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Multi-index Monte Carlo: when sparsity meets sampling

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Efficient Solution of Ordinary Differential Equations with High-Dimensional Parametrized Uncertainty

Jan Sickmann Hesthaven, Zhen Gao

The important task of evaluating the impact of random parameters on the output of stochastic ordinary differential equations (SODE) can be computationally very demanding, in particular for problems with a high-dimensional parameter space. In this work we c ...

GLOBAL SCIENCE PRESS2011

Localization of Diffusive Sources Using Spatiotemporal Measurements

Martin Vetterli, Yue Lu, Pier Luigi Dragotti

Consider a diffusion field induced by a finite number of localized and instantaneous sources. In this paper, we study the problem of estimating these sources (including their intensities, spatial locations, and activation time) from the spatiotemporal samp ...

2011

Stochastic integrals for spde's: A comparison

Robert Dalang

We present the Walsh theory of stochastic integrals with respect to martingale measures, and various extensions of this theory, alongside of the Da Prato and Zabczyk theory of stochastic integrals with respect to Hilbert-space-valued Wiener processes, and ...

Elsevier2011

On the Age of Pseudonyms in Mobile Ad Hoc Networks

Jean-Yves Le Boudec, Jean-Pierre Hubaux, Julien Freudiger

In many envisioned mobile ad hoc networks, nodes are expected to periodically beacon to advertise their presence. In this way, they can receive messages addressed to them or participate in routing operations. Yet, these beacons leak information about the n ...

2010

Identification of genetic network dynamics with unate structure

Giancarlo Ferrari Trecate

Modern experimental techniques for the quantitative, time-course measurement of protein concentrations and gene activation levels enable the identification of dynamical models of genetic regulatory networks. In general, identification involves fitting appr ...

2010

Colored-Noise Thermostats à la Carte

Michele Ceriotti, Michele Parrinello

Recently, we have shown how a colored-noise Langevin equation can be used in the context of molecular dynamics as a tool to obtain dynamical trajectories whose properties are tailored to display desired sampling features. In the present paper, after having ...

2010

Stochastic modelling of prey depletion processes

Anthony Christopher Davison

The modelling of prey-predator interactions is of major importance for the understanding of population dynamics. Classically, these interactions are modelled using ordinary differential equations, but this has the drawbacks of assuming continuous populatio ...

2009

The age of gossip: Spatial mean-field regime

Jean-Yves Le Boudec, Nikodin Ristanovic

Disseminating a piece of information, or updates for a piece of information, has been shown to benefit greatly from simple randomized procedures, sometimes referred to as gossiping, or epidemic algorithms. Similarly, in a network where mobile nodes occasio ...

2009

Mean Field Asymptotic of Markov Decision Evolutionary Games and Teams

Jean-Yves Le Boudec

We introduce Markov Decision Evolutionary Games with N players, in which each individual in a large population interacts with other randomly selected players. The states and actions of each player in an interaction together determine the instantaneous payo ...

2009

Fast Adaptive Uniformization for the Chemical Master Equation

Maria-Emanuela-Canini Mateescu, Verena Wolf

Within systems biology there is an increasing interest in the stochastic behavior of biochemical reaction networks. An appropriate stochastic description is provided by the chemical master equation, which represents a continuous-time Markov chain (CTMC). S ...

Ieee Computer Soc Press, Customer Service Center, Po Box 3014, 10662 Los Vaqueros Circle, Los Alamitos, Ca 90720-1264 Usa2009