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This work presents an efficient approach for accelerating multilevel Markov Chain Monte Carlo (MCMC) sampling for large-scale problems using low-fidelity machine learning models. While conventional techniques for large-scale Bayesian…
Building on previous research which generalized multilevel Monte Carlo methods using either sparse grids or Quasi-Monte Carlo methods, this paper considers the combination of all these ideas applied to elliptic PDEs with finite-dimensional…
The computational complexity of naive, sampling-based uncertainty quantification for 3D partial differential equations is extremely high. Multilevel approaches, such as multilevel Monte Carlo (MLMC), can reduce the complexity significantly,…
Fredholm integral equations of the first kind are the prototypical example of ill-posed linear inverse problems. They model, among other things, reconstruction of distorted noisy observations and indirect density estimation and also appear…
Probabilistic prediction of sequences from images and other high-dimensional data is a key challenge, particularly in risk-sensitive applications. In these settings, it is often desirable to quantify the uncertainty associated with the…
Models incorporating uncertain inputs, such as random forces or material parameters, have been of increasing interest in PDE-constrained optimization. In this paper, we focus on the efficient numerical minimization of a convex and smooth…
In this paper we discuss the possibility of using multilevel Monte Carlo (MLMC) methods for weak approximation schemes. It turns out that by means of a simple coupling between consecutive time discretisation levels, one can achieve the same…
We propose a multilevel Markov chain Monte Carlo (MCMC) method for the Bayesian inference of random field parameters in PDEs using high-resolution data. Compared to existing multilevel MCMC methods, we additionally consider level-dependent…
We propose and analyze a novel Multi-Index Monte Carlo (MIMC) method for weak approximation of stochastic models that are described in terms of differential equations either driven by random measures or with random coefficients. The MIMC…
In this paper, we investigate the use of multilevel Monte Carlo (MLMC) methods for estimating the expectation of discretized random fields. Specifically, we consider a setting in which the input and output vectors of numerical simulators…
Partial differential equations (PDEs) with spatially-varying coefficients arise throughout science and engineering, modeling rich heterogeneous material behavior. Yet conventional PDE solvers struggle with the immense complexity found in…
The estimation of distributed parameters in partial differential equations (PDE) from measures of the solution of the PDE may lead to under-determination problems. The choice of a parameterization is a usual way of adding a-priori…
Probabilistic inference in the hybrid domain, i.e. inference over discrete-continuous domains, requires tackling two well known #P-hard problems 1)~weighted model counting (WMC) over discrete variables and 2)~integration over continuous…
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…
In this paper, we design a novel algorithm based on Least-Squares Monte Carlo (LSMC) in order to approximate the solution of discrete time Backward Stochastic Differential Equations (BSDEs). Our algorithm allows massive parallelization of…
The efficient evaluation of high-dimensional integrals is of importance in both theoretical and practical fields of science, such as data science, statistical physics, and machine learning. However, exact computation methods suffer from the…
We consider the application of multilevel Monte Carlo methods to steady state Darcy flow in a random porous medium, described mathematically by elliptic partial differential equations with random coefficients. The levels in the multilevel…
We analyse a multilevel Monte Carlo method for the approximation of distribution functions of univariate random variables. Since, by assumption, the target distribution is not known explicitly, approximations have to be used. We provide an…
Nested integration problems arise in various scientific and engineering applications, including Bayesian experimental design, financial risk assessment, and uncertainty quantification. These nested integrals take the form $\int f\left(\int…
Nested Monte Carlo is widely used for risk estimation, but its efficiency is limited by the discontinuity of the indicator function and high computational cost. This paper proposes a nested Multilevel Monte Carlo (MLMC) method combined with…