim Alouini Keywords: Rare event, performance evaluation, multilevel splitting algorithm, variance reduction Year: 2020 Abstract: We propose a unified rare-event estimator for the performance evaluation of wireless communication systems. The estimator is
A Wasserstein Coupled Particle Filter for Multilevel Estimation Bibliography: Ballesio, Marco, Ajay Jasra, Erik von Schwerin, and Raúl Tempone; "A Wasserstein Coupled Particle Filter for Multilevel Estimation", arXiv, 2004.03981, 2020. Authors: Marco Ballesio, Ajay Jasra, Erik Von Schwerin, Raúl Tempone Keywords: Filtering, Diffusions, Multilevel Monte Carlo, Particle Filters Year: 2020 Abstract: In this paper, we consider the filtering problem for partially observed diffusions, which are regularly observed at discrete times. We are concerned with the case when one must resort to time-discretization of the diffusion process if the transition density is not
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An Accurate Sample Rejection Estimator for the Estimation of Outage Probability With Equal Gain Combining Bibliography: Ben Rached, Nadhir, Abla Kammoun, Mohamed-Slim Alouini, and Raúl Tempone, "An Accurate Sample Rejection Estimator of the Outage Probability With Equal Gain Combining", IEEE Open Journal of the Communications Society, Volume 1 (2020), Pages 1022-1034. Authors: Nadhir Ben Rached, Abla Kammoun, Mohamed-Slim Alouini, Raúl Tempone Keywords: Outage probability, equal gain combining, importance sampling, sample rejection, generalised selection combining, bounded relative error. Year: 2020 Abstract: We evaluate the outage probability (OP) for L-branch equal gain combining (EGC)
Efficient Importance Sampling for the Left Tail of Positive Gaussian Quadratic Forms Bibliography: C. Ben Issaid, M.-S. Alouini, and R. Tempone, "Efficient Importance Sampling for the Left Tail of Positive Gaussian Quadratic Forms", to appear in IEEE Wireless Communications Letters, 2020. Authors: Chaouki Ben Issaid And Mohamed-Slim Alouini And Raul Tempone Keywords: Importance sampling, left tail, positive quadratic forms, Gaussian random vectors, bounded relative error. Year: 2020 Website | Download Document
Graduation Project Reports from Stochastic Numerics Research Group List of completed Graduation Project Reports Nadhir Ben Rached, "Adaptive Monte Carlo Euler Method For Options With Low Regularity Payoffs", Graduation Project Report, Tunisia Polytechnic School, Hosting Institution: KAUST, June 2012. Chaouki Ben Said, "Uncertainty quantification in European type contingent claims", Graduation Project Report, Tunisia Polytechnic School, Hosting Institution: KAUST, June 2013. Chiheb Ben Hammouda, "Numerical Methods For Uncertainty Quantification In Option Pricing", Graduation Project Report, Tunisia Polytechnic School, Hosting Institution: KAUST, June 2013
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model Bibliography: Bayer, Christian, Chiheb Ben Hammouda, and Raul Tempone. "Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model." Quantitative Finance (2020), DOI: 10.1080/14697688.2020.1744700. Authors: Christian Bayer, Chiheb Ben Hammouda, And Raul Tempone Keywords: Rough volatility, Monte Carlo, Adaptive sparse grids, Quasi-Monte Carlo, Brownian bridge construction, Richardson extrapolation. Year: 2020 Abstract: The rough Bergomi (rBergomi) model, introduced recently in (Bayer, Friz, Gatheral, 2016), is a promising rough volatility
Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks Bibliography: Chiheb Ben Hammouda, Nadhir Ben Rached, and Raul Tempone. "Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks." Statistics and Computing (2020): 1-25. Authors: Chiheb Ben Hammouda, Nadhir Ben Rached, Raul Tempone Keywords: Multilevel Monte Carlo. Continuous-time Markov chains. Stochastic reaction networks. Stochastic biological systems. Importance sampling Year: 2020 Abstract: The multilevel Monte Carlo (MLMC) method for continuous-time Markov chains, first introduced by Anderson and Higham (SIAM Multiscal Model
KAUST - AMCS 309 - 2015 - Computational Multivariate Statistics by Prof. Marco Scavino An introduction to multivariate statistical models: the theoretical framework, computational algorithms, and their applications to real data. Classical multivariate techniques also viewed as special cases of the multivariate reduced rank regression model, and their recent generalizations to analyze high-dimension low sample size data.
Master Thesis from Stochastic Numerics Research Group List of completed Master Thesis Eliza Rezvanova, “Optimal policies for battery operation and design via stochastic optimal control of jump diffusions”, MS-Thesis, KAUST, April 2021. Renzo Caballero, “Stochastic Optimal Control of Renewable Energy”, MS-Thesis, KAUST, June 2019. Soumaya Elkantassi, "Probabilistic Forecast of Wind Power Generation by Stochastic Differential Equation Models", MS-Thesis, KAUST, April 2017. Marco Ballesio, "Indirect Inference for Scalar Time-homogeneous Stochastic Differential Equations Based on Moment Expansions", Master Thesis, Politecnico of Torino and Real
Multilevel double loop Monte Carlo and stochastic collocation methods with importance sampling for Bayesian optimal experimental design Bibliography: Beck, Joakim, Ben Mansour Dia, Luis Espath, Raúl Tempone. "Multilevel double loop Monte Carlo and stochastic collocation methods with importance sampling for Bayesian optimal experimental design". Int J Numer Methods Eng. (2020); 121: 3482– 3503 Authors: Joakim Beck, Ben Mansour Dia, Luis Espath, Raúl Tempone Keywords: Electrical impedance tomography, Expected information gain, Importance sampling, Multilevel, Stochastic collocation Year: 2020 Abstract: An optimal experimental set‐up maximizes the value of data for statistical inferences. The efficiency of strategies for
