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Full-Waveform Inversion (FWI) is a high-resolution technique used in geophysics to evaluate the physical parameters and construct subsurface models in a noisy and limited data scenario. The ill-posed nature of the FWI turns this a…

The Multilevel Monte Carlo method is an efficient variance reduction technique. It uses a sequence of coarse approximations to reduce the computational cost in uncertainty quantification applications. The method is nowadays often considered…

A resampling scheme provides a way to switch low-weight particles for sequential Monte Carlo with higher-weight particles representing the objective distribution. The less the variance of the weight distribution is, the more concentrated…

The Worldvolume Hybrid Monte Carlo (WV-HMC) method [arXiv:2012.08468] is an efficient algorithm for addressing the numerical sign problem at moderate computational cost. It mitigates the sign problem while avoiding the ergodicity issues…

We consider the computational efficiency of Monte Carlo (MC) and Multilevel Monte Carlo (MLMC) methods applied to partial differential equations with random coefficients. These arise, for example, in groundwater flow modelling, where a…

We demonstrate the use of a variational method to determine a quantitative lower bound on the rate of convergence of Markov Chain Monte Carlo (MCMC) algorithms as a function of the target density and proposal density. The bound relies on…

Sampling logconcave functions arising in statistics and machine learning has been a subject of intensive study. Recent developments include analyses for Langevin dynamics and Hamiltonian Monte Carlo (HMC). While both approaches have…

Markov chain Monte Carlo (MCMC) is a powerful tool for sampling from complex probability distributions. Despite its versatility, MCMC often suffers from strong autocorrelation and the negative sign problem, leading to slowing down the…

Hamiltonian Monte Carlo (HMC) is a powerful algorithm to sample latent variables from Bayesian models. The advent of probabilistic programming languages (PPLs) frees users from writing inference algorithms and lets users focus on modeling.…

Monte Carlo methods, such as Markov chain Monte Carlo (MCMC), remain the most regularly-used approach for implementing Bayesian inference. However, the computational cost of these approaches usually scales worse than linearly with the…

Quasi-Monte Carlo (QMC) methods are equal weight quadrature rules to approximate integrals over the unit cube with respect to the uniform measure. In this paper we discuss QMC integration with respect to general product measures defined on…

Methods that bypass analytical evaluations of the likelihood function have become an indispensable tool for statistical inference in many fields of science. These so-called likelihood-free methods rely on accepting and rejecting simulations…

We describe and analyze a variance reduction approach for Monte Carlo (MC) sampling that accelerates the estimation of statistics of computationally expensive simulation models using an ensemble of models with lower cost. These lower cost…

Bayesian inference allows us to define a posterior distribution over the weights of a generic neural network (NN). Exact posteriors are usually intractable, in which case approximations can be employed. One such approximation - variational…

In recent years dynamical systems (of deterministic and stochastic nature), describing many models in mathematics, physics, engineering and finances, become more and more complex. Numerical analysis narrowed only to deterministic algorithms…

Hypothesis tests calibrated by (re)sampling methods (such as permutation, rank and bootstrap tests) are useful tools for statistical analysis, at the computational cost of requiring Monte-Carlo sampling for calibration. It is common and…

Monte Carlo integration is a commonly used technique to compute intractable integrals and is typically thought to perform poorly for very high-dimensional integrals. To show that this is not always the case, we examine Monte Carlo…

Stochastic partial differential equations (SPDEs) are often difficult to solve numerically due to their low regularity and high dimensionality. These challenges limit the practical use of computer-aided studies and pose significant barriers…

Accurate estimates of long-term risk probabilities and their gradients are critical for many stochastic safe control methods. However, computing such risk probabilities in real-time and in unseen or changing environments is challenging.…

Markov Chain Monte Carlo (MCMC) methods for sampling probability density functions (combined with abundant computational resources) have transformed the sciences, especially in performing probabilistic inferences, or fitting models to data.…