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.
News
Two CWI scientists receive JCF Young Researcher Award
CWI scientists Dr. Anastasia Borovykh and Dr. Beatriz Salvador have received the JCF Young Researcher Award, granted by the Journal of Computational Finance. Both researchers were awarded for their outstanding work, which they presented during the International Conference on Computational Finance.
In Memoriam Piet Hemker
With sadness we announce that CWI Fellow and former CWI researcher Piet Hemker passed away on 27 May. Hemker had been working at CWI from 1970–2006 and since 1989 also as a professor at the UvA. He has been a CWI Fellow since 2001 and was named Knight in the Order of the Netherlands Lion in 2006.
Sander Bohté and Kees Oosterlee awarded with NWO Indo-Dutch funding
Sander Bohté (Machine Learning) and Kees Oosterlee (Scientific Computing) have been awarded with funding from NWO’s Indo-Dutch joint research programme for ICT.
CWI develops price models for financial derivatives
The risks of trading complicated financial contracts can be unclear to a certain extent. In order to get a better insight in the determination of prices of such financial derivatives, CWI researcher Anton van der Stoep developed and improved financial mathematical research methods.
Members
Associated Members
Publications
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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
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Borovykh, A.I, Oosterlee, C.W, & Bohte, S.M. (2019). Generalization in fully-connected neural networks for time series forecasting. Journal of Computational Science, 36(101020), 1–15. doi:10.1016/j.jocs.2019.07.007
Current projects with external funding
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Towards cloud-resolving climate simulations
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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