Related papers: Full version: An evaluation of estimation techniqu…
Importance sampling Monte-Carlo methods are widely used for the approximation of expectations with respect to partially known probability measures. In this paper we study a deterministic version of such an estimator based on quasi-Monte…
We propose a novel Continuation Multi Level Monte Carlo (CMLMC) algorithm for weak approximation of stochastic models. The CMLMC algorithm solves the given approximation problem for a sequence of decreasing tolerances, ending when the…
We study quasi-Monte Carlo (QMC) integration over the multi-dimensional unit cube in several weighted function spaces with different smoothness classes. We consider approximating the integral of a function by the median of several integral…
We design and implement a novel algorithm for computing a multilevel Monte Carlo (MLMC) estimator of the cumulative distribution function of a quantity of interest in problems with random input parameters or initial conditions. Our approach…
The literature in social network analysis has largely focused on methods and models which require complete network data; however there exist many networks which can only be studied via sampling methods due to the scale or complexity of the…
We present two data-driven methods for estimating reachable sets with probabilistic guarantees. Both methods make use of a probabilistic formulation allowing for a formal definition of a data-driven reachable set approximation that is…
In this survey paper we discuss some tools and methods which are of use in quasi-Monte Carlo (QMC) theory. We group them in chapters on Numerical Analysis, Harmonic Analysis, Algebra and Number Theory, and Probability Theory. We do not…
Monte Carlo (MC) and Quasi-Monte Carlo (QMC) methods are classical approaches for the numerical integration of functions $f$ over $[0,1]^d$. While QMC methods can achieve faster convergence rates than MC in moderate dimensions, their…
In this paper we propose to evaluate and compare Markov chain Monte Carlo (MCMC) methods to estimate the parameters in a generalized extreme value model. We employed the Bayesian approach using traditional Metropolis-Hastings methods,…
The expectation-maximization (EM) algorithm is a powerful computational technique for finding the maximum likelihood estimates for parametric models when the data are not fully observed. The EM is best suited for situations where the…
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 develop an algorithm for computing bounded reachability probability for hybrid systems, i.e., the probability that the system reaches an unsafe region within a finite number of discrete transitions. In particular, we focus on hybrid…
In this work, we show that uniform integrability is not a necessary condition for central limit theorems (CLT) to hold for normalized multilevel Monte Carlo (MLMC) estimators and we provide near optimal weaker conditions under which the CLT…
Sequential Monte Carlo (SMC) methods, also known as particle filters, constitute a class of algorithms used to approximate expectations with respect to a sequence of probability distributions as well as the normalising constants of those…
Demand for high-performance, robust, and safe autonomous systems has grown substantially in recent years. These objectives motivate the desire for efficient safety-theoretic reasoning that can be embedded in core decision-making tasks such…
We propose quantum algorithms that provide provable speedups for Markov Chain Monte Carlo (MCMC) methods commonly used for sampling from probability distributions of the form $\pi \propto e^{-f}$, where $f$ is a potential function. Our…
Langevin Monte Carlo (LMC) and its stochastic gradient versions are powerful algorithms for sampling from complex high-dimensional distributions. To sample from a distribution with density $\pi(\theta)\propto \exp(-U(\theta)) $, LMC…
This article reviews the application of advanced Monte Carlo techniques in the context of Multilevel Monte Carlo (MLMC). MLMC is a strategy employed to compute expectations which can be biased in some sense, for instance, by using the…
Efficient uncertainty quantification algorithms are key to understand the propagation of uncertainty -- from uncertain input parameters to uncertain output quantities -- in high resolution mathematical models of brain physiology. Advanced…
Uncertainty quantification (UQ) includes the characterization, integration, and propagation of uncertainties that result from stochastic variations and a lack of knowledge or data in the natural world. Monte Carlo (MC) method is a…