Description
Leader of the group Scientific Computing: Daan Crommelin.
The SC groups develops efficient mathematical methods to simulate and predict real-world phenomena with inherent uncertainties. Such uncertainties arise from e.g. uncertain model parameters, chaotic dynamics or intrinsic randomness, and can have major impact on model outputs and predictions. Our work is targeted in particular at applications in climate, energy, finance and biology. In these vital areas, the ability to assess uncertainties and their impact on model predictions is of paramount importance. Expertise in the SC group includes uncertainty quantification, data assimilation, stochastic multiscale modeling and risk assessment. The availability of data to inform and improve simulations and predictions, for example through learning and data-driven modeling, plays an important role in our research.
Vacancies
PhD students, in mathematics, physics, astronomy and computer science on the subject of Unravelling Neural Networks with Structure-Preserving Computing (UNRAVEL)
Centrum Wiskunde & Informatica (CWI), Eindhoven University of Technology (TU/e) and Leiden University (UL) have 6 vacancies within the recently approved NWO-ENW (Science domain) Groot project UNRAVEL for talented PhD students, in mathematics, physics, astronomy and computer science on the subject of Unravelling Neural Networks with Structure-Preserving Computing (UNRAVEL)
News
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.
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.
CWI develops new calculation methods in collaboration with ING bank and UvA
Centrum Wiskunde & Informatica (CWI) and the University of Amsterdam (UvA) have developed new calculation methods for the estimation of financial risks.
Dealing with uncertainties in simulations
Understanding uncertainties is crucial when designing computer simulations. Incorporating such uncertainties in simulations and mapping the bandwith of possbile values is the central topic of the inaugural lecture of Daan Crommelin at the University of Amsterdam on Thursday 21 April 2016.
Members
Associated Members
Publications
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van den Bos, L.M.M, Bierbooms, W.A.A.M, Alexandre, A, Sanderse, B, & van Bussel, G.J.W. (2020). Fatigue design load calculations of the offshore NREL 5 MW benchmark turbine using quadrature rule techniques. Wind Energy, 23(5), 1181–1195. doi:10.1002/we.2470
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Kumar, P, Schmelzer, M. (Martin), & Dwight, R.P. (2020). Stochastic turbulence modeling in RANS simulations via multilevel Monte Carlo. Computers & Fluids, 201. doi:10.1016/j.compfluid.2019.104420
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Chau, K.W, Tang, J, & Oosterlee, C.W. (2020). An SGBM-XVA demonstrator: A scalable Python tool for pricing XVA. Journal of Mathematics in Industry, 10(7). doi:10.1186/s13362-020-00073-5
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van den Bos, L.M.M. (2020, February 4). Quadrature methods for wind turbine load calculations.
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Eggels, A.W. (Anne W.), & Crommelin, D.T. (2020). Uncertainty quantification with dependent inputs: Wind and waves. In Proceedings of the 6th European Conference on Computational Mechanics: Solids, Structures and Coupled Problems, ECCM 2018 and 7th European Conference on Computational Fluid Dynamics, ECFD 2018 (pp. 4099–4110).
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Razaaly, N, Crommelin, D.T, & Congedo, P.M. (2019). Efficient estimation of extreme quantiles using adaptive kriging and importance sampling. International Journal for Numerical Methods in Engineering. doi:10.1002/nme.6300
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Oosterlee, C.W, & Grzelak, L.A. (2019). Mathematical Modeling and Computation in Finance. World Scientific.
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van Halder, Y, Sanderse, B, & Koren, B. (2019). An adaptive minimum spanning tree multielement method for uncertainty quantification of smooth and discontinuous responses. SIAM Journal on Scientific Computing, 41(6), A3624–A3648. doi:10.1137/18M1219643
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Ruchi, S, Dubinkina, S, & Iglesias, M.A. (2019). Transform-based particle filtering for elliptic Bayesian inverse problems. Inverse Problems, 35(11). doi:10.1088/1361-6420/ab30f3
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Liu, S, Borovykh, A.I, Grzelak, L.A, & Oosterlee, C.W. (2019). A neural network-based framework for financial model calibration. Journal of Mathematics in Industry, 9(1). doi:10.1186/s13362-019-0066-7
Current projects with external funding
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Valuation Adjustments for Improved Risk Management (ABC-EU-XVA)
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Physics based ICT: The digital twin in pipelines (DP-Trans)
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Dronesurance
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Sloshing of Liquefied Natural Gas: subproject Variability (14-10-project2) (SLING)
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Unravelling Neural Networks with Structure-Preserving Computing (Unravelling Neural Networks)
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Verified Exascale Computing for Multiscale Applications (VECMA)
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WIND Turbine Rotor aeroelasticity UncErtainty quantification (WINDTRUE)
Related partners
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DNV GL Netherlands B.V
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Max Planck Institute for Informatics
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Bull Sas
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CBK Sci Con Ltd
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Bayerische Akademie der Wissenschaften
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Maritiem Research Instituut
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MeitY
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Instytut Chemii Bioorganicznej Polskiej Akademii Nauk
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Rijksuniversiteit Groningen
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Suzlon Blades Technology
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TNO
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Technische Universiteit Eindhoven
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Technische Universiteit Delft
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Brunel University London
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University College London
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Universiteit Leiden
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Universiteit van Amsterdam