Frontiers in Fundamental Mathematics Research Nexus, 18 Apr

Date/Time: Tuesday 18 April 2023; 9:30 am
Speaker: Prof. Mike Giles (University of Oxford)
Title: Multilevel Monte Carlo Methods—Introduction and Masterclass
Location: RC-4082 (Red Centre Building, Centre Wing, UNSW Sydney)

This talk is part of the series of activities presented by Prof. Mike Giles at UNSW.

Abstract

Multilevel Monte Carlo methods have greatly improved the computational efficiency of the classic Monte Carlo method, leading to a wide range of applications in areas such as finance, engineering, biochemistry, Bayesian estimation, and decision-making under uncertainty.  At its heart is a very simple idea, and this introduction to the subject will emphasise this simplicity and the scope to be creative in applying the idea in new areas.

About the speaker:

Mike Giles is a Professor of Scientific Computing in the Mathematical Institute of Oxford University.  After 25 years developing and analysing methods for Computational Fluid Dynamics, in collaboration with Rolls-Royce, he has spent the past 15 years developing and analysing Multilevel Monte Carlo methods for a range of applications.  He also has extensive research interests in high performance computing, particularly on GPUs.  He became a Fellow of SIAM in 2018, and was head of department in 2018–2022.

Prof. Mike Giles is visiting the School of Mathematics and Statistics until 12th of May 2023.

Further information is available from https://people.maths.ox.ac.uk/gilesm/.