MATHICSE Technical Report : A continuation multilevel Monte Carlo algorithm
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In this thesis we investigate different ways of approximating the solution of the chemical master equation (CME). The CME is a system of differential equations that models the stochastic transient behaviour of biochemical reaction networks. It does so by d ...
In this paper, we derive elementary M- and optimally robust asymptotic linear (AL)-estimates for the parameters of an Ornstein-Uhlenbeck process. Simulation and estimation of the process are already well-studied, see Iacus (Simulation and inference for sto ...
The convergence and efficiency of the reduced basis method used for the approximation of the solutions to a class of problems written as a parametrized PDE depends heavily on the choice of the elements that constitute the "reduced basis". The purpose of th ...
We propose in this talk to address the issue and effect of linearization in the quality of the error estimates in quantities of interest for strongly nonlinear problems. It is well known that the error representation in this case can be decomposed into two ...
International Center for Numerical Methods in Engineering (CIMNE)2013
We propose an improvement to the reduced basis method for parametric partial differential equations. An assumption of affine parameterization leads to an efficient offline-online decomposition when the problem is solved for many different parametric config ...
We present a class of models that, via a simple construction, enables exact, incremental, non-parametric, polynomial-time, Bayesian inference of conditional measures. The approach relies upon creating a sequence of covers on the conditioning variable and m ...
We present an "a posteriori" error analysis in quantities of interest for elliptic homogenization problems discretized by the finite element heterogeneous multiscale method. The multiscale method is based on a macro-to-micro formulation, where the macrosco ...
This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor models. We propose a novel drift parametrization which assures that the components of the state process can be matched with any pre-specified ...
Stochastic modeling is a challenging task for low-cost sensors whose errors can have complex spectral structures. This makes the tuning process of the INS/GNSS Kalman filter often sensitive and difficult. For example, first-order Gauss–Markov processes are ...
One of the challenging tasks related to the realtime control of Active Distribution Networks (ADNs) is represented by the development of fast (i.e. sub-second) state estimation (SE) processes. As known, the problem of SE of power networks links the measure ...
IEEE Power Engineering Society and Technische Universität Berlin, Germany2012