Related papers: Multilevel Monte Carlo for uncertainty quantificat…
In this paper, we examine the Sample Average Approximation (SAA) procedure within a framework where the Monte Carlo estimator of the expectation is biased. We also introduce Multilevel Monte Carlo (MLMC) in the SAA setup to enhance the…
Computing systems interacting with real-world processes must safely and reliably process uncertain data. The Monte Carlo method is a popular approach for computing with such uncertain values. This article introduces a framework for…
This paper presents two novel ensemble domain decomposition methods for fast-solving the Stokes-Darcy coupled models with random hydraulic conductivity and body force. To address such random systems, we employ the Monte Carlo (MC) method to…
Machine learning models have emerged as a very effective strategy to sidestep time-consuming electronic-structure calculations, enabling accurate simulations of greater size, time scale and complexity. Given the interpolative nature of…
Monte Carlo (MC) sampling is a popular method for estimating the statistics (e.g. expectation and variance) of a random variable. Its slow convergence has led to the emergence of advanced techniques to reduce the variance of the MC…
The Multilevel Monte Carlo method is an efficient variance reduction technique. It uses a sequence of coarse approximations to reduce the computational cost in uncertainty quantification applications. The method is nowadays often considered…
We propose and analyze a method for computing failure probabilities of systems modeled as numerical deterministic models (e.g., PDEs) with uncertain input data. A failure occurs when a functional of the solution to the model is below (or…
The development of efficient numerical methods for kinetic equations with stochastic parameters is a challenge due to the high dimensionality of the problem. Recently we introduced a multiscale control variate strategy which is capable to…
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.…
Macroscopically heterogeneous materials, characterised mostly by comparable heterogeneity lengthscale and structural sizes, can no longer be modelled by deterministic approach instead. It is convenient to introduce stochastic approach with…
In the study of complex systems, evaluating physical observables often requires sampling representative configurations via Monte Carlo techniques. These methods rely on repeated evaluations of the system's energy and force fields, which can…
This paper develops a novel sequential Monte Carlo (SMC) approach for joint state and parameter estimation that can deal efficiently with abruptly changing parameters which is a common case when tracking maneuvering targets. The approach…
While kinetic Monte Carlo simulations can provide long-time simulations of the dynamics of physical and chemical systems, it is not yet possible in general to identify the inverse Monte Carlo attempt frequency with a physical timescale.…
Bayesian analysis often concerns an evaluation of models with different dimensionality as is necessary in, for example, model selection or mixture models. To facilitate this evaluation, transdimensional Markov chain Monte Carlo (MCMC)…
In this paper we address the problem of the prohibitively large computational cost of existing Markov chain Monte Carlo methods for large--scale applications with high dimensional parameter spaces, e.g. in uncertainty quantification in…
We describe and analyze some Monte Carlo methods for manifolds in Euclidean space defined by equality and inequality constraints. First, we give an MCMC sampler for probability distributions defined by un-normalized densities on such…
Uncertainty assessment has gained rapid interest in medical image analysis. A popular technique to compute epistemic uncertainty is the Monte-Carlo (MC) dropout technique. From a network with MC dropout and a single input, multiple outputs…
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…
Monte Carlo simulations of quantum field theories on a lattice become increasingly expensive as the continuum limit is approached since the cost per independent sample grows with a high power of the inverse lattice spacing. Simulations on…
Metamodels, or the regression analysis of Monte Carlo simulation results, provide a powerful tool to summarize simulation findings. However, an underutilized approach is the multilevel metamodel (MLMM) that accounts for the dependent data…