Related papers: Multilevel Quasi-Monte Carlo for Optimization unde…
We consider the problem of estimating expectations with respect to a target distribution with an unknown normalizing constant, and where even the unnormalized target needs to be approximated at finite resolution. This setting is ubiquitous…
Computing systems interacting with real-world processes must safely and reliably process uncertain data. The Monte Carlo method is a popular approach for computing with such uncertain values. This article introduces a framework for…
We establish epigraphical and uniform laws of large numbers for sample-based approximations of law invariant risk functionals. These sample-based approximation schemes include Monte Carlo (MC) and certain randomized quasi-Monte Carlo…
We study the application of a quasi-Monte Carlo (QMC) method to a class of semi-linear parabolic reaction-diffusion partial differential equations used to model tumor growth. Mathematical models of tumor growth are largely phenomenological…
We generalize the multilevel Monte Carlo (MLMC) method of Giles to the simulation of systems of particles that interact via a mean field. When the number of particles is large, these systems are described by a McKean-Vlasov process - a…
We present novel Monte Carlo (MC) and multilevel Monte Carlo (MLMC) methods to determine the unbiased covariance of random variables using h-statistics. The advantage of this procedure lies in the unbiased construction of the estimator's…
Since its formulation in the late 1940s, the Feynman-Kac formula has proven to be an effective tool for both theoretical reformulations and practical simulations of differential equations. The link it establishes between such equations and…
We present a new antithetic multilevel Monte Carlo (MLMC) method for the estimation of expectations with respect to laws of diffusion processes that can be elliptic or hypo-elliptic. In particular, we consider the case where one has to…
In this paper, we investigate the use of multilevel Monte Carlo (MLMC) methods for estimating the expectation of discretized random fields. Specifically, we consider a setting in which the input and output vectors of numerical simulators…
Solving partial differential equations in high dimensions by deep neural network has brought significant attentions in recent years. In many scenarios, the loss function is defined as an integral over a high-dimensional domain. Monte-Carlo…
In lattice QCD the calculation of disconnected quark loops from the trace of the inverse quark matrix has large noise variance. A multilevel Monte Carlo method is proposed for this problem that uses different degree polynomials on a…
A multilevel Monte Carlo (MLMC) method for quantifying model-form uncertainties associated with the Reynolds-Averaged Navier-Stokes (RANS) simulations is presented. Two, high-dimensional, stochastic extensions of the RANS equations are…
We describe a number of strategies for minimizing and calculating accurately the statistical uncertainty in quantum Monte Carlo calculations. We investigate the impact of the sampling algorithm on the efficiency of the variational Monte…
This paper considers a new approach to using Markov chain Monte Carlo (MCMC) in contexts where one may adopt multilevel (ML) Monte Carlo. The underlying problem is to approximate expectations w.r.t. an underlying probability measure that is…
We consider a class of density-driven flow problems. We are particularly interested in the problem of the salinization of coastal aquifers. We consider the Henry saltwater intrusion problem with uncertain porosity, permeability, and…
A first-order, Monte Carlo ensemble method has been recently introduced for solving parabolic equations with random coefficients in [26], which is a natural synthesis of the ensemble-based, Monte Carlo sampling algorithm and the…
Quasi-Monte Carlo (QMC) methods are being adopted in statistical applications due to the increasingly challenging nature of numerical integrals that are now routinely encountered. For integrands with $d$-dimensions and derivatives of order…
Sequential Monte Carlo (SMC) methods offer a principled approach to Bayesian uncertainty quantification but are traditionally limited by the need for full-batch gradient evaluations. We introduce a scalable variant by incorporating…
This paper concerns the use of sequential Monte Carlo methods (SMC) for smoothing in general state space models. A well-known problem when applying the standard SMC technique in the smoothing mode is that the resampling mechanism introduces…
Recently, Stochastic Gradient Markov Chain Monte Carlo (SG-MCMC) methods have been proposed for scaling up Monte Carlo computations to large data problems. Whilst these approaches have proven useful in many applications, vanilla SG-MCMC…