Related papers: A Fully Parallelized and Budgeted Multi-Level Mont…
In this article we consider the approximation of expectations w.r.t. probability distributions associated to the solution of partial differential equations (PDEs); this scenario appears routinely in Bayesian inverse problems. In practice,…
We generalize the multilevel Monte Carlo (MLMC) method of Giles to the simulation of systems of particles that interact via a mean field. When the number of particles is large, these systems are described by a McKean-Vlasov process - a…
We present in this paper a hybrid, Multi-Level Monte Carlo (MLMC) method for solving the neutral particle transport equation. MLMC methods, originally developed to solve parametric integration problems, work by using a cheap, low fidelity…
Auxiliary variable methods such as the Parallel Tempering and the cluster Monte Carlo methods generate samples that follow a target distribution by using proposal and auxiliary distributions. In sampling from complex distributions, these…
Because of their robustness, efficiency and non-intrusiveness, Monte Carlo methods are probably the most popular approach in uncertainty quantification to computing expected values of quantities of interest (QoIs). Multilevel Monte Carlo…
We propose novel scale-invariant error estimators for the Monte Carlo and multilevel Monte Carlo estimation of mean and variance. For any linear transformation of the distribution of the quantity of interest, the computation cost across…
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…
Parallel Markov Chain Monte Carlo (pMCMC) algorithms generate clouds of proposals at each step to efficiently resolve a target probability distribution. We build a rigorous foundational framework for pMCMC algorithms that situates these…
Standard Monte Carlo computation is widely known to exhibit a canonical square-root convergence speed in terms of sample size. Two recent techniques, one based on control variate and one on importance sampling, both derived from an…
We propose a new Monte Carlo method for sampling from multimodal distributions. The idea of this technique is based on splitting the task into two: finding the modes of a target distribution $\pi$ and sampling, given the knowledge of the…
In this paper we present a new approach to control variates for improving computational efficiency of Ensemble Monte Carlo. We present the approach using simulation of paths of a time-dependent nonlinear stochastic equation. The core idea…
We consider the application of multilevel Monte Carlo methods to elliptic PDEs with random coefficients. We focus on models of the random coefficient that lack uniform ellipticity and boundedness with respect to the random parameter, and…
Conventional frequentist learning, as assumed by existing federated learning protocols, is limited in its ability to quantify uncertainty, incorporate prior knowledge, guide active learning, and enable continual learning. Bayesian learning…
We interpret uncertainty in a model for seismic wave propagation by treating the model parameters as random variables, and apply the Multilevel Monte Carlo (MLMC) method to reduce the cost of approximating expected values of selected,…
In this paper, we design a novel algorithm based on Least-Squares Monte Carlo (LSMC) in order to approximate the solution of discrete time Backward Stochastic Differential Equations (BSDEs). Our algorithm allows massive parallelization of…
Monte Carlo sampling is a powerful toolbox of algorithmic techniques widely used for a number of applications wherein some noisy quantity, or summary statistic thereof, is sought to be estimated. In this paper, we survey the literature for…
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…
Option valuation problems are often solved using standard Monte Carlo (MC) methods. These techniques can often be enhanced using several strategies especially when one discretizes the dynamics of the underlying asset, of which we assume…
Markov chain Monte Carlo (MCMC) methods are foundational algorithms for Bayesian inference and probabilistic modeling. However, most MCMC algorithms are inherently sequential and their time complexity scales linearly with the sequence…
In this paper, we present a generalisation of the Multilevel Monte Carlo (MLMC) method to a setting where the level parameter is a continuous variable. This Continuous Level Monte Carlo (CLMC) estimator provides a natural framework in PDE…