Related papers: Antithetic multilevel particle system sampling met…
We consider a system of $N$ interacting particles, governed by transport and diffusion, that converges in a mean-field limit to the solution of a McKean-Vlasov equation. From the observation of a trajectory of the system over a fixed time…
We study empirical Bayes estimation in high-dimensional linear regression. To facilitate computationally efficient estimation of the underlying prior, we adopt a variational empirical Bayes approach, introduced originally in Carbonetto and…
This work combines multilevel Monte Carlo (MLMC) with importance sampling to estimate rare-event quantities that can be expressed as the expectation of a Lipschitz observable of the solution to a broad class of McKean--Vlasov stochastic…
We propose Subsampling MCMC, a Markov Chain Monte Carlo (MCMC) framework where the likelihood function for $n$ observations is estimated from a random subset of $m$ observations. We introduce a highly efficient unbiased estimator of the…
The following electromagnetism (EM) inverse problem is addressed. It consists in estimating local radioelectric properties of materials recovering an object from global EM scattering measurements, at various incidences and wave frequencies.…
The term ``sequential Monte Carlo methods'' or, equivalently, ``particle filters,'' refers to a general class of iterative algorithms that performs Monte Carlo approximations of a given sequence of distributions of interest (\pi_t). We…
The Adaptive Multilevel Splitting algorithm is a very powerful and versatile iterative method to estimate the probability of rare events, based on an interacting particle systems. In an other article, in a so-called idealized setting, the…
We propose a multi-index algorithm for the Monte Carlo (MC) discretization of a linear, elliptic PDE with affine-parametric input. We prove an error vs. work analysis which allows a multi-level finite-element approximation in the physical…
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…
The Riccati-type nonlinear differential equation, also known as the Variable Phase Approach or Phase Function Method, is used to construct local inverse potentials for the \( ^3S_1 \) and \( ^1S_0 \) states of the deuteron. The Morse…
We study the Electrical Impedance Tomography Bayesian inverse problem for recovering the conductivity given noisy measurements of the voltage on some boundary surface electrodes. The uncertain conductivity depends linearly on a countable…
We present novel Monte Carlo (MC) and multilevel Monte Carlo (MLMC) methods to determine the unbiased covariance of random variables using h-statistics. The advantage of this procedure lies in the unbiased construction of the estimator's…
The random batch method (RBM) proposed in [Jin et al., J. Comput. Phys., 400(2020), 108877] for large interacting particle systems is an efficient with linear complexity in particle numbers and highly scalable algorithm for $N$-particle…
A formal mean square error expansion (MSE) is derived for Euler--Maruyama numerical solutions of stochastic differential equations (SDE). The error expansion is used to construct a pathwise a posteriori adaptive time stepping…
We propose a micro-macro parallel-in-time Parareal method for scalar McKean-Vlasov stochastic differential equations (SDEs). In the algorithm, the fine Parareal propagator is a Monte Carlo simulation of an ensemble of particles, while an…
By formulating the inverse problem of partial differential equations (PDEs) as a statistical inference problem, the Bayesian approach provides a general framework for quantifying uncertainties. In the inverse problem of PDEs, parameters are…
We consider nonparametric statistical inference on a periodic interaction potential $W$ from noisy discrete space-time measurements of solutions $\rho=\rho_W$ of the nonlinear McKean-Vlasov equation, describing the probability density of…
By facilitating the generation of samples from arbitrary probability distributions, Markov Chain Monte Carlo (MCMC) is, arguably, \emph{the} tool for the evaluation of Bayesian inference problems that yield non-standard posterior…
SMC$^2$ is an efficient algorithm for sequential estimation and state inference of state-space models. It generates $N_{\theta}$ parameter particles $\theta^{m}$, and, for each $\theta^{m}$, it runs a particle filter of size $N_{x}$ (i.e.…
We investigate the problem of computing a nested expectation of the form $\mathbb{P}[\mathbb{E}[X|Y] \!\geq\!0]\!=\!\mathbb{E}[\textrm{H}(\mathbb{E}[X|Y])]$ where $\textrm{H}$ is the Heaviside function. This nested expectation appears, for…