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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 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 consider an elliptic partial differential equation in non-divergence form with a random diffusion matrix and random forcing term. To address this, we propose a mixed-type continuous finite element discretization in the physical domain,…
We introduce a novel framework for implementing error-correction in constrained systems. The main idea of our scheme, called Quantized-Constraint Concatenation (QCC), is to employ a process of embedding the codewords of an error-correcting…
We consider the application of multilevel Monte Carlo methods to elliptic PDEs with random coefficients. We focus on models of the random coefficient that lack uniform ellipticity and boundedness with respect to the random parameter, and…
We explore a linear inhomogeneous elasticity equation with random Lam\'e parameters. The latter are parameterized by a countably infinite number of terms in separated expansions. The main aim of this work is to estimate expected values…
The study further explores randomized QMC (RQMC), which maintains the QMC convergence rate and facilitates computational efficiency analysis. Emphasis is laid on integrating randomly shifted lattice rules, a distinct RQMC quadrature, with…
Nested integration of the form $\int f\left(\int g(\bs{y},\bs{x})\di{}\bs{x}\right)\di{}\bs{y}$, characterized by an outer integral connected to an inner integral through a nonlinear function $f$, is a challenging problem in various fields,…
Deep learning methods have achieved great success in solving partial differential equations (PDEs), where the loss is often defined as an integral. The accuracy and efficiency of these algorithms depend greatly on the quadrature method. We…
One of the tasks in color image processing and computer vision is to recover clean data from partial observations corrupted by noise. To this end, robust quaternion matrix completion (QMC) has recently attracted more attention and shown its…
Partial differential equation is a powerful tool to characterize various physics systems. In practice, measurement errors are often present and probability models are employed to account for such uncertainties. In this paper, we present a…
We propose and analyze a quasi-Monte Carlo (QMC) algorithm for efficient simulation of wave propagation modeled by the Helmholtz equation in a bounded region in which the refractive index is random and spatially heterogenous. Our focus is…
Markov Chain Monte Carlo (MCMC) methods are algorithms for sampling probability distributions, commonly applied to the Boltzmann distribution in physical and chemical models such as protein folding and the Ising model. These methods enable…
The Multilevel Monte Carlo (MLMC) method has proven to be an effective variance-reduction statistical method for Uncertainty Quantification (UQ) in Partial Differential Equation (PDE) models, combining model computations at different levels…
We overview a series of recent works addressing numerical simulations of partial differential equations in the presence of some elements of randomness. The specific equations manipulated are linear elliptic, and arise in the context of…
In this paper, we study quasi-Monte Carlo (QMC) integration in weighted Sobolev spaces. In contrast to many previous results the QMC algorithms considered here are of open type, i.e., they are extensible in the number of sample points…
This study presents a comparative analysis of Monte Carlo (MC) and quasi-Monte Carlo (QMC) methods in the context of derivative pricing, emphasizing convergence rates and the curse of dimensionality. After a concise overview of traditional…
Monte Carlo (MC) integration has been employed as the standard approximation method for the Sliced Wasserstein (SW) distance, whose analytical expression involves an intractable expectation. However, MC integration is not optimal in terms…
In this article we consider a Bayesian inverse problem associated to elliptic partial differential equations (PDEs) in two and three dimensions. This class of inverse problems is important in applications such as hydrology, but the…
One bottleneck of quantum Monte Carlo (QMC) simulation of strongly correlated electron systems lies at the scaling relation of computational complexity with respect to the system sizes. For generic lattice models of interacting fermions,…