Mike Giles - refereed publications
- M.B. Giles.
`Internal reflections due to a nonuniform grid'. pp.322-331 in
Advances in Computer Methods for Partial Differential Equations - V,
IMACS, 1984.
- M.B. Giles and M. Rose.
`A numerical study of the steady scalar convective diffusion
equation for small viscosity'.
Journal of Computational Physics, 56(3):513-529, 1984.
link,
doi
- M.B. Giles and W.T. Thompkins.
`Propagation and stability of wavelike solutions of finite
difference equations with variable coefficients'.
Journal of Computational Physics, 58(3):349-360, 1985.
link,
doi
- M.B. Giles and M. Drela.
`A two-dimensional transonic aerodynamic design method'.
AIAA Journal, 25(9):1199-1206, 1987.
link,
doi
- M. Drela and M.B. Giles.
`Viscous-inviscid analysis of transonic and low Reynolds number airfoils'.
AIAA Journal, 25(10):1347-1355, 1987.
link,
doi
- A.H. Epstein, J.B. Gertz, P.R. Owen and M.B. Giles.
`Vortex shedding in high-speed compressor blade wakes'.
AIAA Journal of Propulsion and Power, 4(3):236-244, 1988.
doi
- M.B. Giles.
`Calculation of unsteady wake rotor interaction'.
AIAA Journal of Propulsion and Power, 4(4):356-362, 1988.
link,
doi
- G.R. Guenette, A.H. Epstein, M.B. Giles, R. Haimes and R.J.G. Norton.
`Fully scaled transonic turbine rotor heat transfer measurements'.
Journal of Turbomachinery, 111(1):1-7, 1989.
doi
- M.B. Giles.
`Numerical methods for unsteady turbomachinery flow'.
In Numerical Methods for Flows in Turbomachinery,
Von Karman Institute, 1989.
- B. Krouthen and M.B. Giles.
`Numerical investigation of hot streaks in turbines'.
AIAA Journal of Propulsion and Power, 6(6):769-776, 1990.
doi
- J.F. Dannenhoffer and M.B. Giles.
`Accelerated convergence of Euler solutions using time inclining'.
AIAA Journal, 28(8):1457-1463, 1990.
doi
- M.B. Giles.
`Stator/rotor interaction in a transonic turbine'.
AIAA Journal of Propulsion and Power, 6(5):621-627, 1990.
link,
doi
- M.B. Giles.
`Non-reflecting boundary conditions for Euler equation calculations'.
AIAA Journal, 28(12):2050-2058, 1990.
link,
doi
- M.B. Giles and R. Haimes.
`Advanced interactive visualization for CFD'.
Computing Systems in Engineering, 1(1):51-62, 1990.
link,
doi
- A. Suddhoo, M.B. Giles and S. Stow.
`Simulation of inviscid blade row interaction using a linear
and a nonlinear method'.
Tenth International Symposium on Air Breathing Engines,
485-493, 1991.
- R.S. Abhari, G.R. Guenette, A.H. Epstein and M.B. Giles.
`Comparison of time-resolved turbine rotor blade heat transfer
measurements and numerical calculations'.
Journal of Turbomachinery, 114(4):818-826, 1992.
doi
- M.B. Giles.
`A framework for multi-stage unsteady flow calculations'. In
Unsteady Aerodynamics, Aeroacoustics and Aeroelasticity of
Turbomachines and Propellers, H.M. Atassi editor, Springer-Verlag, 1993.
doi
- M.B. Giles and R. Haimes.
`Validation of a numerical method for unsteady flow calculations'.
Journal of Turbomachinery, 115(1):110-117, 1993.
doi
- A. Saxer and M.B. Giles.
`Quasi-3D nonreflecting boundary conditions for Euler equation calculations'.
AIAA Journal of Propulsion and Power, 9(2):263-271, 1993.
link,
doi
- A.H. Epstein, M.B. Giles, T. Shang and A.K. Sehra.
`Blade row interaction effects on compressor measurements'.
AIAA Journal of Propulsion and Power, 9(4):569-578, 1993.
link,
doi
- A.P. Saxer and M.B. Giles.
`Predictions of three-dimensional steady and unsteady inviscid transonic
stator/rotor interaction with inlet radial temperature nonuniformity'.
Journal of Turbomachinery, 116(3):347-357, 1994.
doi
- D.R. Lindquist and M.B. Giles.
`Validity of linearized unsteady Euler equations with shock capturing'.
AIAA Journal, 32(1):46-53, 1994.
link,
doi
- D.A. Burgess, P.I. Crumpton and M.B. Giles.
`A parallel framework for unstructured grid solvers'. pp.97-106 in
Programming Environments for Massively Parallel Distributed Systems,
K.M. Decker and R.M. Rehmann editors, Birkhauser, 1994.
doi
- G. Fritsch and M.B. Giles.
`An asymptotic analysis of mixing loss'.
Journal of Turbomachinery, 117(3):367-374, 1995.
doi
- K.F.C. Yiu and M.B. Giles.
`Simultaneous viscous-inviscid coupling via transpiration'.
Journal of Computational Physics, 120(2):157-170, 1995.
doi
- K. Isomura and M.B. Giles.
`A numerical simulation of the unsteadiness in a transonic steady-state
blade-to-blade flow in NASA Rotor67'. In
Unsteady Aerodynamics and Aeroelasticity of Turbomachines,
Y. Tanida and M. Namba, editors, Elsevier, 1995.
- P.I. Crumpton and M.B. Giles.
`Multigrid aircraft computations using the OPlus parallel library'.
pp.339-346 in Parallel Computational Fluid Dynamics:
Implementations and Results Using Parallel Computers,
A. Ecer, J. Periaux, N. Satofuka, and S. Taylor, editors,
North-Holland, 1996.
link
- M.B. Giles.
`Analysis of the accuracy of shock-capturing in the steady quasi-1D
Euler equations'.
Computational Fluid Dynamics Journal, 5(2):247-258, 1996.
link
- P.I. Crumpton, M.B. Giles and G.N. Shrinivas.
`Design optimisation for complex geometries'. In
Lecture Notes in Physics: Fifteenth International Conference
on Numerical Methods in Fluid Dynamics, Springer-Verlag, 1997.
doi
- R.S. Abhari and M.B. Giles.
`A Navier Stokes analysis of airfoils in oscillating transonic
cascades for the prediction of aerodynamic damping'.
Journal of Turbomachinery, 119(1):77-84, 1997.
doi
- D.A. Burgess and M.B. Giles
`Renumbering unstructured grids to improve the performance of
codes on hierarchical memory machines',
Advances in Engineering Software, 28(3):189-201, 1997.
link,
doi
- M.B. Giles.
`Stability analysis of a Galerkin/Runge-Kutta Navier-Stokes
discretisation on unstructured tetrahedral grids'.
Journal of Computational Physics, 132(2):201-214, 1997.
link,
doi
- M.B. Giles.
`Stability and accuracy of numerical boundary conditions in
aeroelastic analysis'.
International Journal for Numerical Methods in Fluids,
24(8):739-757, 1997.
link,
doi
- M.B. Giles.
`Stability analysis of numerical interface boundary conditions in
fluid-structure thermal analysis'.
International Journal for Numerical Methods in Fluids,
25(4):421-436, 1997
link,
doi
- N.A. Pierce and M.B. Giles.
`Preconditioned multigrid methods for compressible flow calculations
on stretched meshes'.
Journal of Computational Physics, 136(2):425-445, 1997.
link,
doi
- M.B. Giles.
`On the stability and convergence of discretizations of initial value p.d.e.s'.
IMA Journal of Numerical Analysis, 17(4):563-576, 1997
link,
doi
- P.I. Crumpton and M.B. Giles.
`Implicit time-accurate solutions on unstructured dynamic grids'.
International Journal for Numerical Methods in Fluids,
25(11):1285-1300, 1997.
doi
- P.I. Crumpton, P. Moinier and M.B. Giles.
`An unstructured algorithm for high Reynolds number flows on highly
stretched grids',
in Numerical Methods in Laminar and Turbulent Flow, 561-572.
C. Taylor and J.T. Cross editors, Pineridge Press, 1997.
link
- J.G. Marshall and M.B. Giles.
`Some applications of a time-linearized Euler method to
flutter and forced response in turbomachinery'.
In Unsteady Aerodynamics and Aeroelasticity of Turbomachines,
T. Fransson editor. Kluwer, 1998.
doi
- M.B. Giles.
`Progress in applied numerical analysis for Computational Fluid Dynamics'.
pp.1-25 in Barriers and Challenges in CFD,
V. Venkatakrishnan, M.D. Salas and S.R. Chakravarthy editors. Kluwer, 1998.
link,
doi
- M.B. Giles.
`On adjoint equations for error analysis and optimal grid adaptation',
in Frontiers of Computational Fluid Dynamics 1998, 155-170.
D.A. Caughey and M.M. Hafez editors, World Scientific, 1998.
link
- K. Isomura and M.B. Giles.
`A numerical study of flutter in a transonic fan'.
Journal of Turbomachinery, 120(3):500-507, 1998.
doi
- M.B. Giles and R.M. Cummings.
`Wake integration for three-dimensional flowfield computations:
theoretical development',
Journal of Aircraft , 36(2):357-365, 1999.
link,
doi
- D.L. Hunt, R.M. Cummings and M.B. Giles
`Wake integration for three-dimensional flowfield computations: applications',
Journal of Aircraft , 36(2):366-373, 1999.
link,
doi
- N.A. Pierce and M.B. Giles.
`Adjoint recovery of superconvergent functionals from PDE approximations'.
SIAM Review, 42(2):247-264, 2000.
link,
doi
- D.L. Darmofal, P. Moinier and M.B. Giles.
`Eigenmode analysis of boundary conditions for the one-dimensional
preconditioned Euler equations'.
Journal of Computational Physics, 160(1):369-384, 2000.
link,
doi
- M.B. Giles and N.A. Pierce.
`An introduction to the adjoint approach to design'.
Flow, Turbulence and Combustion, 65(3-4):393-415, 2000.
link,
doi
- M.B. Giles and N.A. Pierce.
`Analytic adjoint solutions for the quasi-one-dimensional Euler equations'.
Journal of Fluid Mechanics, 426:327-345, 2001.
link,
doi
- M.S. Campobasso and M.B. Giles.
`Analysis of the effect of mistuning on turbomachinery aeroelasticity' in
Unsteady Aerodynamics, Aeroacoustics and Aeroelasticity in Turbomachines.
P. Ferrand and S. Aubert editors, Presses Universitaire de Grenoble, 2001.
link
- M.B. Giles and N.A. Pierce.
`Superconvergent lift estimates through adjoint error analysis', in
Innovative Methods for Numerical Solutions of Partial Differential Equations.
M.M. Hafez and J.J. Chattot editors, World Scientific, 2001.
link
- M.B. Giles
`On the iterative solution of adjoint equations', pp.145-152 in
Automatic Differentiation: From Simulation to Optimization,
G. Corliss, C. Faure, A. Griewank, L. Hascoet, U. Naumann, editors,
Springer-Verlag, 2001.
link,
doi
- M.B. Giles.
`Defect and adjoint error correction',
in Computational Fluid Dynamics 2000.
N. Satofuka, editor, Springer-Verlag, 2001.
link,
doi
- M.B. Giles and N.A. Pierce.
`Adjoint error correction for integral outputs', pp.47-96 in
Error Estimation and Adaptive Discretization Methods in
Computational Fluid Dynamics,
T. Barth and H. Deconinck editors, volume 25 in
Lecture Notes in Computational Science and Engineering.
Springer-Verlag, 2002.
link,
doi
- P. Moinier and M.B. Giles.
`Stability analysis of preconditioned approximations of the Euler
equations on unstructured meshes'.
Journal of Computational Physics, 178:498-519, 2002.
link,
doi
- M.B. Giles and E. Suli.
`Adjoint methods for PDEs: a posteriori error
analysis and postprocessing by duality'.
Acta Numerica 2002, pages 145-236,
Cambridge University Press, 2002.
link,
doi
- P. Moinier, J.-D. Muller and M.B. Giles.
`Edge-based multigrid and preconditioning for hybrid grids'.
AIAA Journal, 40(10):1954-1960, 2002.
link,
doi
- M.C. Duta, M.B. Giles and M.S. Campobasso.
`The harmonic adjoint approach to unsteady turbomachinery design'.
International Journal for Numerical Methods in Fluids,
40(3-4):323-332, 2002.
link,
doi
- M.B. Giles, M.C. Duta, J.-D. Muller and N.A. Pierce.
`Algorithm developments for discrete adjoint methods'.
AIAA Journal, 41(2):198-205, 2003.
link,
doi
- M.B. Giles.
`Discrete adjoint approximations with shocks'.
Hyperbolic Problems: Theory, Numerics, Applications,
editors T. Hou and E. Tadmor, Springer-Verlag 2003.
link,
doi
- M.S. Campobasso and M.B. Giles.
`Stabilization of a linearized Navier-Stokes solver for turbomachinery
aeroelasticity' in Computational Fluid Dynamics 2002.
Springer-Verlag, 2003.
link,
doi
- M.S. Campobasso and M.B. Giles.
`Effect of flow instabilities on the linear analysis of
turbomachinery aeroelasticity',
AIAA Journal of Propulsion and Power, 19(2):250-259, 2003
link,
doi
- M.S. Campobasso, M.C. Duta and M.B. Giles.
`Adjoint calculation of sensitivities of turbomachinery objective functions',
AIAA Journal of Propulsion and Power, 19(4):693-703, 2003.
link,
doi
- M.B. Giles, N.A. Pierce and E. Suli .
`Progress in adjoint error correction for integral functionals',
Computing and Visualisation in Science, 6(2-3):113-121, 2004.
link,
doi
- N.A. Pierce and M.B. Giles.
`Adjoint and Defect Error Bounding and Correction for Functional Estimates'
Journal of Computational Physics, 200:769-794, 2004.
link,
doi
- M.S. Campobasso and M.B. Giles.
`Stabilization of a linear flow solver for turbomachinery aeroelasticity
by means of the recursive projection method',
AIAA Journal, 42(9) 1765-1774, 2004.
link,
doi
- M.C. Duta, A. Laird and M.B. Giles.
`Aeroacoustic analysis using a hybrid finite element method',
Journal of Power and Energy, Proceedings of the IMechE Part A,
219:413-420, 2005.
link,
doi
- P. Moinier and M.B. Giles.
`Eigenmode analysis for turbomachinery applications',
AIAA Journal of Propulsion and Power, 21(6): 973-978, 2005.
link,
doi
- M.C. Duta, M.S. Campobasso, M.B. Giles and B.L. Lapworth.
`Adjoint harmonic sensitivities for forced response minimisation',
ASME Journal of Turbomachinery, 128:183-189, 2006.
doi
- M.B. Giles and P. Glasserman.
`Smoking adjoints: fast Monte Carlo Greeks',
RISK, 19(1):88-92, January 2006.
link
- M.C. Duta, M.B. Giles and A. Laird.
`A hybrid FE/spectral analysis of turbofan aeroacoustics',
pp.77-82, in Computational Fluid Dynamics 2004.
Springer-Verlag, 2006.
link,
doi
- M.S. Campobasso and M.B. Giles.
`Stabilizing linear harmonic flow solvers for turbomachinery
aeroelasticity with complex iterative algorithms',
AIAA Journal, 44(5):1048-1059, 2006.
link,
doi
- M.B. Giles and R. Carter.
`Convergence analysis of Crank-Nicolson and Rannacher time-marching',
Journal of Computational Finance, 9(4):89-112, 2006.
link,
doi
- M.C. Duta and M.B. Giles.
`A three-dimensional hybrid finite element/spectral analysis of noise
radiation from turbofan inlets',
Journal of Sound and Vibration. 296:623-642, 2006.
link,
doi
- A.L. Laird and M.B. Giles.
`Preconditioning harmonic unsteady potential flow calculations',
AIAA Journal, 44(11):2654-2662, 2006.
doi
- R. Carter and M.B. Giles.
'Sharp error estimates for discretizations of the 1D
convection/diffusion equation with Dirac initial data',
IMA Journal of Numerical Analysis,
27(2):406-425, 2007
link,
doi
- P. Moinier, M.B. Giles and J. Coupland.
`Three-dimensional nonreflecting boundary conditions for swirling
flow in turbomachinery'.
AIAA Journal of Propulsion and Power, 23(5):981-986, 2007.
link,
doi
- M.B. Giles.
`Improved multilevel Monte Carlo convergence using the Milstein scheme'.
pp.343-358 in
Monte Carlo and Quasi-Monte Carlo Methods 2006, Springer, 2008.
link,
doi
- M.B. Giles.
`Multilevel Monte Carlo path simulation'.
Operations Research, 56(3):607-617, 2008.
link,
doi
- M.B. Giles, D. Ghate and M.C. Duta.
`Using automatic differentiation for adjoint CFD code development'.
Computational Fluid Dynamics Journal, 16(4):434-443, 2008.
link
- M.B. Giles.
`Collected matrix derivative results for forward and
reverse mode algorithmic differentiation'. pp.35-44 in
Advances in Automatic Differentiation, Springer, 2008
link,
doi
- M.B. Giles, F.Y. Kuo, I.H. Sloan and B.J. Waterhouse.
`Quasi-Monte Carlo for finance applications'.
ANZIAM Journal, 50:308-323, 2008.
link,
doi
- M.B. Giles, D.J. Higham and X. Mao.
`Analysing multilevel Monte Carlo for options with non-globally Lipschitz payoff'.
Finance and Stochastics, 13(3):403-413, 2009.
link,
doi
- M.B. Giles and B.J. Waterhouse.
`Multilevel quasi-Monte Carlo path simulation'. pp.165-181 in
Advanced Financial Modelling, in
Radon Series on Computational and Applied Mathematics, de Gruyter, 2009.
link,
doi
- M.B. Giles.
`Vibrato Monte Carlo sensitivities'. pp.369-392 in
Monte Carlo and Quasi-Monte Carlo Methods 2008, Springer, 2009.
link,
doi
- M.B. Giles.
`Multilevel Monte Carlo for basket options'. pp.1283-1290 in
Proceedings of Winter Simulation Conference 2009, IEEE, 2009.
link,
doi
- M.B. Giles.
`Crank-Nicolson time-marching'.
In
Encyclopedia of Quantitative Finance, John Wiley & Sons, 2010.
link
- M.B. Giles and S. Ulbrich.
`Convergence of linearized and adjoint approximations for
discontinuous solutions of conservation laws. Part 1: linearized
approximations and linearized output functionals'.
SIAM Journal of Numerical Analysis 48(3):882-904, 2010.
link,
doi
- M.B. Giles and S. Ulbrich.
`Convergence of linearized and adjoint approximations for
discontinuous solutions of conservation laws. Part 2: adjoint
approximations and extensions'.
SIAM Journal of Numerical Analysis 48(3):905-921, 2010.
link,
doi
- L. Capriotti and M.B. Giles.
`Fast correlation Greeks by adjoint algorithmic differentiation',
RISK, 23(4):77-83, 2010.
- A. Lee, C. Yau, M.B. Giles, A. Doucet, C.C. Holmes.
`On the utility of graphics cards to perform massively parallel
simulation of advanced Monte Carlo methods'.
Journal of Computational and Graphical Statistics, 19(4): 769-789, 2010.
link,
doi
- T. Bradley, J. du Toit, M.B. Giles, R. Tong, P. Woodhams.
`Parallelisation techniques for random number generators'.
pp.231-246 in
GPU Computing Gems, Emerald Edition, Morgan Kaufmann, 2011.
link
- M.B. Giles.
`Approximating the erfinv function'. pp.109-116 in
GPU Computing Gems, Jade Edition, Morgan Kaufmann, 2011.
link
- G. Klingbeil, R. Erban, M. Giles, P.K. Maini.
`STOCHSIMGPU: Parallel stochastic simulation for the
Systems Biology Toolbox 2 for MATLAB'.
Bioinformatics, 27(8):1170-71, 2011.
link,
doi
- M.B. Giles, G.R. Mudalige, Z. Sharif, G. Markall, P.H.J. Kelly.
`Performance analysis of the OP2 framework on many-core architectures'.
ACM SIGMETRICS Performance Evaluation Review 38(4):9-15, 2011.
link,
doi
- K.A. Cliffe, M.B. Giles, R. Scheichl, A.L. Teckentrup,
`Multilevel Monte Carlo methods and applications to
elliptic PDEs with random coefficients',
Computing and Visualization in Science, 14(1):3-15, 2011
link,
doi
- C. Bertolli, A. Betts, G.R. Mudalige, M.B. Giles, P.H.J. Kelly.
`Design and performance of the OP2 library for unstructured mesh applications',
Euro-Par 2011 Parallel Processing Workshops,
Lecture Notes in Computer Science, Springer, 2012.
link,
doi
- G.R. Mudalige, M.B. Giles, C. Bertolli, P.H.J. Kelly.
`Predictive modeling and analysis of OP2 on distributed memory GPU clusters'.
ACM SIGMETRICS Performance Evaluation Review,40(2):61-67, 2012.
link,
doi
- M.B. Giles, G.R. Mudalige, Z. Sharif, G. Markall, P.H.J. Kelly.
`Performance analysis and optimisation of the OP2 framework on
many-core architectures',
Computer Journal, 55(2):168-180, 2012
link,
doi
- G. Klingbeil, R. Erban, M. Giles, P.K. Maini.
`Fat vs. thin threading approach on GPUs: application
to stochastic simulation of chemical reactions'.
IEEE Transactions on Parallel and Distributed Systems,23(2):280-287, 2012.
link,
doi
- Y. Xia, M.B. Giles.
`Multilevel path simulation for jump-diffusion SDEs', pp.695-708 in
Monte Carlo and Quasi-Monte Carlo Methods 2010, Springer, 2012.
link,
doi
- S. Burgos, M.B. Giles.
`Computing Greeks using multilevel path simulation', pp.281-296 in
Monte Carlo and Quasi-Monte Carlo Methods 2010, Springer, 2012.
link,
doi
- G.A. Mudalige, M.B. Giles, I. Reguly, C. Bertolli, P.H.J. Kelly.
`OP2: An active library framework for solving unstructured mesh-based
applications on multi-core and many-core architectures', in
Innovative Parallel Computing (InPar), 2012, IEEE, 2012.
link,
doi
- I. Reguly, M.B. Giles.
`Efficient sparse matrix-vector multiplication on cache-based GPUs', in
Innovative Parallel Computing (InPar), 2012, IEEE, 2012.
link,
doi
- M.B. Giles, C. Reisinger.
`Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance',
SIAM Journal of Financial Mathematics, 3(1):572-592, 2012.
link,
doi
- L. Capriotti and M.B. Giles.
`Adjoint Greeks made easy',
RISK, 23(9):96-102, 2012.
link
- C. Bertolli, A. Betts, P.H.J. Kelly, G.R. Mudalige, and M.B. Giles.
`Mesh independent loop fusion for unstructured mesh applications',
ACM Proceedings of the 9th Conference on Computing Frontiers (CF'12),
pp.43-52. 2012.
link,
doi
- W. Armour, A. Karastergiou, M. Giles, C. Williams, A. Magro, K. Zagkouris,
S. Roberts, S. Salvini, F. Dulwich, B. Mort.
'A GPU-based survey for millisecond radio transients using ARTEMIS',
Astronomical Data Analysis Software and Systems XXI, 461:33-36, 2012.
link
- M. Serylak, A. Karastergiou, C. Williams, W. Armour, M. Giles.
`Observations of transients and pulsars with LOFAR international stations
and the ARTEMIS backend',
Proceedings of the International Astronomical Union,
8(S291):492-494, 2012.
link,
doi
- M.B. Giles, G.R. Mudalige, C. Bertolli, P.H.J. Kelly, E. Laszlo, I. Reguly.
`An analytical study of loop tiling for a large-scale unstructured mesh application',
High Performance Computing, Networking Storage and Analysis, SC 2012, pp. 477-482, 2012.
link,
doi
- M.B. Giles, G.R. Mudalige, B. Spencer, C. Bertolli, I. Reguly.
`Designing OP2 for GPU architectures',
Journal of Parallel and Distributed Computing, 73(11):1451-1460, 2013.
link,
doi
- A.L. Teckentrup, R. Scheichl, M.B. Giles, E. Ullmann.
`Further analysis of multilevel Monte Carlo methods for
elliptic PDEs with random coefficients',
Numerische Mathematik, 125(3):569-600, 2013.
link,
doi
- C. Bertolli, A. Betts, N. Loriant, G.R. Mudalige, D. Radford, D.A. Ham, M.B. Giles, and P.H.J. Kelly.
`Compiler optimizations for industrial unstructured mesh CFD applications on GPUs',
Languages and Compilers for Parallel Computing, pp.112-126, Springer, 2013.
link,
doi
- M.B. Giles, L. Szpruch.
`Multilevel Monte Carlo methods for applications in finance',
pp.3-48 in
Recent Developments in Computational Finance, World Scientific, 2013.
link,
doi
- M.B. Giles.
`Multilevel Monte Carlo methods', pp.83-103 in
Monte Carlo and Quasi-Monte Carlo Methods 2012, Springer, 2013.
link,
doi
- M.B. Giles, L. Szpruch.
`Antithetic multilevel Monte Carlo estimation for multidimensional SDEs',
pp.367-384 in
Monte Carlo and Quasi-Monte Carlo Methods 2012, Springer, 2013.
link,
doi
- G.R. Mudalige, M.B. Giles, J. Thiyagalingam, I. Reguly, C. Bertolli, P.H.J. Kelly and A.E. Trefethen.
`Design and initial performance of a high-level unstructured mesh framework
on heterogeneous parallel systems'.
Parallel Computing, 39(11):669-692, 2013.
link,
doi
- M.B. Giles, L. Szpruch.
'Antithetic multilevel Monte Carlo estimation for
multi-dimensional SDEs without Lévy area simulation',
Annals of Applied Probability, 24(4):1585-1620, 2014.
link,
doi
- M.B. Giles, I. Reguly.
`Trends in high performance computing for engineering calculations',
Proceedings of the Royal Society A, 372(2022), 2014.
link,
doi
- I.Z. Reguly, G.R. Mudalige, M.B. Giles, D. Curran, S. McIntosh-Smith.
'The OPS domain specific abstraction for multi-block structured grid computations'.
Fourth International Workshop on Domain-Specific Languages and High-Level
Frameworks for High Performance Computing (WOLFHPC '14), IEEE, 2014.
link,
doi
- G.R. Mudalige, I.Z. Reguly, M.B. Giles, A.C. Mallinson, W.P. Gaudin, J.A. Herdman.
'Performance analysis of a high-level abstractions-based hydrocode on
future computing systems'.
Fifth International Workshop on Performance Modeling, Benchmarking
and Simulation of High Performance Computing Systems (PMBS'14), IEEE, 2014.
link,
doi
- M.B. Giles, E. Laszlo, I. Reguly, J. Appleyard, J. Demouth.
'GPU implementation of finite difference solvers'.
Seventh Workshop on High Performance Computational Finance (WHPCF'14),
IEEE, 2014.
link,
doi
- C. Lester, C. Yates, M.B. Giles, R.E. Baker.
'An adaptive multi-level simulation algorithm for stochastic biological systems'.
Journal of Chemical Physics, 142(2), 2015.
link,
doi
- I. Reguly, M.B. Giles.
'Finite element algorithms and data structures on graphical processing units'.
International Journal of Parallel Programming, 43(2):203-239, 2015.
link,
doi
- M.B. Giles, T. Nagapetyan, K. Ritter.
'Multilevel Monte Carlo approximation of distribution functions and densities'.
SIAM/ASA Journal on Uncertainty Quantification, 3:267-295, 2015.
link,
doi
- E. Laszlo, Z. Nagy, M.B. Giles, I. Reguly, J. Appleyard, P. Szolgay.
'Analysis of parallel processor architectures for the
solution of the Black-Scholes PDE'.
2015 IEEE International Symposium on Circuits and Systems (ISCAS), IEEE, 2015.
link,
doi
- M.B. Giles.
'Multilevel Monte Carlo methods'.
Acta Numerica, 24:259-328, 2015.
link,
doi
- F. Vidal-Codina, N.C. Nguyen, M.B. Giles, J. Peraire.
'A model and variance reduction method for computing statistical
outputs of stochastic elliptic partial differential equations'.
Journal of Computational Physics, 297:700-720, 2015.
link,
doi
- M.B. Giles.
'Algorithm 955: Approximation of the inverse Poisson cumulative distribution function'.
ACM Transactions on Mathematical SOftware, 42(1):1-22, 2016.
link,
doi
- I.Z. Reguly, G.R. Mudalige, C. Bertolli, M.B. Giles, A. Betts,
P.H.J. Kelly, and D. Radford.
`Acceleration of a full-scale industrial CFD application with OP2',
IEEE Transactions on Parallel and Distributed Systems,
27(5):1265-1278, 2016.
link,
doi
- I.Z. Reguly, E. Laszlo, G.R. Mudalige, M.B. Giles.
`Vectorizing unstructured mesh computations for many-core architectures',
Concurrency and Computation: Practice and Experience, 28(2):557-577, 2016.
link,
doi
- F. Vidal-Codina, N.C. Nguyen, M.B. Giles, J. Peraire.
'An empirical interpolation and model-variance reduction
method for computing statistical outputs of parametrized
stochastic partial differential equations'.
SIAM/ASA Journal on Uncertainty Quantification, 4(1):244-265, 2016.
link,
doi
- M.B. Giles, C. Lester, J. Whittle.
'Non-nested adaptive timesteps in multilevel Monte Carlo computations'.
pp 303-314 in
Monte Carlo and Quasi-Monte Carlo Methods 2014, Springer, 2016.
link,
doi
- E. Laszlo, M.B. Giles, J. Appleyard.
'Manycore algorithms for batch scalar and block tridiagonal solvers'.
ACM Transactions on Mathematical Software, 42(4):1-36, 2016.
link,
doi
- C. Lester, R.E. Baker, M.B. Giles, C.A. Yates.
'Extending the multi-level method for the simulation of stochastic
biological systems'.
Bulletin of Mathematical Biology, 78(8):1640-1677, 2016.
link,
doi
- S.P. Jammy, G.R. Mudalige, I.Z. Reguly, N.D. Sandham, M.B. Giles.
'Block Structured compressible Navier Stokes solution using
the OPS high-level abstraction'.
International Journal of Computational Fluid Dynamics, 2016.
link,
doi
- M.B. Giles, Y. Xia.
'Multilevel Monte Carlo for exponential Lévy models'.
Finance and Stochastics, 21(4):995-1026, 2017.
link,
doi
- I.Z. Reguly, G.R. Mudalige, M.B. Giles.
'Beyond 16GB: Out-of-Core Stencil Computations'.
Proceedings of the Workshop on Memory Centric Programming for HPC,
20-29, ACM, 2017.
link,
doi
- G. Katsiolides, E.H. Muller, R. Scheichl, T. Shardlow, M.B. Giles, D.J. Thomson.
'Multilevel Monte Carlo and improved timestepping methods in
atmospheric dispersion modelling'.
Journal of Computational Physics, 354:320-343, 2018.
link,
doi
- I.Z. Reguly, G.R. Mudalige, M.B. Giles.
'Loop tiling in large-scale stencil codes at run-time with OPS'.
IEEE Transactions on Parallel and Distributed Systems, 29(4):873-886, 2018.
link,
doi
- M.B. Giles, F.Y. Kuo, I.H. Sloan.
'Combining sparse grids, multilevel MC and QMC for elliptic PDEs
with random coefficients'.
Monte Carlo and Quasi-Monte Carlo Methods 2016, Springer, 2018.
link,
doi
- W. Fang, M.B. Giles.
'Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift'.
Monte Carlo and Quasi-Monte Carlo Methods 2016, Springer, 2018.
link,
doi
- I.Z. Reguly, D. Giles, D. Gopinathan, L. Quivy, J.H. Beck,
M.B. Giles, S. Guillas, F. Dias.
'The VOLNA-OP2 Tsunami Code'.
Geoscientific Model Development, 11(11):4621-4635, 2018.
link,
doi
- M.B. Giles, F. Bernal.
'Multilevel estimation of expected exit times and other functionals
of stopped diffusions'.
SIAM/ASA Journal on Uncertainty Quantification, 6(4):1454-1474, 2018.
link,
doi
- M. Croci, M.B. Giles, M.E. Rognes, P.E. Farrell.
'Efficient white noise sampling and coupling for multilevel
Monte Carlo with non-nested meshes'.
SIAM/ASA Journal on Uncertainty Quantification,
6(4):1630-1655, 2018.
link,
doi
- M.B. Giles.
'MLMC for nested expectations'.
pp.425-442 in Contemporary Computational Mathematics - A Celebration of the
80th Birthday of Ian Sloan, Springer, 2018.
link,
doi
- M.B. Giles, T. Goda.
'Decision-making under uncertainty: using MLMC for efficient
estimation of EVPPI'.
Statistics and Computing, 29(4):739-751, 2019.
link,
doi
- M.B. Giles, M. Hefter, L. Mayer, K. Ritter.
'Random bit quadrature and approximation of distributions on Hilbert spaces'.
Foundations of Computational Mathematics, 19(1):205-238, 2019.
link,
doi
- M. Hernandez-Fernandez, I. Reguly, S. Jbabdi, M.B. Giles, S. Smith,
S.N. Sotiropoulosae.
'Using GPUs to accelerate computational diffusion MRI: from microstructure
estimation to tractography and connectomes'.
NeuroImage, 188:598-615, 2019.
link,
doi
- M.B. Giles, K. Debrabant, A. Roessler.
'Analysis of multilevel Monte Carlo path simulation using
the Milstein discretisation'.
Discrete and Continuous Dynamical Systems - series B,
24(8):3881-3903, 2019.
link,
doi
- I.Z. Reguly, G.R. Mudalige, M.B. Giles, S. Maheswaran.
Improving resilience of scientific software through a domain-specific approach'.
Journal of Parallel and Distributed Computing, 128:99-114, 2019.
link,
doi
- W. Fang, M.B. Giles.
'Multilevel Monte Carlo method for ergodic SDEs without contractivity'.
Journal of Mathematical Analysis and Applications, 476(1):149-176, 2019.
link,
doi
- M.B. Giles, A.L. Haji-Ali.
'Multilevel nested simulation for efficient risk estimation'.
SIAM/ASA Journal on Uncertainty Quantification, 7(2):497-525, 2019.
link,
doi
- G.R. Mudalige, S. Jammy, I.Z. Reguly, N. Sandham, M.B. Giles, C. Jacobs.
'Large-scale performance of a DSL-based multi-block structured-mesh application
for direct numerical simulation'.
Journal of Parallel and Distributed Computing, 131:130-146, 2019.
link,
doi
- M.B. Giles, M. Hefter, L. Mayer, K. Ritter.
'Random bit multilevel algorithms for stochastic differential equations'.
Journal of Complexity, 54:101395, 2019.
link,
doi
- M.B. Giles, M.B. Majka, L. Szpruch, S.J. Vollmer, K.C. Zygalakis.
'Multi-level Monte Carlo methods for the approximation of
invariant measures of stochastic differential equations'.
Statistics and Computing, 30(3):507-524, 2020.
link,
doi
- M.B. Giles, M. Hefter, L. Mayer, K. Ritter.
'An adaptive random bit multilevel algorithm for SDEs', in
Multivariate Algorithms and Information-Based Complexity,
De Gruyter, 2020.
link,
doi
- W. Fang, M.B. Giles.
'Adaptive Euler-Maruyama method for SDEs with non-globally Lipschitz drift'.
Annals of Applied Probability, 30(2):526-560, 2020.
link,
doi
- K. Adamek, S. Dimoudi, M.B. Giles, W. Armour.
'GPU fast convolution via the overlap-and-save method in shared memory'.
ACM Trans. Architecture and Code Optimization, 17(3):3394116, 2020.
link,
doi
- T. Hironaka, M.B. Giles, T. Goda, H. Thom.
'Multilevel Monte Carlo estimation of the expected value of sample information'.
SIAM/ASA Journal on Uncertainty Quantification, 8(3):1236-1259, 2020.
link,
doi
- M. Croci, M.B. Giles, P.E. Farrell.
'Multilevel quasi Monte Carlo methods for elliptic PDEs with random
field coefficients via fast white noise sampling'.
SIAM Journal on Scientific Computing,
43(4), A2840-A2868, 2021.
link,
doi
- W. Fang, M.B. Giles.
'Importance Sampling for Pathwise Sensitivity of Stochastic Chaotic Systems'.
SIAM/ASA Journal on Uncertainty Quantification, 9(3):1217-1241, 2021.
link,
doi
- W. Fang, Z. Wang, M.B. Giles, C.H. Jackson, N.J. Welton,
C. Andrieu, H. Thom.
'Multilevel and quasi Monte Carlo methods for the calculation
of the expected value of partial perfect information'.
Medical Decision Making, 42(2):168-181, 2022.
link,
doi
- M.B. Giles, O. Sheridan-Methven.
'Analysis of nested multilevel Monte Carlo using approximate Normal random variables'.
SIAM/ASA Journal on Uncertainty Quantification, 10(1):200-226, 2022.
link,
doi
- A.L. Haji-Ali, M.B. Giles.
'Sub-sampling and other considerations for efficient risk estimation in large portfolios'.
Journal of Computational Finance, 26(1), June 2022.
link,
doi
- M. Croci, M.B. Giles.
'Effects of round-to-nearest and stochastic rounding in the
numerical solution of the heat equation in low precision'.
IMA Journal for Numerical Analysis, 43(3):1358-1390, 2023.
link,
doi
- M.B. Giles, O. Sheridan-Methven.
'Approximating inverse cumulative distribution functions to produce
approximate random variables'.
ACM Transactions on Mathematical Software, 49(3):1-29, 2023.
link,
doi
- J. Novotny, K. Adamek, M.A. Clark, M. Giles, W. Armour.
'Accelerating dedispersion using many-core architectures'.
Astrophysical Journal, Supplement Series, 269(1):29, 2023.
link,
doi
- L. Capriotti and M.B. Giles.
'15 years of adjoint algorithmic differentiation in finance'.
Quantitative Finance, online March 2024.
link,
doi
- M.B. Giles.
'MLMC techniques for discontinuous functions'.
Monte Carlo and Quasi-Monte Carlo Methods 2022, Springer,
2024.
link,
doi
- O. Sheridan-Methven, M.B. Giles.
'Rounding error using low precision approximate random variables'.
SIAM Journal on Scientific Computing, 46(4):B502-B526, 2024.
link,
doi
- M.B. Giles, A.L. Haji-Ali.
'Multilevel path branching for digital options'.
Annals of Applied Probability, 34(5):4836-4862, 2024.
link,
doi