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A common trend in simulation-driven engineering applications is the ever-increasing size and complexity of the problem, where classical numerical methods typically suffer from significant computational time and huge memory cost. Methods…
Developing algorithms for solving high-dimensional partial differential equations (PDEs) has been an exceedingly difficult task for a long time, due to the notoriously difficult problem known as the "curse of dimensionality". This paper…
A new method based on nesting Monte Carlo is developed to solve high-dimensional semi-linear PDEs. Convergence of the method is proved and its convergence rate studied. Results in high dimension for different kind of non-linearities show…
It is one of the most challenging problems in applied mathematics to approximatively solve high-dimensional partial differential equations (PDEs). Recently, several deep learning-based approximation algorithms for attacking this problem…
Multi-fidelity Monte Carlo methods leverage low-fidelity and surrogate models for variance reduction to make tractable uncertainty quantification even when numerically simulating the physical systems of interest with high-fidelity models is…
Deep learning is mainly based on utilizing gradient-based optimization for training Deep Neural Network (DNN) models. Although robust and widely used, gradient-based optimization algorithms are prone to getting stuck in local minima. In…
Bayesian inverse problems arise in various scientific and engineering domains, and solving them can be computationally demanding. This is especially the case for problems governed by partial differential equations, where the repeated…
Models of stochastic processes are widely used in almost all fields of science. Theory validation, parameter estimation, and prediction all require model calibration and statistical inference using data. However, data are almost always…
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…
Mesh-based simulations play a key role when modeling complex physical systems that, in many disciplines across science and engineering, require the solution of parametrized time-dependent nonlinear partial differential equations (PDEs). In…
High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in…
For big data analysis, high computational cost for Bayesian methods often limits their applications in practice. In recent years, there have been many attempts to improve computational efficiency of Bayesian inference. Here we propose an…
There are several numerical models that describe real phenomena being used to solve complex problems. For example, an accurate numerical breast model can provide assistance to surgeons with visual information of the breast as a result of a…
Hamiltonian Monte Carlo (HMC) is a powerful and accurate method to sample from the posterior distribution in Bayesian inference. However, HMC techniques are computationally demanding for Bayesian neural networks due to the high…
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…
Estimating probability of failure in aerospace systems is a critical requirement for flight certification and qualification. Failure probability estimation involves resolving tails of probability distribution, and Monte Carlo sampling…
A statistical learning approach for parametric PDEs related to Uncertainty Quantification is derived. The method is based on the minimization of an empirical risk on a selected model class and it is shown to be applicable to a broad range…
The development of a reliable and robust surrogate model is often constrained by the dimensionality of the problem. For a system with high-dimensional inputs/outputs (I/O), conventional approaches usually use a low-dimensional manifold to…
In many mechanistic medical, biological, physical and engineered spatiotemporal dynamic models the numerical solution of partial differential equations (PDEs) can make simulations impractically slow. Biological models require the…
To date, the analysis of high-dimensional, computationally expensive engineering models remains a difficult challenge in risk and reliability engineering. We use a combination of dimensionality reduction and surrogate modelling termed…