Publications

Preprints

  1. Giles, M. B., & Haji-Ali, A.-L. (2019). Sub-sampling and other considerations for efficient risk estimation in large portfolios [ArXiv preprint]. arXiv:1912.05484.

2020

  1. Haji-Ali, A.-L., Nobile, F., Tempone, R., & Wolfers, S. (2020). Multilevel weighted least squares polynomial approximation. ESAIM: Mathematical Modelling and Numerical Analysis, 54(2), 649–677. https://doi.org/10.1051/m2an/2019045

2019

  1. Giles, M. B., & Haji-Ali, A.-L. (2019). Multilevel nested simulation for efficient risk estimation. SIAM/ASA Journal on Uncertainty Quantification, 7(2), 497–525. https://doi.org/10.1137/18M1173186

2018

  1. Haji-Ali, A.-L., & Tempone, R. (2018). Multilevel and Multi-index Monte Carlo methods for the McKean–Vlasov equation. Statistics and Computing, 28(4), 923–935. https://doi.org/10.1007/s11222-017-9771-5
  2. Haji-Ali, A.-L., Harbrecht, H., Peters, M. D., & Siebenmorgen, M. (2018). Novel results for the anisotropic sparse grid quadrature. Journal of Complexity, 47, 62–85. https://doi.org/10.1016/j.jco.2018.02.003

2016

  1. Haji-Ali, A.-L., Nobile, F., Tamellini, L., & Tempone, R. (2016). Multi-index stochastic collocation for random PDEs. Computer Methods in Applied Mechanics and Engineering, 306, 95–122. https://doi.org/10.1016/j.cma.2016.03.029
  2. Haji-Ali, A.-L., Nobile, F., Tamellini, L., & Tempone, R. (2016). Multi-index Stochastic Collocation Convergence Rates for Random PDEs with Parametric Regularity. Foundations of Computational Mathematics, 16(6), 1555–1605. https://doi.org/10.1007/s10208-016-9327-7
  3. Haji-Ali, A.-L., Nobile, F., & Tempone, R. (2016). Multi-index Monte Carlo: when sparsity meets sampling. Numerische Mathematik, 132(4), 767–806. https://doi.org/10.1007/s00211-015-0734-5

2015

  1. Collier, N., Haji-Ali, A.-L., Nobile, F., von Schwerin, E., & Tempone, R. (2015). A continuation Multilevel Monte Carlo algorithm. BIT Numerical Mathematics, 55(2), 399–432. https://doi.org/10.1007/s10543-014-0511-3
  2. Haji-Ali, A.-L., Nobile, F., von Schwerin, E., & Tempone, R. (2015). Optimization of mesh hierarchies in Multilevel Monte Carlo samplers. Stochastic Partial Differential Equations: Analysis and Computations, 4(1), 76–112. https://doi.org/10.1007/s40072-015-0049-7