Michael B. Giles

Publication Activity (10 Years)

Years Active: 2000-2024
Publications (10 Years): 39

Top Topics

Distribution Function

Algorithms And Data Structures

Top Venues

SIAM/ASA J. Uncertain. Quantification

ACM Trans. Math. Softw.

Publications

Michael B. Giles, Oliver Sheridan-Methven
Rounding Error Using Low Precision Approximate Random Variables. SIAM J. Sci. Comput. 46 (4) (2024)
Michael B. Giles, Casper Beentjes
Approximation of an Inverse of the Incomplete Beta Function. ICMS (2024)
Michael B. Giles
MLMC techniques for discontinuous functions. CoRR (2023)
Michael B. Giles, Oliver Sheridan-Methven
Approximating Inverse Cumulative Distribution Functions to Produce Approximate Random Variables. ACM Trans. Math. Softw. 49 (3) (2023)
Michael B. Giles, Oliver Sheridan-Methven
Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables. SIAM/ASA J. Uncertain. Quantification 10 (1) (2022)
Michael B. Giles, Abdul-Lateef Haji-Ali
Multilevel Path Branching for Digital Options. CoRR (2022)
Matteo Croci, Michael B. Giles, Patrick E. Farrell
Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling. SIAM J. Sci. Comput. 43 (4) (2021)
Michael B. Giles, Mateusz B. Majka, Lukasz Szpruch, Sebastian J. Vollmer, Konstantinos C. Zygalakis
Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations. Stat. Comput. 30 (3) (2020)
Tomohiko Hironaka, Michael B. Giles, Takashi Goda, Howard Thom
Multilevel Monte Carlo Estimation of the Expected Value of Sample Information. SIAM/ASA J. Uncertain. Quantification 8 (3) (2020)
Michael B. Giles, Abdul-Lateef Haji-Ali
Sub-sampling and other considerations for efficient risk estimation in large portfolios. CoRR (2019)
Michael B. Giles, Mario Hefter, Lukas Mayer, Klaus Ritter
Random bit multilevel algorithms for stochastic differential equations. J. Complex. 54 (2019)
Matteo Croci, Michael B. Giles, Patrick E. Farrell
Multilevel quasi Monte Carlo methods for elliptic PDEs with random field coefficients via fast white noise sampling. CoRR (2019)
Michael B. Giles, Abdul-Lateef Haji-Ali
Multilevel Nested Simulation for Efficient Risk Estimation. SIAM/ASA J. Uncertain. Quantification 7 (2) (2019)
Moisés Hernández-Fernández, István Zoltan Reguly, Saâd Jbabdi, Michael B. Giles, Stephen M. Smith, Stamatios N. Sotiropoulos
Using GPUs to accelerate computational diffusion MRI: From microstructure estimation to tractography and connectomes. NeuroImage 188 (2019)
Michael B. Giles, Mario Hefter, Lukas Mayer, Klaus Ritter
Random Bit Quadrature and Approximation of Distributions on Hilbert Spaces. Found. Comput. Math. 19 (1) (2019)
Michael B. Giles, Arnulf Jentzen, Timo Welti
Generalised multilevel Picard approximations. CoRR (2019)
Gihan R. Mudalige, I. Z. Reguly, Satya P. Jammy, Christian T. Jacobs, Michael B. Giles, Neil D. Sandham
Large-scale performance of a DSL-based multi-block structured-mesh application for Direct Numerical Simulation. J. Parallel Distributed Comput. 131 (2019)
Michael B. Giles, Takashi Goda
Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI. Stat. Comput. 29 (4) (2019)
Tomohiko Hironaka, Michael B. Giles, Takashi Goda, Howard Thom
Multilevel Monte Carlo estimation of the expected value of sample information. CoRR (2019)
Michael B. Giles, Francisco Bernal
Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions. SIAM/ASA J. Uncertain. Quantification 6 (4) (2018)
István Z. Reguly, Gihan R. Mudalige, Michael B. Giles
Loop Tiling in Large-Scale Stencil Codes at Run-Time with OPS. IEEE Trans. Parallel Distributed Syst. 29 (4) (2018)
Grigoris Katsiolides, Eike Hermann Müller, Robert Scheichl, Tony Shardlow, Michael B. Giles, David J. Thomson
Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling. J. Comput. Phys. 354 (2018)
Matteo Croci, Michael B. Giles, Marie E. Rognes, Patrick E. Farrell
Efficient White Noise Sampling and Coupling for Multilevel Monte Carlo with Nonnested Meshes. SIAM/ASA J. Uncertain. Quantification 6 (4) (2018)
István Z. Reguly, Gihan R. Mudalige, Michael B. Giles
Beyond 16GB: Out-of-Core Stencil Computations. MCHPC@SC (2017)
István Z. Reguly, Gihan R. Mudalige, Michael B. Giles
Beyond 16GB: Out-of-Core Stencil Computations. CoRR (2017)
Michael B. Giles, Yuan Xia
Multilevel Monte Carlo for exponential Lévy models. Finance Stochastics 21 (4) (2017)
Endre László, Michael B. Giles, Jeremy Appleyard
Manycore Algorithms for Batch Scalar and Block Tridiagonal Solvers. ACM Trans. Math. Softw. 42 (4) (2016)
István Z. Reguly, Gihan R. Mudalige, Carlo Bertolli, Michael B. Giles, Adam Betts, Paul H. J. Kelly, David Radford
Acceleration of a Full-Scale Industrial CFD Application with OP2. IEEE Trans. Parallel Distributed Syst. 27 (5) (2016)
Gihan R. Mudalige, I. Z. Reguly, Michael B. Giles
Auto-vectorizing a large-scale production unstructured-mesh CFD application. WPMVP@PPoPP (2016)
István Z. Reguly, Abdoul-Kader Keita, Rafik Zurob, Michael B. Giles
High Performance Computing on the IBM Power8 Platform. ISC Workshops (2016)
Michael B. Giles
Algorithm 955: Approximation of the Inverse Poisson Cumulative Distribution Function. ACM Trans. Math. Softw. 42 (1) (2016)
Ferran Vidal-Codina, Ngoc Cuong Nguyen, Michael B. Giles, Jaime Peraire
An Empirical Interpolation and Model-Variance Reduction Method for Computing Statistical Outputs of Parametrized Stochastic Partial Differential Equations. SIAM/ASA J. Uncertain. Quantification 4 (1) (2016)
István Z. Reguly, Abdoul-Kader Keita, Michael B. Giles
Benchmarking the IBM Power8 processor. CASCON (2015)
I. Z. Reguly, Michael B. Giles
Finite Element Algorithms and Data Structures on Graphical Processing Units. Int. J. Parallel Program. 43 (2) (2015)
Michael B. Giles
Multilevel Monte Carlo methods. Acta Numer. 24 (2015)
Michael B. Giles, Tigran Nagapetyan, Klaus Ritter
Multilevel Monte Carlo Approximation of Distribution Functions and Densities. SIAM/ASA J. Uncertain. Quantification 3 (1) (2015)
Ferran Vidal-Codina, Ngoc Cuong Nguyen, Michael B. Giles, Jaime Peraire
A model and variance reduction method for computing statistical outputs of stochastic elliptic partial differential equations. J. Comput. Phys. 297 (2015)
István Zoltan Reguly, Gihan R. Mudalige, Michael B. Giles
Design and Development of Domain Specific Active Libraries with Proxy Applications. CLUSTER (2015)
Endre László, Zoltán Nagy, Michael B. Giles, István Z. Reguly, Jeremy Appleyard, Péter Szolgay
Analysis of parallel processor architectures for the solution of the Black-Scholes PDE. ISCAS (2015)
Nicolas R. Gauger, Michael B. Giles, Max D. Gunzburger, Uwe Naumann
Adjoint Methods in Computational Science, Engineering, and Finance (Dagstuhl Seminar 14371). Dagstuhl Reports 4 (9) (2014)
István Z. Reguly, Gihan R. Mudalige, Michael B. Giles, Dan Curran, Simon McIntosh-Smith
The OPS domain specific abstraction for multi-block structured grid computations. WOLFHPC@SC (2014)
Gihan R. Mudalige, I. Z. Reguly, Michael B. Giles, A. C. Mallinson, W. P. Gaudin, J. A. Herdman
Performance Analysis of a High-Level Abstractions-Based Hydrocode on Future Computing Systems. PMBS@SC (2014)
Michael B. Giles, Christopher Lester, James Whittle
Non-nested Adaptive Timesteps in Multilevel Monte Carlo Computations. MCQMC (2014)
István Z. Reguly, Gihan R. Mudalige, Carlo Bertolli, Michael B. Giles, Adam Betts, Paul H. J. Kelly, David Radford
Acceleration of a Full-scale Industrial CFD Application with OP2. CoRR (2014)
Aretha L. Teckentrup, Robert Scheichl, Michael B. Giles, Elisabeth Ullmann
Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients. Numerische Mathematik 125 (3) (2013)
Michael B. Giles, Christoph Reisinger
Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance. SIAM J. Financial Math. 3 (1) (2012)
Michael B. Giles
Multilevel Monte Carlo for Basket Options. WSC (2009)
Michael B. Giles, Desmond J. Higham, Xuerong Mao
Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff. Finance Stochastics 13 (3) (2009)
Michael B. Giles
Multilevel Monte Carlo Path Simulation. Oper. Res. 56 (3) (2008)
Simon J. Cox, Richard P. Boardman, Liming Chen, Mihai C. Duta, M. Hakki Eres, Matt J. Fairman, Zhuoan Jiao, Michael B. Giles, Carole A. Goble, Graeme E. Pound, Andy J. Keane, Mark Scott, Nigel Shadbolt, Barry Tao, Jasmin L. Wason, Gang Xue
Grid Services in Action: Grid Enabled Optimisation and Design Search. HPDC (2002)
Ken W. Brodlie, Jason D. Wood, David A. Duce, Julian R. Gallop, David Gavaghan, Michael B. Giles, S. Hague, Jeremy Walton, M. Rudgyard, Brian Collins, J. Ibbotson, Alan Knox
XML for Visualization. EuroWeb (2002)
Niles A. Pierce, Michael B. Giles
Adjoint Recovery of Superconvergent Functionals from PDE Approximations. SIAM Rev. 42 (2) (2000)