| Wednesday |
|
|
| 09:30 - 09:45 |
S. Dahlke |
Opening |
| 09:45 - 10:45 |
R. Schneider |
Convergence of gradient algorithm in hierachical tensor formats |
| 10:45 - 11:15 |
|
coffee break |
| 11:15 - 11:45 |
M. Espig |
On the Convergence of Alternating Optimisation in Tensor Format Representations |
| 11:45 - 12:15 |
S. Kühn |
Comparison of truncation methods in the HT format |
| 12:15 - 14:00 |
|
lunch |
| 14:00 - 14:30 |
M. Kluge |
Sampling Rule for Tensor Reconstruction in Hierarchical Tucker Format |
| 14:30 - 15:00 |
J. Ballani |
Hierarchical tensor approximation of output quantities of parameter-dependent PDEs |
| 15:00 - 15:30 |
B. Brumm |
A fast matrix-free algorithm for spectral approximations to the time-dependent linear Schrödinger equation |
| 15:30 - 16:30 |
|
coffee break |
| 16:30 - 17:00 |
G. Plonka-Hoch |
Generalized Prony method for sparse vector reconstruction |
| 17:00 - 17:30 |
S. Krause-Solberg |
Non-Negativity Dimensionality Reduction in Signal Separation |
| 17:30 - 18:00 |
M. Hein |
Matrix Factorization with Binary Components |
| 18:30 |
|
dinner |
| |
| Thursday |
|
|
| 09:30 - 10:00 |
S. Glas |
Reduced Basis Methods for Parabolic Variational Inequalities |
| 10:00 - 10:30 |
S. Steck |
Reduced Basis Method for the Hamilton-Jacobi-Bellman Equation |
| 10:30 - 11:00 |
|
coffee break |
| 11:00 - 11:30 |
M. Altmayer |
Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model using Malliavin Integration by Parts |
| 11:30 - 12:00 |
S. Li |
Multilevel Monte Carlo for Levy driven SDEs: The Central Limit Theorem |
| 12:00 - 14:00 |
|
lunch |
| 14:00 - 14:30 |
D. Rudolf |
Discrepancy bound of Markov chain quasi-Monte Carlo |
| 14:30 - 15:00 |
F. Lindner |
Singular Behavior of the Solution to the Stochastic Heat Equation on a Polygonal Domain |
| 15:00 - 15:30 |
S. Kinzel |
A class of random functions in anisotropic Besov spaces |
| 15:30 - 16:30 |
|
coffee break |
| 16:30 - 17:00 |
N. Schweizer |
A primal-dual algorithm for BSDEs |
| 17:00 - 17:30 |
F. Dickmann |
Pricing Bermudan options via multi-level approximation methods |
| 17:30 - 18:00 |
L. Yaroslavtseva |
A deterministic algorithm based on discretized Wagner-Platen steps for quadrature of marginals of SDEs |
| 18:30 |
|
dinner |
| |
| Friday |
|
|
| 09:30 - 10:00 |
V. Sunkara |
Hybrid models as a strategy for tackling high dimensional Bio-Chemical reaction networks |
| 10:00 - 10:30 |
T. Volkmer |
Approximation of multivariate functions by trigonometric polynomials based on rank-1 lattice sampling |
| 10:30 - 11:00 |
B. Sprungk |
Bayesian Inversion for groundwater problems |
| 11:00 - 11:30 |
J. Diehl |
Stochastic differential equations with rough drift, stochastic filtering and exponential integrability |
| 11:30 |
S. Dahlke |
Conclusion |
| 12:00 |
|
lunch |