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Matthew Dixon - Department of Applied Mathematics, Illinois Institute of Technology
Feb 5, 2019 - 11:25am to 12:45pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 103
Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all the trades with each counterparty under both market and credit risk. We present a multi-Gaussian process regression approach, which is well suited for OTC derivative portfolio valuation... read more
Jesus A. De Loera - Department of Mathematics, University of California at Davis
Feb 4, 2019 - 1:50pm to 2:55pm
Department of Applied Mathematics - Colloquia - Rettaliata Engineering Center, Room 104
Linear programs (LPs) are, without any doubt, at the core of both the theory and the practice of modern applied and computational optimization (e.g., in discrete optimization LPs are used in practical computations using branch-and-bound, and in approximation algorithms, e.g., in... read more
Guang Lin - Department of Mathematics, Department of Statistics & School of Mechanical Engineering, Purdue University
Feb 1, 2019 - 2:30pm to 3:30pm
Center for Interdisciplinary Scientific Computation (CISC) - Seminar - Rettaliata Engineering Center, Room 103
Experience suggests that uncertainties often play an important role in quantifying the performance of complex systems. Therefore, uncertainty needs to be treated as a core element in the modeling, simulation, and optimization of complex systems. The field of uncertainty quantification (UQ) has... read more