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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…
In the day-to-day operation of a power system, the system operator repeatedly solves short-term generation planning problems. When formulating these problems the operators have to weigh the risk of costly failures against increased…
We consider the problem of estimating the probability of a large loss from a financial portfolio, where the future loss is expressed as a conditional expectation. Since the conditional expectation is intractable in most cases, one may…
Distributed detection fusion with high-dimension conditionally dependent observations is known to be a challenging problem. When a fusion rule is fixed, this paper attempts to make progress on this problem for the large sensor networks by…
Simple Monte Carlo is a versatile computational method with a convergence rate of $O(n^{-1/2})$. It can be used to estimate the means of random variables whose distributions are unknown. Bernoulli random variables, $Y$, are widely used to…
Hamiltonian Monte Carlo (HMC) is a state-of-the-art Markov chain Monte Carlo sampling algorithm for drawing samples from smooth probability densities over continuous spaces. We study the variant most widely used in practice, Metropolized…
Equipping the probability space with a local Dirichlet form with square field operator \Gamma and generator A allows to improve Monte Carlo simulations of expectations and densities as soon as we are able to simulate a random variable X…
The computation of integrals is a fundamental task in the analysis of functional data, which are typically considered as random elements in a space of squared integrable functions. Borrowing ideas from recent advances in the Monte Carlo…
In the nano era in integrated circuit fabrication technologies, the performance variability due to statistical process and circuit parameter variations is becoming more and more significant. Considerable effort has been expended in the EDA…
We consider the problem of improving the efficiency of randomized Fourier feature maps to accelerate training and testing speed of kernel methods on large datasets. These approximate feature maps arise as Monte Carlo approximations to…
Estimating the density of a continuous random variable X has been studied extensively in statistics, in the setting where n independent observations of X are given a priori and one wishes to estimate the density from that. Popular methods…
Much recent research has been conducted in the area of Bayesian learning, particularly with regard to the optimization of hyper-parameters via Gaussian process regression. The methodologies rely chiefly on the method of maximizing the…
Pre-integration is an extension of conditional Monte Carlo to quasi-Monte Carlo and randomized quasi-Monte Carlo. It can reduce but not increase the variance in Monte Carlo. For quasi-Monte Carlo it can bring about improved regularity of…
We present an efficient algorithm for the min-max correlation clustering problem. The input is a complete graph where edges are labeled as either positive $(+)$ or negative $(-)$, and the objective is to find a clustering that minimizes the…
We derive an asymptotic expansion for the excess risk (regret) of a weighted nearest-neighbour classifier. This allows us to find the asymptotically optimal vector of nonnegative weights, which has a rather simple form. We show that the…
Algorithms often carry out equally many computations for "easy" and "hard" problem instances. In particular, algorithms for finding nearest neighbors typically have the same running time regardless of the particular problem instance. In…
In this paper we show that two-dimensional nearest neighbor queries can be answered in optimal $O(\log n)$ time while supporting insertions in $O(\log^{1+\varepsilon}n)$ time. No previous data structure was known that supports $O(\log…
We propose a new algorithm for variance reduction when estimating $f(X_T)$ where $X$ is the solution to some stochastic differential equation and $f$ is a test function. The new estimator is $(f(X^1_T) + f(X^2_T))/2$, where $X^1$ and $X^2$…
We study the convergence problem for mean field control, also known as optimal control of McKean-Vlasov dynamics. We assume that the data is smooth but not convex, and thus the limiting value function $\mathcal{U} :[0,T] \times…
We describe a number of strategies for minimizing and calculating accurately the statistical uncertainty in quantum Monte Carlo calculations. We investigate the impact of the sampling algorithm on the efficiency of the variational Monte…