Publications related to Multi-index Monte Carlo: when sparsity meets sampling

Stochastic Optimal Control of Epidemic Processes in Networks

We approach the development of models and control strategies of susceptible-infected-susceptible (SIS) epidemic processes from the perspective of marked temporal point processes and stochastic optimal control of stochastic differential equations (SDEs) wit ...

2018

Dynamical Low Rank approximation of PDEs with random parameters

Eleonora Musharbash

In this work, we focus on the Dynamical Low Rank (DLR) approximation of PDEs equations with random parameters. This can be interpreted as a reduced basis method, where the approximate solution is expanded in separable form over a set of few deterministic b ...

EPFL2017

Stochastic partial differential equations driven by Lévy white noises

Thomas Marie Jean-Baptiste Humeau

We study various aspects of stochastic partial differential equations driven by Lévy white noise. This driving noise, which is a generalization of Gaussian white noise, can be viewed either as a generalized random process or as an independently scattered r ...

EPFL2017

Coordinate-descent adaptation over networks

Ali H. Sayed, Bicheng Ying, Chengcheng Wang

This work examines the mean-square error performance of diffusion stochastic algorithms under a generalized coordinate-descent scheme. In this setting, the adaptation step by each agent is limited to a random subset of the coordinates of its stochastic gra ...

2017

Accelerating equilibrium isotope effect calculations. I. Stochastic thermodynamic integration with respect to mass

Jiri Vanicek, Konstantin Karandashev

Accurate path integral Monte Carlo or molecular dynamics calculations of isotope effects have until recently been expensive because of the necessity to reduce three types of errors present in such calculations: statistical errors due to sampling, path inte ...

American Institute of Physics2017

Symplectic Dynamical Low Rank approximation of wave equations with random parameters

Fabio Nobile, Eleonora Musharbash

In this paper we propose a dynamical low-rank strategy for the approximation of second order wave equations with random parameters. The governing equation is rewritten in Hamiltonian form and the approximate solution is expanded over a set of

2S

dynamica ...

2017

MATHICSE Technical Report : Symplectic dynamical low rank approximation of wave equations with random parameters

Fabio Nobile, Eleonora Musharbash, Eva Vidlicková

In this paper we propose a dynamical low-rank strategy for the approximation of second order wave equations with random parameters. The governing equation is rewritten in Hamiltonian form and the approximate solution is expanded over a set of 2S dynamical ...

MATHICSE2017

An overview of a new sensor calibration platform

Jan Skaloud, Stéphane Guerrier, Philipp Clausen

Inertial sensors are increasingly being employed in different types of applications. The reduced cost and the extremely small size makes them the number-one-choice in miniature embedded devices like phones, watches, and small unmanned aerial vehicles. The ...

2017

Multi-index stochastic collocation convergence rates for random PDEs with parametric regularity

Fabio Nobile, Lorenzo Tamellini

We analyze the recent Multi-index Stochastic Collocation (MISC) method for computing statistics of the solution of a partial differential equation (PDE) with random data, where the random coefficient is parametrized by means of a countable sequence of term ...

2016

A posteriori error estimation for partial differential equations with random input data

Diane Sylvie Guignard

This thesis is devoted to the derivation of error estimates for partial differential equations with random input data, with a focus on a posteriori error estimates which are the basis for adaptive strategies. Such procedures aim at obtaining an approximati ...

EPFL2016

Multi-index Monte Carlo: when sparsity meets sampling

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Stochastic Optimal Control of Epidemic Processes in Networks

Dynamical Low Rank approximation of PDEs with random parameters

Stochastic partial differential equations driven by Lévy white noises

Coordinate-descent adaptation over networks

Accelerating equilibrium isotope effect calculations. I. Stochastic thermodynamic integration with respect to mass

Symplectic Dynamical Low Rank approximation of wave equations with random parameters

MATHICSE Technical Report : Symplectic dynamical low rank approximation of wave equations with random parameters

An overview of a new sensor calibration platform

Multi-index stochastic collocation convergence rates for random PDEs with parametric regularity

A posteriori error estimation for partial differential equations with random input data

Coordinate-descent adaptation over networks

Stochastic Optimal Control of Epidemic Processes in Networks

Stochastic partial differential equations driven by Lévy white noises

Dynamical Low Rank approximation of PDEs with random parameters

An overview of a new sensor calibration platform

Multi-index stochastic collocation convergence rates for random PDEs with parametric regularity

Accelerating equilibrium isotope effect calculations. I. Stochastic thermodynamic integration with respect to mass

Symplectic Dynamical Low Rank approximation of wave equations with random parameters

MATHICSE Technical Report : Symplectic dynamical low rank approximation of wave equations with random parameters

A posteriori error estimation for partial differential equations with random input data