Shape optimization to minimize failure probability (and material consumption)

Movie: Shape flow for a 2D rod towards optimal reliability.   As three working groups (Optimization, High Performance Computing and Stochastics) at the IMACM in Wuppertal, we develop probabilistic shape optimization models for different failure mechanisms, notably for low cycle fatigue (LCF) problems, with gradient based methods. Low cycle fatigue is a surface driven failure […]

Student Projects in Data Analytics for Industries at IMACM / University of Wuppertal

During this winter term, 23 undergrad students of mathematics and economath make a special experience. In teams with up to fife students, they are invited to regional industry facilities where they are confronted with a data analytics task derived from a concrete industrial need. The industrial partners stem from markets as diverse as energy, insurance, […]

Co-simulation & UQ within the SIMUROM project

In many applications, coupled problems appear very naturally. For example, Fig.1 depicts a field/circuit problem, where a transformer can be modeled by a partial differential equation (PDE) and an electric circuit subsystem, which can be modeled by differential algebraic equations (DAEs). The coupled system is a PDAE [5]. A semi-discretization in space yields a system […]

High order ADI schemes for option pricing problems

In financial engineering the pricing of options and derivatives is a major field of interest. The behavior of assets is in general described via stochastic differential equations (SDEs). With the help of the Ito formula options prices can be shown to be solutions of parabolic partial differential equations (PDEs). Especially if option prices are driven by a basket of […]

Model Order Reduction in Option Pricing

My name is José Pedro Silva and I am a PhD-Student at the Applied Mathematics and Numerical Analysis Group at the University of Wuppertal together with an Early-Stage Researcher position in the ITN-Strike project. My PhD topic orbits around the use of Model Order Reduction in financial markets, with focus in option pricing. The goal […]