Related papers: Optimising HEP parameter fits via Monte Carlo weig…
Importance sampling and independent Metropolis-Hastings (IMH) are among the fundamental building blocks of Monte Carlo methods. Both require a proposal distribution that globally approximates the target distribution. The Radon-Nikodym…
In this paper, we consider the problem of parameter sensitivity in models of complex dynamical systems through the lens of information geometry. We calculate the sensitivity of model behavior to variations in parameters. In most cases,…
The hybrid Monte Carlo (HMC) algorithm is arguably the most efficient sampling method for general probability distributions of continuous variables. Together with exact Fourier acceleration (EFA) the HMC becomes equivalent to direct…
Estimating predictive uncertainty is crucial for many computer vision tasks, from image classification to autonomous driving systems. Hamiltonian Monte Carlo (HMC) is an sampling method for performing Bayesian inference. On the other hand,…
Multivariate Hawkes Processes (MHPs) are an important class of temporal point processes that have enabled key advances in understanding and predicting social information systems. However, due to their complex modeling of temporal…
Let P be a set of points in R^d, and let M be a function that maps any subset of P to a positive real number. We examine the problem of computing the exact mean and variance of M when a subset of points in P is selected according to a…
The classification of events involving jets as signal-like or background-like can depend strongly on the jet algorithm used and its parameters. This is partly due to the fact that standard jet algorithms yield a single partition of the…
Engineering risk is concerned with the likelihood of failure and the scenarios when it occurs. The sensitivity of failure probability to change in system parameters is relevant to risk-informed decision making. Computing sensitivity is at…
The task of mixture proportion estimation (MPE) is to estimate the weight of a component distribution in a mixture, given observations from both the component and mixture. Previous work on MPE adopts the irreducibility assumption, which…
Conformal prediction (CP) for regression can be challenging, especially when the output distribution is heteroscedastic, multimodal, or skewed. Some of the issues can be addressed by estimating a distribution over the output, but in…
Molecular motors and other complex nonequilibrium systems are controlled by large sets of design parameters, and optimizing those parameters requires computing sensitivities -- derivatives of dynamical observables with respect to the…
The method of quasi-optimal observables [hep-ph/0001019] offers a fundamental yet simple and flexible algorithmic framework for data processing in high energy physics to improve upon the practice of event selection cuts.
The goal of this paper is to develop provably efficient importance sampling Monte Carlo methods for the estimation of rare events within the class of linear stochastic partial differential equations (SPDEs). We find that if a spectral gap…
Piecewise-Deterministic Markov Processes (PDMPs) hold significant promise for sampling from complex probability distributions. However, their practical implementation is hindered by the need to compute model-specific bounds. Conversely,…
Accurate and quick identification of high-impedance faults is critical for the reliable operation of distribution systems. Unlike other faults in power grids, HIFs are very difficult to detect by conventional overcurrent relays due to the…
In this paper, different strands of literature are combined in order to obtain algorithms for semi-parametric estimation of discrete choice models that include the modelling of unobserved heterogeneity by using mixing distributions for the…
Let $p$ be an unknown and arbitrary probability distribution over $[0,1)$. We consider the problem of {\em density estimation}, in which a learning algorithm is given i.i.d. draws from $p$ and must (with high probability) output a…
The ratio between the probability that two distributions $R$ and $P$ give to points $x$ are known as importance weights or propensity scores and play a fundamental role in many different fields, most notably, statistics and machine…
Some classical uncertainty quantification problems require the estimation of multiple expectations. Estimating all of them accurately is crucial and can have a major impact on the analysis to perform, and standard existing Monte Carlo…
In Bayesian inference, we seek to compute information about random variables such as moments or quantiles on the basis of {available data} and prior information. When the distribution of random variables is {intractable}, Monte Carlo (MC)…