Related papers: Higher-order spring-coupled multilevel Monte Carlo…
Modelling random dynamical systems in continuous time, diffusion processes are a powerful tool in many areas of science. Model parameters can be estimated from time-discretely observed processes using Markov chain Monte Carlo (MCMC) methods…
The Self-Learning Monte Carlo (SLMC) method is a Monte Carlo approach that has emerged in recent years by integrating concepts from machine learning with conventional Monte Carlo techniques. Designed to accelerate the numerical study of…
The expected information gain is an important quality criterion of Bayesian experimental designs, which measures how much the information entropy about uncertain quantity of interest $\theta$ is reduced on average by collecting relevant…
Hamiltonian Monte Carlo (HMC) has emerged as a powerful Markov Chain Monte Carlo (MCMC) method to sample from complex continuous distributions. However, a fundamental limitation of HMC is that it can not be applied to distributions with…
This work presents an efficient approach for accelerating multilevel Markov Chain Monte Carlo (MCMC) sampling for large-scale problems using low-fidelity machine learning models. While conventional techniques for large-scale Bayesian…
In this paper the application of the multi-level Monte Carlo (MLMC) method on numerical simulations of turbulent flows with uncertain parameters is investigated. Several strategies for setting up the MLMC method are presented, and the…
We investigate the problem of computing a nested expectation of the form $\mathbb{P}[\mathbb{E}[X|Y] \!\geq\!0]\!=\!\mathbb{E}[\textrm{H}(\mathbb{E}[X|Y])]$ where $\textrm{H}$ is the Heaviside function. This nested expectation appears, for…
In recent years, an intensive study of strong approximation of stochastic differential equations (SDEs) with a drift coefficient that may have discontinuities in space has begun. In many of these results it is assumed that the drift…
In this paper, we study the problem of sampling from a given probability density function that is known to be smooth and strongly log-concave. We analyze several methods of approximate sampling based on discretizations of the (highly…
We present an adaptive multilevel Monte Carlo (AMLMC) algorithm for approximating deterministic, real-valued, bounded linear functionals that depend on the solution of a linear elliptic PDE with a lognormal diffusivity coefficient and…
Hamiltonian Monte Carlo (HMC) is a widely deployed method to sample from high-dimensional distributions in Statistics and Machine learning. HMC is known to run very efficiently in practice and its popular second-order "leapfrog"…
The subsurface flow is usually subject to uncertain porous media structures. In most cases, however, we only have partial knowledge about the porous media properties. A common approach is to model the uncertain parameters of porous media as…
We use the Multi Level Monte Carlo method to estimate uncertainties in a Henry-like salt water intrusion problem with a fracture. The flow is induced by the variation of the density of the fluid phase, which depends on the mass fraction of…
In this article, we propose a novel and general dimension-hopping MCMC methodology that can update all the parameters as well as the number of parameters simultaneously using simple deterministic transformations of some low-dimensional…
Stochastic optimization in learning and inference often relies on Markov chain Monte Carlo (MCMC) to approximate gradients when exact computation is intractable. However, finite-time MCMC estimators are biased, and reducing this bias…
Markov chain Monte Carlo (MCMC) methods are one of the most popular classes of algorithms for sampling from a target probability distribution. A rising trend in recent years consists in analyzing the convergence of MCMC algorithms using…
Preliminary low-thrust spacecraft mission design is a global search problem characterized by a complex solution landscape, multiple objectives, and numerous local minima. During this phase, mission parameters are often not yet fully…
We study Monte Carlo estimation of the expected value of sample information (EVSI) which measures the expected benefit of gaining additional information for decision making under uncertainty. EVSI is defined as a nested expectation in which…
This paper proposes an adaptive timestep construction for an Euler-Maruyama approximation of the ergodic SDEs with a drift which is not globally Lipschitz over an infinite time interval. If the timestep is bounded appropriately, we show not…
The calculation of disconnected diagram contributions to physical signals is a computationally expensive task in Lattice QCD. To extract the physical signal, the trace of the inverse Lattice Dirac operator, a large sparse matrix, must be…