Related papers: Multilevel Double Loop Monte Carlo and Stochastic …
In this paper we propose an efficient stochastic optimization algorithm to search for Bayesian experimental designs such that the expected information gain is maximized. The gradient of the expected information gain with respect to…
The expected information gain is an important quality criterion of Bayesian experimental designs, which measures how much the information entropy about uncertain quantity of interest $\theta$ is reduced on average by collecting relevant…
In this article we consider the approximation of expectations w.r.t. probability distributions associated to the solution of partial differential equations (PDEs); this scenario appears routinely in Bayesian inverse problems. In practice,…
In this paper, we propose a new stochastic optimization algorithm for Bayesian inference based on multilevel Monte Carlo (MLMC) methods. In Bayesian statistics, biased estimators of the model evidence have been often used as stochastic…
In calculating expected information gain in optimal Bayesian experimental design, the computation of the inner loop in the classical double-loop Monte Carlo requires a large number of samples and suffers from underflow if the number of…
In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an…
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 leverage multilevel Monte Carlo (MLMC) to improve the performance of multi-step look-ahead Bayesian optimization (BO) methods that involve nested expectations and maximizations. Often these expectations must be computed by Monte Carlo…
We study Monte Carlo estimation of the expected value of sample information (EVSI) which measures the expected benefit of gaining additional information for decision making under uncertainty. EVSI is defined as a nested expectation in which…
Stochastic collocation methods for approximating the solution of partial differential equations with random input data (e.g., coefficients and forcing terms) suffer from the curse of dimensionality whereby increases in the stochastic…
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…
This paper addresses optimization problems constrained by partial differential equations with uncertain coefficients. In particular, the robust control problem and the average control problem are considered for a tracking type cost…
We develop a framework that allows the use of the multi-level Monte Carlo (MLMC) methodology (Giles2015) to calculate expectations with respect to the invariant measure of an ergodic SDE. In that context, we study the (over-damped) Langevin…
In this paper, we evaluate the performance of the multilevel Monte Carlo method (MLMC) for deterministic and uncertain hyperbolic systems, where randomness is introduced either in the modeling parameters or in the approximation algorithms.…
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…
A common way to simulate the transport and spread of pollutants in the atmosphere is via stochastic Lagrangian dispersion models. Mathematically, these models describe turbulent transport processes with stochastic differential equations…
In this work, we propose a smart idea to couple importance sampling and Multilevel Monte Carlo (MLMC). We advocate a per level approach with as many importance sampling parameters as the number of levels, which enables us to compute the…
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,…
This manuscript presents a framework for using multilevel quadrature formulae to compute the solution of optimal control problems constrained by random partial differential equations. Our approach consists in solving a sequence of optimal…
This work introduces a novel multilevel Monte Carlo (MLMC) metamodeling approach for variance function estimation. Although devising an efficient experimental design for simulation metamodeling can be elusive, the MLMC-based approach…