Related papers: Multi-grid Multi-Level Monte Carlo Method for Stok…
In this article, we study the application of Multi-Level Monte Carlo (MLMC) approaches to numerical random homogenization. Our objective is to compute the expectation of some functionals of the homogenized coefficients, or of 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 generalize the multilevel Monte Carlo (MLMC) method of Giles to the simulation of systems of particles that interact via a mean field. When the number of particles is large, these systems are described by a McKean-Vlasov process - a…
We investigate the applicability of the well-known multilevel Monte Carlo (MLMC) method to the class of density-driven flow problems, in particular the problem of salinisation of coastal aquifers. As a test case, we solve the uncertain…
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,…
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…
Practical structural engineering problems are often characterized by significant uncertainties. Historically, one of the prevalent methods to account for this uncertainty has been the standard Monte Carlo (MC) method. Recently, improved…
This paper presents multilevel hybrid transport (MLHT) methods for solving the neutral-particle Boltzmann transport equation. The proposed MLHT methods are formulated on a sequence of spatial grids using a multilevel Monte Carlo (MLMC)…
While multilevel Monte Carlo (MLMC) methods for the numerical approximation of partial differential equations with random coefficients enjoy great popularity, combinations with spatial adaptivity seem to be rare. We present an adaptive MLMC…
An optimal experimental set-up maximizes the value of data for statistical inferences and predictions. The efficiency of strategies for finding optimal experimental set-ups is particularly important for experiments that are time-consuming…
Stochastic versions of recursive integrated climate-economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number of state variables and stochastic shocks increases, solving…
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…
Hamiltonian Monte Carlo (HMC) sampling methods provide a mechanism for defining distant proposals with high acceptance probabilities in a Metropolis-Hastings framework, enabling more efficient exploration of the state space than standard…
In biochemically reactive systems with small copy numbers of one or more reactant molecules, the dynamics is dominated by stochastic effects. To approximate those systems, discrete state-space and stochastic simulation approaches have been…
In this work, we introduce a simple modification of the Monte Carlo algorithm, which we call step Monte Carlo (sMC). The sMC approach allows to simulate processes far from equilibrium and obtain information about the dynamic properties of…
In this paper, we present a multilevel Monte Carlo (MLMC) version of the Stochastic Gradient (SG) method for optimization under uncertainty, in order to tackle Optimal Control Problems (OCP) where the constraints are described in the form…
Markov chain Monte Carlo (MCMC) algorithms are generally regarded as the gold standard technique for Bayesian inference. They are theoretically well-understood and conceptually simple to apply in practice. The drawback of MCMC is that in…
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…
In many models used in engineering and science, material properties are uncertain or spatially varying. For example, in geophysics, and porous media flow in particular, the uncertain permeability of the material is modelled as a random…
In the last few decades, Markov chain Monte Carlo (MCMC) methods have been widely applied to Bayesian updating of structural dynamic models in the field of structural health monitoring. Recently, several MCMC algorithms have been developed…