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We address the problem of likelihood based inference for correlated diffusion processes using Markov chain Monte Carlo (MCMC) techniques. Such a task presents two interesting problems. First, the construction of the MCMC scheme should…
We develop a framework that allows the use of the multi-level Monte Carlo (MLMC) methodology (Giles2015) to calculate expectations with respect to the invariant measure of an ergodic SDE. In that context, we study the (over-damped) Langevin…
We introduce a Monte Carlo Virtual Element estimator based on Virtual Element discretizations for stochastic elliptic partial differential equations with random diffusion coefficients. We prove estimates for the statistical approximation…
An uncertainty quantification framework is developed for Eulerian-Lagrangian models of particle-laden flows, where the fluid is modeled through a system of partial differential equations in the Eulerian frame and inertial particles are…
In statistical analysis, Monte Carlo (MC) stands as a classical numerical integration method. When encountering challenging sample problem, Markov chain Monte Carlo (MCMC) is a commonly employed method. However, the MCMC estimator is biased…
We prove bounds on the variance of a function $f$ under the empirical measure of the samples obtained by the Sequential Monte Carlo (SMC) algorithm, with time complexity depending on local rather than global Markov chain mixing dynamics.…
Traditional deep learning (DL) models are powerful classifiers, but many approaches do not provide uncertainties for their estimates. Uncertainty quantification (UQ) methods for DL models have received increased attention in the literature…
We demonstrate the use of a variational method to determine a quantitative lower bound on the rate of convergence of Markov Chain Monte Carlo (MCMC) algorithms as a function of the target density and proposal density. The bound relies on…
This article reviews the application of advanced Monte Carlo techniques in the context of Multilevel Monte Carlo (MLMC). MLMC is a strategy employed to compute expectations which can be biased in some sense, for instance, by using the…
In traffic flow modeling, incorporating uncertainty is crucial for accurately capturing the complexities of real-world scenarios. In this work we focus on kinetic models of traffic flow, where a key step is to design effective numerical…
The attempt to solve inverse scattering problems often leads to optimization and sampling problems that require handling moderate to large amounts of partial differential equations acting as constraints. We focus here on determining…
We implement a Monte Carlo sampling strategy to extract helicity parton densities and their uncertainties from a reference set of longitudinally polarized scattering data, chosen to be that used in the DSSV14 global analysis. Instead of…
For important classes of many-fermion problems, quantum Monte Carlo (QMC) methods allow exact calculations of ground-state and finite-temperature properties, without the sign problem. The list spans condensed matter, nuclear physics, and…
Ab initio quantum Monte Carlo (QMC) is a stochastic approach for solving the many-body Schr\"odinger equation without resorting to one-body approximations. QMC algorithms are readily parallelizable via ensembles of $N_w$ walkers, making…
Quantum Monte Carlo (QMC) methods can very accurately compute ground state properties of quantum systems. We applied these methods to a system of boson hard spheres to get exact, infinite system size results for the ground state at several…
We consider the numerical solution of scalar, nonlinear degenerate convection-diffusion problems with random diffusion coefficient and with random flux functions. Building on recent results on the existence, uniqueness and continuous…
A family of semi-intrusive uncertainty propagation (UP) methods for multiscale models is introduced. The methods are semi-intrusive in the sense that inspection of the model is limited up to the level of the single scale systems, and…
Sequential Monte Carlo (SMC) methods offer a principled approach to Bayesian uncertainty quantification but are traditionally limited by the need for full-batch gradient evaluations. We introduce a scalable variant by incorporating…
This paper presents a seamless algorithm for the application of the multilevel Monte Carlo (MLMC) method to the ensemble transform particle filter (ETPF). The algorithm uses a combination of optimal coupling transformations between coarse…
Many problems in materials science and biology involve particles interacting with strong, short-ranged bonds, that can break and form on experimental timescales. Treating such bonds as constraints can significantly speed up sampling their…