Related papers: Optimal randomized multilevel Monte Carlo for repe…
Multifidelity Monte Carlo methods rely on a hierarchy of possibly less accurate but statistically correlated simplified or reduced models, in order to accelerate the estimation of statistics of high-fidelity models without compromising the…
This paper provides a framework in which multilevel Monte Carlo and continuous level Monte Carlo can be compared. In continuous level Monte Carlo the level of refinement is determined by an exponentially distributed random variable, which…
In a recent paper Beskos et al (2011), the Sequential Monte Carlo (SMC) sampler introduced in Del Moral et al (2006), Neal (2001) has been shown to be asymptotically stable in the dimension of the state space d at a cost that is only…
Machine-learning classifiers provide high quality of service in classification tasks. Research now targets cost reduction measured in terms of average processing time or energy per solution. Revisiting the concept of cascaded classifiers,…
We build on auto-encoding sequential Monte Carlo (AESMC): a method for model and proposal learning based on maximizing the lower bound to the log marginal likelihood in a broad family of structured probabilistic models. Our approach relies…
We introduce the Thresholding Monte Carlo Tree Search problem, in which, given a tree $\mathcal{T}$ and a threshold $\theta$, a player must answer whether the root node value of $\mathcal{T}$ is at least $\theta$ or not. In the given tree,…
Consider a central problem in randomized approximation schemes that use a Monte Carlo approach. Given a sequence of independent, identically distributed random variables $X_1,X_2,\ldots$ with mean $\mu$ and standard deviation at most $c…
In this paper, we present an online reinforcement learning algorithm, called Renewal Monte Carlo (RMC), for infinite horizon Markov decision processes with a designated start state. RMC is a Monte Carlo algorithm and retains the advantages…
The computational complexity of simultaneous inference methods in high-dimensional linear regression models quickly increases with the number variables. This paper proposes a computationally efficient method based on the Moore-Penrose…
This paper addresses the issue of estimating the expectation of a real-valued random variable of the form $X = g(\mathbf{U})$ where $g$ is a deterministic function and $\mathbf{U}$ can be a random finite- or infinite-dimensional vector.…
We introduce three related but distinct improvements to multilevel Monte Carlo (MLMC) methods for the solution of systems of stochastic differential equations (SDEs). Firstly, we show that when the payoff function is twice continuously…
We develop new multilevel Monte Carlo (MLMC) methods to estimate the expectation of the smallest eigenvalue of a stochastic convection-diffusion operator with random coefficients. The MLMC method is based on a sequence of finite element…
Stochastic collocation methods for approximating the solution of partial differential equations with random input data (e.g., coefficients and forcing terms) suffer from the curse of dimensionality whereby increases in the stochastic…
Precision theoretical predictions for high multiplicity scattering rely on the evaluation of increasingly complicated scattering amplitudes which come with an extremely high CPU cost. For state-of-the-art processes this can cause technical…
The problem of estimating the probability p=P(g(X<0) is considered when X represents a multivariate stochastic input of a monotone function g. First, a heuristic method to bound p is formally described, involving a specialized design of…
Multilevel Splitting methods, also called Sequential Monte-Carlo or \emph{Subset Simulation}, are widely used methods for estimating extreme probabilities of the form $P[S(\mathbf{U}) > q]$ where $S$ is a deterministic real-valued function…
Standard Monte Carlo computation is widely known to exhibit a canonical square-root convergence speed in terms of sample size. Two recent techniques, one based on control variate and one on importance sampling, both derived from an…
For many complex simulation tasks spanning areas such as healthcare, engineering, and finance, Monte Carlo (MC) methods are invaluable due to their unbiased estimates and precise error quantification. Nevertheless, Monte Carlo simulations…
Our focus is on the design and analysis of efficient Monte Carlo methods for computing tail probabilities for the suprema of Gaussian random fields, along with conditional expectations of functionals of the fields given the existence of…
In this work we propose an adaptive multilevel version of subset simulation to estimate the probability of rare events for complex physical systems. Given a sequence of nested failure domains of increasing size, the rare event probability…