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We propose a new Monte Carlo method for sampling from multimodal distributions. The idea of this technique is based on splitting the task into two: finding the modes of a target distribution $\pi$ and sampling, given the knowledge of the…
This work presents the convergence rate analysis of stochastic variants of the broad class of direct-search methods of directional type. It introduces an algorithm designed to optimize differentiable objective functions $f$ whose values can…
The motivation for this paper stems from the desire to develop an adaptive sampling method for solving constrained optimization problems in which the objective function is stochastic and the constraints are deterministic. The method…
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…
This paper focuses on variational inference with intractable likelihood functions that can be unbiasedly estimated. A flexible variational approximation based on Gaussian mixtures is developed, by adopting the mixture population Monte Carlo…
The Monte Carlo dropout method has proved to be a scalable and easy-to-use approach for estimating the uncertainty of deep neural network predictions. This approach was recently applied to Fault Detection and Di-agnosis (FDD) applications…
This paper considers the efficient minimization of the infinite time average of a stationary ergodic process in the space of a handful of design parameters which affect it. Problems of this class, derived from physical or numerical…
In this paper, we present a method for the accurate estimation of the derivative (aka.~sensitivity) of expectations of functions involving an indicator function by combining a stochastic algorithmic differentiation and a regression. The…
The problem of approximating smooth, multivariate functions from sample points arises in many applications in scientific computing, e.g., in computational Uncertainty Quantification (UQ) for science and engineering. In these applications,…
Reliability-based design optimization (RBDO) provides a rational and sound framework for finding the optimal design while taking uncertainties into ac-count. The main issue in implementing RBDO methods, particularly stochastic simu-lation…
A fully stochastic second-order adaptive-regularization method for unconstrained nonconvex optimization is presented which never computes the objective-function value, but yet achieves the optimal $\mathcal{O}(\epsilon^{-3/2})$ complexity…
We propose a stochastic first-order trust-region method with inexact function and gradient evaluations for solving finite-sum minimization problems. Using a suitable reformulation of the given problem, our method combines the inexact…
In this report, we study decentralized stochastic optimization to minimize a sum of smooth and strongly convex cost functions when the functions are distributed over a directed network of nodes. In contrast to the existing work, we use…
Robust inference for stochastic dynamical systems is often hampered by sparse sampling and the absence of closed-form likelihoods. We introduce a Monte Carlo path-inference framework that leverages full-path statistics and bridge processes…
In this paper, we propose and analyse a family of generalised stochastic composite mirror descent algorithms. With adaptive step sizes, the proposed algorithms converge without requiring prior knowledge of the problem. Combined with an…
We construct a new framework for accelerating Markov chain Monte Carlo in posterior sampling problems where standard methods are limited by the computational cost of the likelihood, or of numerical models embedded therein. Our approach…
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 theme of the present paper is numerical integration of $C^r$ functions using randomized methods. We consider variance reduction methods that consist in two steps. First the initial interval is partitioned into subintervals and the…
The trace of a matrix function f(A), most notably of the matrix inverse, can be estimated stochastically using samples< x,f(A)x> if the components of the random vectors x obey an appropriate probability distribution. However such a…
Context. Adaptive optics (AO) is now a tool commonly deployed in astronomy. The real time correction of the atmospheric turbulence that AO enables allows telescopes to perform close to the diffraction limit at the core of their point spread…