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

Date: August 11
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-Tu-D-29-1
13:30--14:00
Optimization of mesh hierarchies in Multilevel Monte Carlo samplers
Haji Ali, Abdul Lateef (KAUST)
Nobile, Fabio (MATHICSE - EPFL)
TEMPONE, RAUL (KING ABDULLAH Univ. OF Sci. & Tech.)


MS-Tu-D-29-2
14:00--14:30
MULTI-INDEX MONTE CARLO METHOD
Haji Ali, Abdul Lateef (KAUST)
Nobile, Fabio (MATHICSE - EPFL)
TEMPONE, RAUL (KING ABDULLAH Univ. OF Sci. & Tech.)


MS-Tu-D-29-3
14:30--15:00
Multilevel Monte Carlo Simulations of Stochastic McKean-Vlasov Equations.
Lukasz, Szpruch (Univ. of Edinburgh)


MS-Tu-D-29-4
15:00--15:30
A MULTILEVEL ADAPTIVE REACTION-SPLITTING SIMULATION METHOD FOR STOCHASTIC REACTION NETWORKS
TEMPONE, RAUL (KING ABDULLAH Univ. OF Sci. & Tech.)
Moraes, Alvaro (KAUST)
Vilanova, Pedro (KAUST)

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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