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The Pairwise Markov Chain (PMC) is a probabilistic graphical model extending the well-known Hidden Markov Model. This model, although highly effective for many tasks, has been scarcely utilized for continuous value prediction. This is…
Pauli Check Sandwiching (PCS) is an error detection scheme that protects quantum circuits by inserting pairs of parity checks and discarding runs that signal errors. However, each additional check introduces noise and exponentially…
As non-institutive polynomial chaos expansion (PCE) techniques have gained growing popularity among researchers, we here provide a comprehensive review of major sampling strategies for the least squares based PCE. Traditional sampling…
We propose a Dynamical generalized Polynomial Chaos (DgPC) method to solve time-dependent stochastic partial differential equations (SPDEs) with white noise forcing. The long-time simulation of SPDE solutions by Polynomial Chaos (PC)…
Due to significant manufacturing process variations, the performance of integrated circuits (ICs) has become increasingly uncertain. Such uncertainties must be carefully quantified with efficient stochastic circuit simulators. This paper…
Sampling orthogonal polynomial bases via Monte Carlo is of interest for uncertainty quantification of models with high-dimensional random inputs, using Polynomial Chaos (PC) expansions. It is known that bounding a probabilistic parameter,…
We present a new approach for constructing a data-driven surrogate model and using it for Bayesian parameter estimation in partial differential equation (PDE) models. We first use parameter observations and Gaussian Process regression to…
Robustness analysis is very important in biology and neuroscience, to unravel behavioural patterns of systems that are conserved despite large parametric uncertainties. To make studies of probabilistic robustness more efficient and scalable…
In this contribution, we discuss the construction of Polynomial Chaos surrogates for Monte Carlo radiation transport applications via non-intrusive spectral projection. This contribution focuses on improvements with respect to the approach…
The Stochastic Series Expansion method (SSE) is a Quantum Monte Carlo (QMC) technique working directly in the imaginary time continuum and thus avoiding "Trotter discretization" errors. Using a non-local "operator-loop update" it allows…
Dimensionally decomposed generalized polynomial chaos expansion (DD-GPCE) efficiently performs forward uncertainty quantification (UQ) in complex engineering systems with high-dimensional random inputs of arbitrary distributions. However,…
We introduce a general class of stochastic processes driven by a multifractional Brownian motion (mBm) and study the estimation problems of their pointwise H\"older exponents (PHE) based on a new localized generalized quadratic variation…
Recent advances in the fields of robotics and automation have spurred significant interest in robust state estimation. To enable robust state estimation, several methodologies have been proposed. One such technique, which has shown…
Fractional calculus provides a rigorous mathematical framework to describe anomalous stochastic processes by generalizing the notion of classical differential equations to their fractional-order counterparts. By introducing the fractional…
In a Bayesian setting, inverse problems and uncertainty quantification (UQ) - the propagation of uncertainty through a computational (forward) model - are strongly connected. In the form of conditional expectation the Bayesian update…
The non-intrusive generalized Polynomial Chaos (gPC) method is a popular computational approach for solving partial differential equations (PDEs) with random inputs. The main hurdle preventing its efficient direct application for…
The classical Feynman-Kac formula states the connection between linear parabolic partial differential equations (PDEs), like the heat equation, and expectation of stochastic processes driven by Brownian motion. It gives then a method for…
In recent studies on model-based reinforcement learning (MBRL), incorporating uncertainty in forward dynamics is a state-of-the-art strategy to enhance learning performance, making MBRLs competitive to cutting-edge model free methods,…
Constructing surrogate models for uncertainty quantification (UQ) on complex partial differential equations (PDEs) having inherently high-dimensional $\mathcal{O}(10^{\ge 2})$ stochastic inputs (e.g., forcing terms, boundary conditions,…
In this article, we propose a new numerical approach to high-dimensional partial differential equations (PDEs) arising in the valuation of exotic derivative securities. The proposed method is extended from Reisinger and Wittum (2007) and…