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In this work, we consider the problem of estimating the probability distribution, the quantile or the conditional expectation above the quantile, the so called conditional-value-at-risk, of output quantities of complex random differential…
Machine learning (ML) has often been applied to space weather (SW) problems in recent years. SW originates from solar perturbations and is comprised of the resulting complex variations they cause within the systems between the Sun and…
The computational complexity of naive, sampling-based uncertainty quantification for 3D partial differential equations is extremely high. Multilevel approaches, such as multilevel Monte Carlo (MLMC), can reduce the complexity significantly,…
While multilevel Monte Carlo (MLMC) methods for the numerical approximation of partial differential equations with random coefficients enjoy great popularity, combinations with spatial adaptivity seem to be rare. We present an adaptive MLMC…
Accurately and efficiently estimating system performance under uncertainty is paramount in power system planning and operation. Monte Carlo simulation is often used for this purpose, but convergence may be slow, especially when detailed…
Ensemble Kalman methods solve problems in domains such as filtering and inverse problems with interacting particles that evolve over time. For computationally expensive problems, the cost of attaining a high accuracy quickly becomes…
As the size of engineered systems grows, problems in reliability theory can become computationally challenging, often due to the combinatorial growth in the cut sets. In this paper we demonstrate how Multilevel Monte Carlo (MLMC) - a…
This paper introduces a Bayesian framework that combines Markov chain Monte Carlo (MCMC) sampling, dimensionality reduction, and neural density estimation to efficiently handle inverse problems that (i) must be solved multiple times, and…
We design and implement a novel algorithm for computing a multilevel Monte Carlo (MLMC) estimator of the cumulative distribution function of a quantity of interest in problems with random input parameters or initial conditions. Our approach…
We consider the computational efficiency of Monte Carlo (MC) and Multilevel Monte Carlo (MLMC) methods applied to partial differential equations with random coefficients. These arise, for example, in groundwater flow modelling, where a…
For objects in the low Earth orbit region, uncertainty in atmospheric density estimation is an important source of orbit prediction error, which is critical for space situational awareness activities such as the satellite conjunction…
The multilevel Monte Carlo (MLMC) method is highly efficient for estimating expectations of a functional of a solution to a stochastic differential equation (SDE). However, MLMC estimators may be unstable and have a poor (noncanonical)…
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…
In this article we consider static Bayesian parameter estimation for partially observed diffusions that are discretely observed. We work under the assumption that one must resort to discretizing the underlying diffusion process, for…
CIPM published the Supplement I for GUM in 2008 as not only an alternative approach to estimate the uncertainty for a given calibration measurement but also as a proper uncertainty estimation one, whenever any of the conditions imposed in…
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…
The standard technique for measurement of random uncertainties of star formation histories (SFHs) is the bootstrap Monte Carlo, in which the color-magnitude diagram (CMD) is repeatedly resampled. The variation in SFHs measured from the…
We describe modern variants of Monte Carlo methods for Uncertainty Quantification (UQ) of the Neutron Transport Equation, when it is approximated by the discrete ordinates method with diamond differencing. We focus on the mono-energetic 1D…
By adopting a Multilevel Monte Carlo (MLMC) framework, we show that only a handful of costly fine scale computations are needed to accurately estimate statistics of the failure of a composite structure, as opposed to the thousands typically…
In this article we consider Bayesian estimation of static parameters for a class of partially observed McKean-Vlasov diffusion processes with discrete-time observations over a fixed time interval. This problem features several obstacles to…