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This paper presents two novel ensemble domain decomposition methods for fast-solving the Stokes-Darcy coupled models with random hydraulic conductivity and body force. To address such random systems, we employ the Monte Carlo (MC) method to…
In this paper, we present a generalisation of the Multilevel Monte Carlo (MLMC) method to a setting where the level parameter is a continuous variable. This Continuous Level Monte Carlo (CLMC) estimator provides a natural framework in PDE…
Scientific machine learning has become an increasingly important tool in materials science and engineering. It is particularly well suited to tackle material problems involving many variables or to allow rapid construction of surrogates of…
We study time harmonic acoustic scattering on large deviation rough random scatterers. Therein, the roughness of the scatterers is caused by a low Sobolev regularity in the covariance function of their deformation field. The motivation for…
Quasi-Monte Carlo sampling can attain far better accuracy than plain Monte Carlo sampling. However, with plain Monte Carlo sampling it is much easier to estimate the attained accuracy. This article describes methods old and new to quantify…
We present a hybrid method for time-dependent particle transport that combines Monte Carlo (MC) estimation with a deterministic discrete ordinates (\(S_N\)) solve, augmented by quasi-Monte Carlo (QMC) sampling. For spatial discretizations,…
The safety concern for unmanned systems, namely the concern for the potential casualty caused by system abnormalities, has been a bottleneck for their development, especially in populated areas. Evidently, the collision between the unmanned…
Sequential Monte Carlo algorithms (also known as particle filters) are popular methods to approximate filtering (and related) distributions of state-space models. However, they converge at the slow $1/\sqrt{N}$ rate, which may be an issue…
In many real-world engineering systems, the performance or reliability of the system is characterised by a scalar parameter. The distribution of this performance parameter is important in many uncertainty quantification problems, ranging…
We introduce a new class of sequential Monte Carlo methods which reformulates the essence of the nested sampling method of Skilling (2006) in terms of sequential Monte Carlo techniques. Two new algorithms are proposed, nested sampling via…
Statistical inference in evolutionary models with site-dependence is a long-standing challenge in phylogenetics and computational biology. We consider the problem of approximating marginal sequence likelihoods under dependent-site models of…
Security-Constrained Unit Commitment (SCUC) is one of the most significant problems in secure and optimal operation of modern electricity markets. New sources of uncertainties such as wind speed volatility and price-sensitive loads impose…
Computing risk measures of a financial portfolio comprising thousands of derivatives is a challenging problem because (a) it involves a nested expectation requiring multiple evaluations of the loss of the financial portfolio for different…
We propose a novel $hp$-multilevel Monte Carlo method for the quantification of uncertainties in the compressible Navier-Stokes equations, using the Discontinuous Galerkin method as deterministic solver. The multilevel approach exploits…
In this workshop, we discuss several algorithms for mathematical programs with equilibrium constraints (MPECs). The unifying theme is that MPECs are optimization problems whose feasible set contains a lower-level equilibrium system, often…
As deep learning-based computer vision algorithms continue to advance the state of the art, their robustness to real-world data continues to be an issue, making it difficult to bring an algorithm from the lab to the real world.…
The problem of optimising functions with intractable gradients frequently arise in machine learning and statistics, ranging from maximum marginal likelihood estimation procedures to fine-tuning of generative models. Stochastic approximation…
The performance of land surface models (LSMs) significantly affects the understanding of atmospheric and related processes. Many of the LSMs' soil and vegetation parameters were unknown so that it is crucially important to efficiently…
Probabilistic (or Bayesian) modeling and learning offers interesting possibilities for systematic representation of uncertainty using probability theory. However, probabilistic learning often leads to computationally challenging problems.…
In this work, we propose a smart idea to couple importance sampling and Multilevel Monte Carlo (MLMC). We advocate a per level approach with as many importance sampling parameters as the number of levels, which enables us to compute the…