Related papers: Adaptive selection of sampling points for Uncertai…
We present an adaptive algorithm for the computation of quantities of interest involving the solution of a stochastic elliptic PDE where the diffusion coefficient is parametrized by means of a Karhunen-Lo\`eve expansion. The approximation…
We consider chance-constrained problems with discrete random distribution. We aim for problems with a large number of scenarios. We propose a novel method based on the stochastic gradient descent method which performs updates of the…
Much of uncertainty quantification to date has focused on determining the effect of variables modeled probabilistically, and with a known distribution, on some physical or engineering system. We develop methods to obtain information on the…
Most approximation methods in high dimensions exploit smoothness of the function being approximated. These methods provide poor convergence results for non-smooth functions with kinks. For example, such kinks can arise in the uncertainty…
Robust estimation for modern portfolio selection on a large set of assets becomes more important due to large deviation of empirical inference on big data. We propose a distributionally robust methodology for high-dimensional mean-variance…
In solving simulation-based stochastic root-finding or optimization problems that involve rare events, such as in extreme quantile estimation, running crude Monte Carlo can be prohibitively inefficient. To address this issue, importance…
A new method called "variational sampling" is proposed to estimate integrals under probability distributions that can be evaluated up to a normalizing constant. The key idea is to fit the target distribution with an exponential family model…
Compressive sampling has become a widely used approach to construct polynomial chaos surrogates when the number of available simulation samples is limited. Originally, these expensive simulation samples would be obtained at random locations…
Bayesian inference with Markov Chain Monte Carlo (MCMC) is challenging when the likelihood function is irregular and expensive to compute. We explore several sampling algorithms that make use of subset evaluations to reduce computational…
This article describes a model and an exact solution method for facility location problems with decision-dependent uncertainties. The model allows characterizing the probability distribution of the random elements as a function of the…
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i) we provide approximations by finite…
Uncertainty Quantification (UQ) is essential in probabilistic machine learning models, particularly for assessing the reliability of predictions. In this paper, we present a systematic framework for estimating both epistemic and aleatoric…
This article is concerned with the mathematical analysis of a family of adaptive importance sampling algorithms applied to diffusion processes. These methods, referred to as Adaptive Biasing Potential methods, are designed to efficiently…
In the study of natural and artificial complex systems, responses that are not completely determined by the considered decision variables are commonly modelled probabilistically, resulting in response distributions varying across decision…
We study the empirical likelihood approach to construct confidence intervals for the optimal value and the optimality gap of a given solution, henceforth quantify the statistical uncertainty of sample average approximation, for optimization…
Modern statistical inference tasks often require iterative optimization methods to compute the solution. Convergence analysis from an optimization viewpoint only informs us how well the solution is approximated numerically but overlooks the…
Computational models support high-stakes decisions across engineering and science, and practitioners increasingly seek probabilistic predictions to quantify uncertainty in such models. Existing approaches generate predictions either by…
We consider stochastic zero-order optimization problems, which arise in settings from simulation optimization to reinforcement learning. We propose an adaptive sampling quasi-Newton method where we estimate the gradients of a stochastic…
The need to estimate a particular quantile of a distribution is an important problem which frequently arises in many computer vision and signal processing applications. For example, our work was motivated by the requirements of many…
This paper investigates adaptive importance sampling algorithms for which the policy, the sequence of distributions used to generate the particles, is a mixture distribution between a flexible kernel density estimate (based on the previous…