Related papers: Decision-making under uncertainty: using MLMC for …
We consider the problem of estimating expectations with respect to a target distribution with an unknown normalizing constant, and where even the unnormalized target needs to be approximated at finite resolution. This setting is ubiquitous…
Because of their robustness, efficiency and non-intrusiveness, Monte Carlo methods are probably the most popular approach in uncertainty quantification to computing expected values of quantities of interest (QoIs). Multilevel Monte Carlo…
Monte Carlo approximations for random linear elliptic PDE constrained optimization problems are studied. We use empirical process theory to obtain best possible mean convergence rates $O(n^{-\frac{1}{2}})$ for optimal values and solutions,…
Objective: The Expected Value of Sample Information (EVSI) quantifies the economic benefit of reducing uncertainty in a health economic model by collecting additional information. This has the potential to improve the allocation of research…
A method for the multifidelity Monte Carlo (MFMC) estimation of statistical quantities is proposed which is applicable to computational budgets of any size. Based on a sequence of optimization problems each with a globally minimizing…
We study statistical model checking of continuous-time stochastic hybrid systems. The challenge in applying statistical model checking to these systems is that one cannot simulate such systems exactly. We employ the multilevel Monte Carlo…
We propose a Multilevel Monte-Carlo (MLMC) method for computing entropy measure valued solutions of hyperbolic conservation laws. Sharp bounds for the narrow convergence of MLMC for the entropy measure valued solutions are proposed. An…
In this article, we present a review of the recent developments on the topic of Multilevel Monte Carlo (MLMC) algorithm, in the paradigm of applications in financial engineering. We specifically focus on the recent studies conducted in two…
Motivated by various computational applications, we investigate the problem of estimating nested expectations. Building upon recent work by the authors, we propose a novel Monte Carlo estimator for nested expectations, inspired by sparse…
We establish a notion of random entropy solution for degenerate fractional conservation laws incorporating randomness in the initial data, convective flux and diffusive flux. In order to quantify the solution uncertainty, we design a…
While generally considered computationally expensive, Uncertainty Quantification using Monte Carlo sampling remains beneficial for applications with uncertainties of high dimension. As an extension of the naive Monte Carlo method, the…
While multilevel Monte Carlo (MLMC) methods for the numerical approximation of partial differential equations with random coefficients enjoy great popularity, combinations with spatial adaptivity seem to be rare. We present an adaptive MLMC…
Estimating nested expectations is an important task in computational mathematics and statistics. In this paper we propose a new Monte Carlo method using post-stratification to estimate nested expectations efficiently without taking samples…
The multilevel Monte Carlo (MLMC) method has proven to be an effective variance-reduction statistical method for Uncertainty quantification in PDE models. It combines approximations at different levels of accuracy using a hierarchy of…
This article presents a novel approach, named MCMP (Monte Carlo Motion Planning), to the problem of motion planning under uncertainty, i.e., to the problem of computing a low-cost path that fulfills probabilistic collision avoidance…
The Multilevel Monte Carlo (MLMC) approach usually works well when estimating the expected value of a quantity which is a Lipschitz function of intermediate quantities, but if it is a discontinuous function it can lead to a much slower…
Optimization is a key tool for scientific and engineering applications, however, in the presence of models affected by uncertainty, the optimization formulation needs to be extended to consider statistics of the quantity of interest.…
The approximative calculation of iterated nested expectations is a recurring challenging problem in applications. Nested expectations appear, for example, in the numerical approximation of solutions of backward stochastic differential…
Practitioners of Bayesian statistics have long depended on Markov chain Monte Carlo (MCMC) to obtain samples from intractable posterior distributions. Unfortunately, MCMC algorithms are typically serial, and do not scale to the large…
General elliptic equations with spatially discontinuous diffusion coefficients may be used as a simplified model for subsurface flow in heterogeneous or fractured porous media. In such a model, data sparsity and measurement errors are often…