Related papers: Unbiased Optimal Stopping via the MUSE

We consider the development of unbiased estimators, to approximate the stationary distribution of Mckean-Vlasov stochastic differential equations (MVSDEs). These are an important class of processes, which frequently appear in applications…

We provide a general methodology for unbiased estimation for intractable stochastic models. We consider situations where the target distribution can be written as an appropriate limit of distributions, and where conventional approaches…

Recent advances in objective-based uncertainty quantification (objective-UQ) have shown that such a goal-driven approach for quantifying model uncertainty is extremely useful in real-world problems that aim at achieving specific objectives…

An empirical best linear unbiased prediction (EBLUP) estimator is utilized for efficient inference in small-area estimation. To measure its uncertainty, we need to estimate its mean squared error (MSE) since the true MSE cannot generally be…

In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…

We develop a multilevel Monte Carlo (MLMC) framework for uncertainty quantification with Monte Carlo dropout. Treating dropout masks as a source of epistemic randomness, we define a fidelity hierarchy by the number of stochastic forward…

The optimal stopping problem is a category of decision problems with a specific constrained configuration. It is relevant to various real-world applications such as finance and management. To solve the optimal stopping problem,…

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Unified visual tokenization faces a fundamental trade-off between high-fidelity pixel reconstruction (spatial equivariance) and semantic abstraction (conceptual invariance). We attribute this conflict to Manifold Misalignment: naive joint…

Nested Monte Carlo is widely used for risk estimation, but its efficiency is limited by the discontinuity of the indicator function and high computational cost. This paper proposes a nested Multilevel Monte Carlo (MLMC) method combined with…

Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorithm for the numerical solution of optimal stopping problems in…

In various areas of computer science, the problem of dealing with a set of constraints arises. If the set of constraints is unsatisfiable, one may ask for a minimal description of the reason for this unsatisifi- ability. Minimal…

Large language models (LLMs) have recently advanced text-driven 3D generation, yet Text-to-CAD remains far from supporting industrial product design. Existing benchmarks focus primarily on generating single-part CAD models and evaluate them…

We rely on Monte Carlo (MC) simulations to interpret searches for new physics at the Large Hadron Collider (LHC) and elsewhere. These simulations result in noisy and approximate estimators of selection efficiencies and likelihoods. In this…

We consider the approximation of expectations with respect to the distribution of a latent Markov process given noisy measurements. This is known as the smoothing problem and is often approached with particle and Markov chain Monte Carlo…

We consider the problem of sequentially choosing between a set of unbiased Monte Carlo estimators to minimize the mean-squared-error (MSE) of a final combined estimate. By reducing this task to a stochastic multi-armed bandit problem, we…

In various areas of computer science, we deal with a set of constraints to be satisfied. If the constraints cannot be satisfied simultaneously, it is desirable to identify the core problems among them. Such cores are called minimal…

Stochastic optimization in learning and inference often relies on Markov chain Monte Carlo (MCMC) to approximate gradients when exact computation is intractable. However, finite-time MCMC estimators are biased, and reducing this bias…

We consider the problem of estimating the probability of a large loss from a financial portfolio, where the future loss is expressed as a conditional expectation. Since the conditional expectation is intractable in most cases, one may…

In predictive modeling with simulation or machine learning, it is critical to accurately assess the quality of estimated values through output analysis. In recent decades output analysis has become enriched with methods that quantify the…