Related papers: Uncertainty quantification in coastal aquifers usi…
In this paper we present a rigorous cost and error analysis of a multilevel estimator based on randomly shifted Quasi-Monte Carlo (QMC) lattice rules for lognormal diffusion problems. These problems are motivated by uncertainty…
Fast and accurate predictions of uncertainties in the computed dose are crucial for the determination of robust treatment plans in radiation therapy. This requires the solution of particle transport problems with uncertain parameters or…
Geophysical methods provide a cost-effective way to characterize the subsurface for hydrogeological projects, but they rely on solving an inverse problem. Traditionally, deterministic approaches are used, which face challenges due to…
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…
A common way to simulate the transport and spread of pollutants in the atmosphere is via stochastic Lagrangian dispersion models. Mathematically, these models describe turbulent transport processes with stochastic differential equations…
In this study, we develop a probabilistic approach to map the parametric uncertainty to the output state uncertainty in first-order hyperbolic conservation laws. We analyze this problem for nonlinear immiscible two-phase transport in…
Accurate modeling of contamination in subsurface flow and water aquifers is crucial for agriculture and environmental protection. Here, we demonstrate a parallel method to quantify the propagation of the uncertainty in the dispersal of…
Uncertainty quantification approaches have been more critical in large language models (LLMs), particularly high-risk applications requiring reliable outputs. However, traditional methods for uncertainty quantification, such as…
We propose a multilevel Markov chain Monte Carlo (MCMC) method for the Bayesian inference of random field parameters in PDEs using high-resolution data. Compared to existing multilevel MCMC methods, we additionally consider level-dependent…
Through the Bayesian lens of data assimilation, uncertainty on model parameters is traditionally quantified through the posterior covariance matrix. However, in modern settings involving high-dimensional and computationally expensive…
Computing risk measures of a financial portfolio comprising thousands of derivatives is a challenging problem because (a) it involves a nested expectation requiring multiple evaluations of the loss of the financial portfolio for different…
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…
We present an analysis of multilevel Monte Carlo techniques for the forward problem of uncertainty quantification for the radiative transport equation, when the coefficients ({\em cross-sections}) are heterogenous random fields. To do this,…
In this article, we study the application of Multi-Level Monte Carlo (MLMC) approaches to numerical random homogenization. Our objective is to compute the expectation of some functionals of the homogenized coefficients, or of the…
The Markov chain Monte Carlo (MCMC) method is used to evaluate the imaginary-time path integral of a quantum oscillator with a potential that includes both a quadratic term and a quartic term whose coupling is varied by several orders of…
Uncertainty analysis in the outcomes of model predictions is a key element in decision-based material design to establish confidence in the models and evaluate the fidelity of models. Uncertainty Propagation (UP) is a technique to determine…
Multilevel Monte Carlo (MLMC) is a recently proposed variation of Monte Carlo (MC) simulation that achieves variance reduction by simulating the governing equations on a series of spatial (or temporal) grids with increasing resolution.…
We establish a notion of random entropy solution for degenerate fractional conservation laws incorporating randomness in the initial data, convective flux and diffusive flux. In order to quantify the solution uncertainty, we design a…
Markov chain Monte Carlo (MCMC) is an established approach for uncertainty quantification and propagation in scientific applications. A key challenge in applying MCMC to scientific domains is computation: the target density of interest is…
In this paper we introduce and discuss numerical schemes for the approximation of kinetic equations for flocking behavior with phase transitions that incorporate uncertain quantities. This class of schemes here considered make use of a…