Related papers: Uncertainty Quantification in Stochastic Economic …

We consider the problem of inference for the states and parameters of a continuous-time multitype branching process from partially observed time series data. Exact inference for this class of models, typically using sequential Monte Carlo,…

A Gaussian process has been one of the important approaches for emulating computer simulations. However, the stationarity assumption for a Gaussian process and the intractability for large-scale dataset limit its availability in practice.…

This paper deals with the construction of a metamodel (i.e. a simplified mathematical model) for a stochastic computer code (also called stochastic numerical model or stochastic simulator), where stochastic means that the code maps the…

Computer models are used as a way to explore complex physical systems. Stationary Gaussian process emulators, with their accompanying uncertainty quantification, are popular surrogates for computer models. However, many computer models are…

This paper proposes a novel uncertainty quantification framework for computationally demanding systems characterized by a large vector of non-Gaussian uncertainties. It combines state-of-the-art techniques in advanced Monte Carlo sampling…

The declining response rates in probability surveys along with the widespread availability of unstructured data has led to growing research into non-probability samples. Existing robust approaches are not well-developed for non-Gaussian…

For robot swarms operating on complex missions in an uncertain environment, it is important that the decision-making algorithm considers both heterogeneity and uncertainty. This paper presents a stochastic programming framework for the…

Dispatchability of renewable energy sources and inflexible loads can be achieved using a volatility-compensating energy storage. However, as the future power outputs of the inflexible devices are uncertain, the computation of a dispatch…

The main challenges that arise when adopting Gaussian Process priors in probabilistic modeling are how to carry out exact Bayesian inference and how to account for uncertainty on model parameters when making model-based predictions on…

We consider a linear stochastic differential equation with stochastic drift. We study the problem of approximating the solution of such equation through an Ornstein-Uhlenbeck type process, by using direct methods of calculus of variations.…

We analyze the Gaussian approximation as a method to obtain the first and second moments of a stochastic process described by a master equation. We justify the use of this approximation with ideas coming from van Kampen's expansion approach…

We introduce a new path integral Monte Carlo method for investigating nonadiabatic systems in thermal equilibrium and demonstrate an approach to reducing stochastic error. We derive a general path integral expression for the partition…

Quantifying the uncertainty of wind energy potential from climate models is a very time-consuming task and requires a considerable amount of computational resources. A statistical model trained on a small set of runs can act as a stochastic…

Through the Bayesian lens of data assimilation, uncertainty on model parameters is traditionally quantified through the posterior covariance matrix. However, in modern settings involving high-dimensional and computationally expensive…

Gaussian process is a theoretically appealing model for nonparametric analysis, but its computational cumbersomeness hinders its use in large scale and the existing reduced-rank solutions are usually heuristic. In this work, we propose a…

Uncertainties have become a major concern in integrated circuit design. In order to avoid the huge number of repeated simulations in conventional Monte Carlo flows, this paper presents an intrusive spectral simulator for statistical circuit…

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…

The aim of this paper is to describe a new an integrated methodology for project control under uncertainty. This proposal is based on Earned Value Methodology and risk analysis and presents several refinements to previous methodologies.…

Gaussian processes are the gold standard for many real-world modeling problems, especially in cases where a model's success hinges upon its ability to faithfully represent predictive uncertainty. These problems typically exist as parts of…

The dynamic emulation of non-linear deterministic computer codes where the output is a time series, possibly multivariate, is examined. Such computer models simulate the evolution of some real-world phenomenon over time, for example models…