Please note that the list below only shows forthcoming events, which may not include regular events that have not yet been entered for the forthcoming term. Please see the past events page for a list of all seminar series that the department has on offer.
In this talk, first we address the convergence issues of a standard finite volume element method (FVEM) applied to simple elliptic problems. Then, we discuss discontinuous finite volume element methods (DFVEM) for elliptic problems with emphasis on computational and theoretical advantages over the standard FVEM. Further, we present a natural extension of DFVEM employed for the elliptic problem to the Stokes problems. We also discuss suitability of these methods for the approximation of incompressible miscible displacement problems.
- Numerical Analysis Group Internal Seminar
We first consider multilevel Monte Carlo and stochastic collocation methods for determining statistical information about an output of interest that depends on the solution of a PDE with inputs that depend on random parameters. In our context, these methods connect a hierarchy of spatial grids to the amount of sampling done for a given grid, resulting in dramatic acceleration in the convergence of approximations. We then consider multifidelity methods for the same purpose which feature a variety of models that have different fidelities. For example, we could have coarser grid discretizations, reduced-order models, simplified physics, surrogates such as interpolants, and, in principle, even experimental data. No assumptions are made about the fidelity of the models relative to the “truth” model of interest so that unlike multilevel methods, there is no a priori model hierarchy available. However, our approach can still greatly accelerate the convergence of approximations.
- Computational Mathematics and Applications Seminar
We discuss two Freidlin-Wentzell large deviation principles for McKean-Vlasov equations (MV-SDEs) in certain path space topologies. The equations have a drift of polynomial growth and an existence/uniqueness result is provided. We apply the Monte-Carlo methods for evaluating expectations of functionals of solutions to MV-SDE with drifts of super-linear growth. We assume that the MV-SDE is approximated in the standard manner by means of an interacting particle system and propose two importance sampling (IS) techniques to reduce the variance of the resulting Monte Carlo estimator. In the "complete measure change" approach, the IS measure change is applied simultaneously in the coefficients and in the expectation to be evaluated. In the "decoupling" approach we first estimate the law of the solution in a first set of simulations without measure change and then perform a second set of simulations under the importance sampling measure using the approximate solution law computed in the first step.
- Mathematical and Computational Finance Seminar