MS-Mo-D-29
Multilevel Monte Carlo methods and applications - Part I of III
For Part II, see MS-Mo-E-29
For Part III, see MS-Tu-D-29

Date: August 10
Time: 13:30--15:30
Room: 305

(Note: Click title to show the abstract.)

Organizer:
TEMPONE, RAUL (KING ABDULLAH Univ. OF Sci. & Tech.)
Giles, Michael (Univ. of Oxford)
Nobile, Fabio (MATHICSE - EPFL)

Abstract: Monte Carlo methods are general, flexible sampling methods for the computation of expected values of observables arising in stochastic systems. Monte Carlo methods are very attractive since they are simple to implement and their rate of convergence is very robust. Still, in the context of random evolution of large systems arising from the discretization of differential equations subject to randomness, their cost can be too large for practical purposes.
The recently created Multilevel Monte Carlo method extended, to multiple levels, the idea of using a coarse numerical approximation as a method for control variate to a finer one, reducing the variance and the required number of samples on the finer grid.
Multilevel Monte Carlo changed the computational landscape of stochastic problems described in terms of differential equations, which are commonplace, for instance, when carrying out Uncertainty Quantification in applications.
In this minisymposium we intend to present the latest algorithmic and theoretical contributions to Multilevel Monte Carlo methods, focusing also on novel applications arising in, among others, stochastic social, chemical and biological modeling, wireless communication networks, computational finance, stochastic particle systems and engineering modeling with random PDEs.


MS-Mo-D-29-1
13:30--14:00
Stabilization of multilevel Monte-Carlo methods for stochastic differential equations with multiple scales
Abdulle, Assyr (EPFL)


MS-Mo-D-29-2
14:00--14:30
Multilevel ensemble Kalman filter
Law, Kody (ORNL)
TEMPONE, RAUL (KING ABDULLAH Univ. OF Sci. & Tech.)
Hoel, Haakon (Univ. of Oslo)


MS-Mo-D-29-3
14:30--15:00
MLMC for PDE solutions based on Feynman-Kac theorem
Giles, Michael (Univ. of Oxford)
Bernal, Francisco (Instituto Superior Tecnico)


MS-Mo-D-29-4
15:00--15:30
The forward-reverse method for conditional Markov processes
Bayer, Christian (Weierstrass Inst., Berlin)

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Footnote:
Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA