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Bibliography: Chernov, Alexey, Haakon Hoel, Kody Law, Fabio Nobile, and Raúl Tempone, "Multilevel Ensemble Kalman filtering for spatially extended models", arXiv preprint 1608.08558. To appear in Numerische Mathematik, 2020. Authors : Alexey Chernov, Haakon Hoel, Kody Law, Fabio Nobile, Raúl Tempone Keywords: Monte Carlo, multilevel, filtering, Kalman filter, ensemble Kalman filter Year: 2020 Abstract: This work embeds a multilevel Monte Carlo (MLMC) sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF), thereby yielding a multilevel ensemble Kalman filter (MLEnKF)
Bibliography: Haji-Ali, Abdul-Lateef, Fabio Nobile, Raúl Tempone, and Sören Wolfers, "Multilevel weighted least-squares polynomial approximation", ESAIM: M2AN, Volume 54, no. 2, (2020): 649–677 Authors: Abdul-Lateef Haji-Ali, Fabio Nobile, Raúl Tempone, Sören Wolfers Keywords: Multilevel methods, least-squares approximation, multivariate approximation, polynomial approximation, convergence rates, error analysis Year: 2020 Abstract: Weighted least-squares polynomial approximation uses random samples to determine projections of functions onto spaces of polynomials. It has been shown that, using
Bibliography: Carlon, André Gustavo, Ben Mansour Dia, Luis Espath, Rafael Holdorf Lopez, Raúl Tempone, "Nesterov-aided stochastic gradient methods using Laplace approximation for Bayesian design optimization", Computer Methods in Applied Mechanics and Engineering, Volume 363, (2020). Authors: André Gustavo Carlon, Ben Mansour Dia, Luis Espath, Rafael Holdorf Lopez, Raúl Tempone Keywords: Optimal experimental design, Bayesian inference, Laplace approximation, Stochastic optimization, Accelerated gradient descent, Importance sampling Year: 2020 Abstract: Finding the best setup for experiments
List of Completed PhD Thesis Chiheb Ben Hammouda, "Hierarchical Approximation Methods for Option Pricing and Stochastic Reaction Networks", Ph.D. thesis, KAUST July 2020. Sören Wolfers, "Efficient Numerical Methods for High-Dimensional Approximation Problems", Ph.D. thesis, KAUST February 2019. Nadhir Ben Rached, "Rare Events Simulations with Applications to the Performance Evaluation of Wireless Communication Systems", Ph.D. thesis, KAUST October 2018. Zaid Sawlan, "Statistical analysis and Bayesian methods for fatigue life prediction and inverse problems in linear time dependent PDEs with
Bibliography: Bayer, Christian, Raúl Tempone, and Sören Wolfers, "Pricing American Options by Exercise Rate Optimization", Quantitative Finance, (2020). Authors: Christian Bayer, Raúl Tempone, Sören Wolfers Keywords: Computational finance, American option pricing, stochastic optimization problem, Monte Carlo, multivariate approximation, rough volatility Year: 2020 Abstract: A new method for the numerical pricing of American options We present a novel method for the numerical pricing of American options based on Monte Carlo simulation and the optimization of exercise strategies. Previous
Bibliography: Litvinenko, Alexander, Dimitry Logashenko, Raúl Tempone, Gabriel Wittum, and David Keyes. . "Solution of the 3D density-driven groundwater flow problem with uncertain porosity and permeability". Int J Geomath 11, 10 (2020) Authors: Alexander Litvinenko, Dimitry Logashenko, Raúl Tempone, Gabriel Wittum, David Keyes Keywords: Uncertainty quantification·ug4·Multigrid·Density-driven flow· Reservoir·Groundwater·Salt formations Year: 2020 Abstract: The pollution of groundwater, essential for supporting populations and agriculture, can have catastrophic consequences. Thus, accurate
