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We present a high-performance budgeted multi-level Monte Carlo method for estimates on the entire spatial domain of multi-PDE problems with random input data. The method is designed to operate optimally within memory and CPU-time…
In the first part of this paper we study approximations of trajectories of Piecewise Deter-ministic Processes (PDP) when the flow is not explicit by the thinning method. We also establish a strong error estimate for PDPs as well as a weak…
We consider the simulation of Bayesian statistical inverse problems governed by large-scale linear and nonlinear partial differential equations (PDEs). Markov chain Monte Carlo (MCMC) algorithms are standard techniques to solve such…
In this paper we study probabilistic and neural network approximations for solutions to Poisson equation subject to Holder data in general bounded domains of $\mathbb{R}^d$. We aim at two fundamental goals. The first, and the most…
Partial Bayesian neural networks (pBNNs) have been shown to perform competitively with fully Bayesian neural networks while only having a subset of the parameters be stochastic. Using sequential Monte Carlo (SMC) samplers as the inference…
Solving partial differential equations (PDEs) on shapes underpins many shape analysis and engineering tasks; yet, prevailing PDE solvers operate on polygonal/triangle meshes while modern 3D assets increasingly live as neural…
The identification of parameters in mathematical models using noisy observations is a common task in uncertainty quantification. We employ the framework of Bayesian inversion: we combine monitoring and observational data with prior…
We propose a micro-macro parallel-in-time Parareal method for scalar McKean-Vlasov stochastic differential equations (SDEs). In the algorithm, the fine Parareal propagator is a Monte Carlo simulation of an ensemble of particles, while an…
We develop several deep learning algorithms for approximating families of parametric PDE solutions. The proposed algorithms approximate solutions together with their gradients, which in the context of mathematical finance means that the…
A new method based on nesting Monte Carlo is developed to solve high-dimensional semi-linear PDEs. Convergence of the method is proved and its convergence rate studied. Results in high dimension for different kind of non-linearities show…
This paper presents a new method for solving Fokker-Planck equations (FPE) by learning a neural sampler for the distribution given by the FPE via an adversarial training based on a weak formulation of the FPE where the adjoint operator of…
Probabilistic prediction of sequences from images and other high-dimensional data is a key challenge, particularly in risk-sensitive applications. In these settings, it is often desirable to quantify the uncertainty associated with the…
Partial Differential Equations are precise in modelling the physical, biological and graphical phenomena. However, the numerical methods suffer from the curse of dimensionality, high computation costs and domain-specific discretization. We…
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…
Over the last few decades, existing Partial Differential Equation (PDE) solvers have demonstrated a tremendous success in solving complex, non-linear PDEs. Although accurate, these PDE solvers are computationally costly. With the advances…
Stochastic partial differential equations (SPDEs) are the mathematical tool of choice for modelling spatiotemporal PDE-dynamics under the influence of randomness. Based on the notion of mild solution of an SPDE, we introduce a novel neural…
The computational overhead of traditional numerical solvers for partial differential equations (PDEs) remains a critical bottleneck for large-scale parametric studies and design optimization. We introduce a Minimal-Data Parametric Neural…
Recent work has introduced a simple numerical method for solving partial differential equations (PDEs) with deep neural networks (DNNs). This paper reviews and extends the method while applying it to analyze one of the most fundamental…
Many scientific and industrial applications require solving Partial Differential Equations (PDEs) to describe the physical phenomena of interest. Some examples can be found in the fields of aerodynamics, astrodynamics, combustion and many…
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…