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08/22/2023
Dynamically Orthogonal Approximation for Stochastic Differential Equations
In this paper, we set the mathematical foundations of the Dynamical Low ...
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03/08/2023
Unbiased likelihood-based estimation of Wright-Fisher diffusion processes
In this paper we propose an unbiased Monte Carlo maximum likelihood esti...
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02/27/2023
A multigrid method for PDE-constrained optimization with uncertain inputs
We present a multigrid algorithm to solve efficiently the large saddle-p...
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11/01/2022
A combination technique for optimal control problems constrained by random PDEs
We present a combination technique based on mixed differences of both sp...
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10/07/2022
Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method
In this work, we tackle the problem of minimising the Conditional-Value-...
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07/29/2022
Quantifying uncertain system outputs via the multi-level Monte Carlo method – distribution and robustness measures
In this work, we consider the problem of estimating the probability dist...
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10/14/2021
Preconditioners for robust optimal control problems under uncertainty
The discretization of robust quadratic optimal control problems under un...
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08/28/2021
Density estimation in RKHS with application to Korobov spaces in high dimensions
A kernel method for estimating a probability density function (pdf) from...
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06/21/2021
Uncertainty Quantification by MLMC and Local Time-stepping For Wave Propagation
Because of their robustness, efficiency and non-intrusiveness, Monte Car...
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05/05/2021
Analysis of a class of Multi-Level Markov Chain Monte Carlo algorithms based on Independent Metropolis-Hastings
In this work, we present, analyze, and implement a class of Multi-Level ...
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01/31/2021
Integration of activation maps of epicardial veins in computational cardiac electrophysiology
In this work we address the issue of validating the monodomain equation ...
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08/25/2020
Non-intrusive double-greedy parametric model reduction by interpolation of frequency-domain rational surrogates
We propose a model order reduction approach for non-intrusive surrogate ...
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07/13/2020
Fast approximation by periodic kernel-based lattice-point interpolation with application in uncertainty quantification
This paper deals with the kernel-based approximation of a multivariate p...
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06/09/2020
Stability properties of a projector-splitting scheme for the dynamical low rank approximation of random parabolic equations
We consider the Dynamical Low Rank (DLR) approximation of random parabol...
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05/14/2020
Regularity and sparse approximation of the recursive first moment equations for the lognormal Darcy problem
We study the Darcy boundary value problem with log-normal permeability f...
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03/06/2020
Generalized Parallel Tempering on Bayesian Inverse Problems
In the current work we present two generalizations of the Parallel Tempe...
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02/06/2020
Existence of dynamical low rank approximations for random semi-linear evolutionary equations on the maximal interval
An existence result is presented for the dynamical low rank (DLR) approx...
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12/23/2019
Sparse Polynomial Chaos expansions using Variational Relevance Vector Machines
The challenges for non-intrusive methods for Polynomial Chaos modeling l...
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08/03/2019