Related papers: On the effective dimension and multilevel Monte Ca…
The estimation of repeatedly nested expectations is a challenging task that arises in many real-world systems. However, existing methods generally suffer from high computational costs when the number of nestings becomes large. Fix any…
To further improve the performance of Monte Carlo simulations of first-order phase transitions we propose to combine the multicanonical approach with multigrid techniques. We report tests of this proposition for the $d$-dimensional $\Phi^4$…
While generally considered computationally expensive, Uncertainty Quantification using Monte Carlo sampling remains beneficial for applications with uncertainties of high dimension. As an extension of the naive Monte Carlo method, the…
We propose a Multi-level Monte Carlo technique to accelerate Monte Carlo sampling for approximation of properties of materials with random defects. The computational efficiency is investigated on test problems given by tight-binding models…
Monte Carlo methods approximate integrals by sample averages of integrand values. The error of Monte Carlo methods may be expressed as a trio identity: the product of the variation of the integrand, the discrepancy of the sampling measure,…
In the present paper we study quasi-Monte Carlo rules for approximating integrals over the $d$-dimensional unit cube for functions from weighted Sobolev spaces of regularity one. While the properties of these rules are well understood for…
In this review, we address the use of Monte Carlo methods for approximating definite integrals of the form $Z = \int L(x) d P(x)$, where $L$ is a target function (often a likelihood) and $P$ a finite measure. We present vertical-likelihood…
We introduce a class of Monte Carlo estimators that aim to overcome the rapid growth of variance with dimension often observed for standard estimators by exploiting the target's independence structure. We identify the most basic…
When the target parameter for inference is a real-valued, continuous function of probabilities in the $k$-sample multinomial problem, variance estimation may be challenging. In small samples or when the function is nondifferentiable at the…
We discuss the application of multilevel Monte Carlo methods to elliptic partial differential equations with random coefficients. Such problems arise, for example, in uncertainty quantification in subsurface flow modeling. We give a brief…
In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an…
We study a generalized clock model on the simple cubic lattice. The parameter of the model can be tuned such that the amplitude of the leading correction to scaling vanishes. In the main part of the study we simulate the model with $Z_8$…
An algorithm is proposed to solve robust control problems constrained by partial differential equations with uncertain coefficients, based on the so-called MG/OPT framework. The levels in this MG/OPT hierarchy correspond to discretization…
Quasi-Monte Carlo methods are used for numerically integrating multivariate functions. However, the error bounds for these methods typically rely on a priori knowledge of some semi-norm of the integrand, not on the sampled function values.…
In this paper, we develop a Monte Carlo method for solving PDEs involving an integral fractional Laplacian (IFL) in multiple dimensions. We first construct a new Feynman-Kac representation based on the Green function for the fractional…
Many problems require to approximate an expected value by some kind of Monte Carlo (MC) sampling, e.g. molecular dynamics (MD) or simulation of stochastic reaction models (also termed kinetic Monte Carlo (kMC)). Often, we are furthermore…
In this paper, we consider the implementation of multi-level Monte Carlo method to a stochastic optimal control problem with log-normal coefficients and its surrogate model problem. From the perspective of two optimization problems, i.e.,…
Monte Carlo methods are used to approximate the means, $\mu$, of random variables $Y$, whose distributions are not known explicitly. The key idea is that the average of a random sample, $Y_1, ..., Y_n$, tends to $\mu$ as $n$ tends to…
This paper proposes and analyses a new multilevel Monte Carlo method for the estimation of mean exit times for multi-dimensional Brownian diffusions, and associated functionals which correspond to solutions to high-dimensional parabolic…
A Monte Carlo method to optimize cuts on variables is presented and evaluated. The method gives a much higher signal to noise ratio than does a manual choice of cuts.