Related papers: Quasi-Monte Carlo sampling for machine-learning pa…

The Self-Learning Monte Carlo (SLMC) method is a Monte Carlo approach that has emerged in recent years by integrating concepts from machine learning with conventional Monte Carlo techniques. Designed to accelerate the numerical study of…

The Robbins-Monro stochastic approximation algorithm is a foundation of many algorithmic frameworks for reinforcement learning (RL), and often an efficient approach to solving (or approximating the solution to) complex optimal control…

Distortion risk measures play a critical role in quantifying risks associated with uncertain outcomes. Accurately estimating these risk measures in the context of computationally expensive simulation models that lack analytical tractability…

This study analyzes the nonasymptotic convergence behavior of the quasi-Monte Carlo (QMC) method with applications to linear elliptic partial differential equations (PDEs) with lognormal coefficients. Building upon the error analysis…

The quasi-Monte Carlo method is widely used in computational finance, whose efficiency strongly depends on the smoothness and effective dimension of the integrand. In this work, we investigate the combination of importance sampling and the…

Uncertainty quantification of machine learning and deep learning methods plays an important role in enhancing trust to the obtained result. In recent years, a numerous number of uncertainty quantification methods have been introduced. Monte…

We show that repulsive random variables can yield Monte Carlo methods with faster convergence rates than the typical $N^{-1/2}$, where $N$ is the number of integrand evaluations. More precisely, we propose stochastic numerical quadratures…

Dynamic Programming (DP) suffers from the well-known ``curse of dimensionality'', further exacerbated by the need to compute expectations over process noise in stochastic models. This paper presents a Monte Carlo-based sampling approach for…

While generally considered computationally expensive, Uncertainty Quantification using Monte Carlo sampling remains beneficial for applications with uncertainties of high dimension. As an extension of the naive Monte Carlo method, the…

We present a novel algorithmic approach and an error analysis leveraging Quasi-Monte Carlo points for training deep neural network (DNN) surrogates of Data-to-Observable (DtO) maps in engineering design. Our analysis reveals higher-order…

In this note, we study a concatenation of quasi-Monte Carlo and plain Monte Carlo rules for high-dimensional numerical integration in weighted function spaces. In particular, we consider approximating the integral of periodic functions…

We consider the problem of computing an approximation to the integral $I=\int_{[0,1]^d}f(x) dx$. Monte Carlo (MC) sampling typically attains a root mean squared error (RMSE) of $O(n^{-1/2})$ from $n$ independent random function evaluations.…

We discuss the problem of defining an estimate for the error in quasi-Monte Carlo integration. The key issue is the definition of an ensemble of quasi-random point sets that, on the one hand, includes a sufficiency of equivalent point sets,…

We present two Monte Carlo sampling algorithms for probabilistic inference that guarantee polynomial-time convergence for a larger class of network than current sampling algorithms provide. These new methods are variants of the known…

This paper introduces quasi-Monte Carlo latent variable models (QLVMs): a class of deep generative models that are specialized for finding extremely low-dimensional and interpretable embeddings of high-dimensional datasets. Unlike standard…

The order of convergence of the Monte Carlo method is 1/2 which means that we need quadruple samples to decrease the error in half in the numerical simulation. Multilevel Monte Carlo methods reach the same order of error by spending less…

Objective functions that optimize deep neural networks play a vital role in creating an enhanced feature representation of the input data. Although cross-entropy-based loss formulations have been extensively used in a variety of supervised…

This paper develops a deep learning method for linear and nonlinear filtering. The idea is to start with a nominal dynamic model and generate Monte Carlo sample paths. Then these samples are used to train a deep neutral network. A least…

Monte Carlo methods are widely used for approximating complicated, multidimensional integrals for Bayesian inference. Population Monte Carlo (PMC) is an important class of Monte Carlo methods, which utilizes a population of proposals to…

Quasi-Monte Carlo (qMC) methods are a powerful alternative to classical Monte-Carlo (MC) integration. Under certain conditions, they can approximate the desired integral at a faster rate than the usual Central Limit Theorem, resulting in…