Related papers: General multilevel adaptations for stochastic appr…
We consider a class of finite time horizon nonlinear stochastic optimal control problem, where the control acts additively on the dynamics and the control cost is quadratic. This framework is flexible and has found applications in many…
In recent years dynamical systems (of deterministic and stochastic nature), describing many models in mathematics, physics, engineering and finances, become more and more complex. Numerical analysis narrowed only to deterministic algorithms…
Many problems require to approximate an expected value by some kind of Monte Carlo (MC) sampling, e.g. molecular dynamics (MD) or simulation of stochastic reaction models (also termed kinetic Monte Carlo (kMC)). Often, we are furthermore…
In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an…
We present an adaptive multilevel Monte Carlo (AMLMC) algorithm for approximating deterministic, real-valued, bounded linear functionals that depend on the solution of a linear elliptic PDE with a lognormal diffusivity coefficient and…
We propose a new least-squares Monte Carlo algorithm for the approximation of conditional expectations in the presence of stochastic derivative weights. The algorithm can serve as a building block for solving dynamic programming equations,…
This manuscript presents a framework for using multilevel quadrature formulae to compute the solution of optimal control problems constrained by random partial differential equations. Our approach consists in solving a sequence of optimal…
We consider the estimation of the slope function in functional linear regression, where scalar responses are modeled in dependence of random functions. Cardot and Johannes [J. Multivariate Anal. 101 (2010) 395-408] have shown that a…
This paper investigates projection-free algorithms for stochastic constrained multi-level optimization. In this context, the objective function is a nested composition of several smooth functions, and the decision set is closed and convex.…
We introduce a derivative-free global optimization algorithm that efficiently computes minima for various classes of one-dimensional functions, including non-convex, and non-smooth functions.This algorithm numerically approximates the…
The Active Subspace (AS) method is a widely used technique for identifying the most influential directions in high-dimensional input spaces that affect the output of a computational model. The standard AS algorithm requires a sufficient…
Many large-scale constrained optimization problems can be formulated as bilevel distributed optimization tasks over undirected networks, where agents collaborate to minimize a global cost function while adhering to constraints, relying only…
Stochastic gradient Markov chain Monte Carlo (SG-MCMC) methods are Bayesian analogs to popular stochastic optimization methods; however, this connection is not well studied. We explore this relationship by applying simulated annealing to an…
We consider the problem of numerically estimating expectations of solutions to stochastic differential equations driven by Brownian motions in the commonly occurring small noise regime. We consider (i) standard Monte Carlo methods combined…
The efficient approximation of quantity of interest derived from PDEs with lognormal diffusivity is a central challenge in uncertainty quantification. In this study, we propose a multilevel quasi-Monte Carlo framework to approximate…
We consider convex stochastic optimization problems under different assumptions on the properties of available stochastic subgradient. It is known that, if the value of the objective function is available, one can obtain, in parallel,…
Stochastic modeling of reaction networks is a framework used to describe the time evolution of many natural and artificial systems, including, biochemical reactive systems at the molecular level, viral kinetics, the spread of epidemic…
We consider the regression problem of estimating functions on $\mathbb{R}^D$ but supported on a $d$-dimensional manifold $ \mathcal{M} \subset \mathbb{R}^D $ with $ d \ll D $. Drawing ideas from multi-resolution analysis and nonlinear…
We study adaptive approximation algorithms for general multivariate linear problems where the sets of input functions are non-convex cones. While it is known that adaptive algorithms perform essentially no better than non-adaptive…
Low Rank Approximation is among most fundamental subjects of numerical linear algebra having important applications to various areas of modern computing and %they range from machine learning theory and %neural networks to data mining and…