Description

Leader of the group Scientific Computing: Daan Crommelin.

The world is full of uncertainties. Being able to assess those uncertainties and their impact on predictions is critical for many real-world problems. Our research group works to investigate and develop methods that contribute to a better understanding of hard-to-predict developments in vital areas such as climate, energy, and finance. It’s all about finding efficient mathematical solutions for complex problems and thereby increasing understanding. With the computational methods we develop, it is possible to quantify the range of potential outcomes of systems that are extremely difficult to predict, enabling better forecasting. Our work is targeted in particular at applications in energy systems, finance and climate science. We always aim to make the connection between fundamental research and practical application.

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Current Projects

  • Accurate prediction of slugs in multiphase pipe flow simulation for improved oil and gas production
  • Geometric Structure and Data Assimilation
  • Mathematics and Algorithms for 3D Imaging of Dynamic Processes
  • Probabilistic Uncertainty Assessments in Energy-Related Problems
  • Real-Time 3D Tomography
  • Stochastic models for unresolved scales in geophysical flows
  • The See-Through Museum
  • Three-Dimensional Reconstruction of Biological Specimen with Scanning Electron Microscopy
  • Towards cloud-resolving climate simulations
  • Uncertainty Quantication in Hydraulic Fracturing using Multi-Level Monte Carlo and Multigrid
  • AMTIC
    Automated multi-modal tomography for sub-22nm IC nodes
  • EUROS
    Excellence in Uncertainty Reduction of Offshore Wind Systems (uitgewerkt programmavoorstel)
  • PORO SOS
    Efficient numerical methods for deformable porous media. Application to carbon dioxide storage
  • RESClim
    Rare Event Simulation for Climate Extremes
  • SLING
    Sloshing of Liquefied Natural Gas: subproject Variability (14-10-project2)
  • VOXEL
    Volumetric medical x-ray imaging at extremely low dose
  • WAKEUPCALL
    Applied mathematics for risk measures in finance and insurance, in the wake of the crisis

Events

PhD defense Alvaro Leitao (Scientific Computing)

  • 2017-06-27T13:00:00+02:00
  • 2017-06-27T14:00:00+02:00
June 27 Tuesday

Start: 2017-06-27 13:00:00+02:00 End: 2017-06-27 14:00:00+02:00

Senaatszaal of the Auditorium, Mekelweg 5, Delft

You are all cordially invited to the public defense of Alvaro Leitao on his PhD thesis entitled: Hybrid Monte Carlo methods in computational finance.

Promotor: Prof.dr. Kees Oosterlee

WakEUPCall Study Week with the Financial Industry

  • 2017-05-08T11:00:00+02:00
  • 2017-05-12T13:00:00+02:00
May 8 Monday

Start: 2017-05-08 11:00:00+02:00 End: 2017-05-12 13:00:00+02:00

Madrid, Spain

The goal of this initiative is to bring together scholars and practitioners to work on open financial problems, trying to find out a viable solution. The ESRs of the WakEUpCall European Industrial Doctorate, their supervisors, the industrial partners and a selected group of interested participants (please feel free to apply) will devote a full week to the study of cutting-edge topics like: machine learning with car insurance data, longevity risk modeling, long-term modeling of interest rates, propagation of perturbations in financial algorithms.
Inputs and suggestions from external scholars and practitioners, willing to take part in our study week, are very welcome.
Please contact us using the registration form.
The participation in the event is free of charge, but the available placed are limited.

We hope to meet you soon in a beautiful and sunny Madrid!

PhD Defense Qian Feng (Scientific Computing)

  • 2017-04-04T15:00:00+02:00
  • 2017-04-04T16:00:00+02:00
April 4 Tuesday

Start: 2017-04-04 15:00:00+02:00 End: 2017-04-04 16:00:00+02:00

Senaatszaal of the Auditorium, Mekelweg 5, Delft

Everyone is invited to atttend the public defense of Qian Feng of her PhD thesis:

Advanced Estimation of Credit Valuation Adjustment

Promotor: prof.dr. Kees Oosterlee

PhD Defence Jesse Dorrestijn (Scientific Computing)

  • 2016-09-08T12:30:00+02:00
  • 2016-09-08T13:30:00+02:00
September 8 Thursday

Start: 2016-09-08 12:30:00+02:00 End: 2016-09-08 13:30:00+02:00

TUD, Senaatszaal, Mekelweg 5, Delft

Everyone is welcome to attend the public defense of Jesse Dorrestijn of his thesis                

'Stochastic Convection Parameterization'

Promotors: prof.dr. A.P. Siebesma en prof.dr. D.T. Crommelin

Intreerede Daan Crommelin (UvA)

  • 2016-04-21T14:00:00+02:00
  • 2016-04-21T15:00:00+02:00
April 21 Thursday

Start: 2016-04-21 14:00:00+02:00 End: 2016-04-21 15:00:00+02:00

in de Aula der Universiteit, ingang Singel 411, hoek Spui

Alle belangstellenden worden uitgenodigd tot het bijwonen van de openbare rede van Daan Crommelin.


Omgaan met onzekerheden bij het maken van simulaties

Dhr. prof. dr. D.T. Crommelin, bijzonder hoogleraar Numerieke analyse en dynamische systemen

 

Bij het maken van computersimulaties is het van belang om zicht te krijgen op de vaak inherente onzekerheden in de uitkomst. Het incorporeren van zulke onzekerheden in simulaties en het in kaart brengen van de bandbreedte aan mogelijke uitkomsten staan centraal in de oratie van Daan Crommelin.

Er kan sprake zijn van onzekerheden ten gevolge van chaotisch gedrag, benaderingen, micro-macro-interacties, fluctuerende modelinput, onzekere parameters, enzovoorts. De belangstelling voor onzekerheden in simulaties groeit sterk binnen de toegepaste wiskunde.

Een centraal element bij dit onderwerp is de uitdaging om algoritmes te ontwerpen waarbij de benodigde rekentijd binnen de perken blijft. De vraag naar onzekerheden in simulaties is relevant voor een breed scala aan toepassingen. Crommelin gaat vooral in op simulaties van het klimaatsysteem en van energienetwerken.



Bron: UvA Persvoorlichting

PhD Defence Folkert Bleichrodt (SC)

  • 2015-11-10T14:00:00+01:00
  • 2015-11-10T15:00:00+01:00
November 10 Tuesday

Start: 2015-11-10 14:00:00+01:00 End: 2015-11-10 15:00:00+01:00

Academiegebouw Leiden, Rapenburg 73

Everybody is welcome to attend the defence of Folkert Bleichrodt. The dissertation is entitled "Improving Robustness of Tomographic Reconstruction Methods".

Promotor:     Prof.dr. K.J. Batenburg (CWI, Universiteit Leiden)

Members of Scientific Computing

Publications

News

Better estimation of financial risks possible with maths

Better estimation of financial risks possible with maths

Due to the recent financial crisis, the requirements imposed on banks have been made stricter. Banks must model the credit risk of the counterparties now in their portfolios, for instance. A measure for this is the credit value adjustment (CVA): the difference between the value of a portfolio without credit risk and the value if a possible bankruptcy of the counterparty is included. Qian Feng modelled CVAs and designed a new algorithm that can help banks estimate the risks precisely, so they can take appropriate measures if necessary.

Better estimation of financial risks possible with maths - Read More…

The Netherlands’ smallest supercomputer is here

The Netherlands’ smallest supercomputer is here

A team of Dutch scientists has built a supercomputer the size of four pizza boxes. The Little Green Machine II has the computing power of 10,000 PCs and will be used by researchers in oceanography, computer science, artificial intelligence, financial modeling and astronomy. CWI researchers Joost Batenburg and Kees Oosterlee, who were part of the development team, will use the machine for computational imaging and machine learning for time series respectively. The computer is based at Leiden University (the Netherlands) and developed with help from IBM.

The Netherlands’ smallest supercomputer is here - Read More…

Partners

  • Centre National de la Recherche Scientifique (CNRS), Gif-sur-Yvette, France
  • CNR Pisa
  • COMMISSARIAT A L ENERGIE ATOMIQUE ET AUX ENERGIES ALTERNATIVES
  • IMAGINE OPTIC
  • Universidad Politécnica de Madrid
  • Vortech
  • FEI
  • IMEC
  • Rijksuniversiteit Groningen
  • Technische Universiteit Eindhoven
  • Technische Universiteit Delft
  • Technische Universiteit Delft