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The Feynman-Kac formulae (FKF) express local solutions of partial differential equations (PDEs) as expectations with respect to some complementary stochastic differential equation (SDE). Repeatedly sampling paths from the complementary SDE…
Recently, partial Bayesian neural networks (pBNNs), which only consider a subset of the parameters to be stochastic, were shown to perform competitively with full Bayesian neural networks. However, pBNNs are often multi-modal in the latent…
The Multilevel Monte Carlo (MLMC) method has proven to be an effective variance-reduction statistical method for Uncertainty Quantification (UQ) in Partial Differential Equation (PDE) models, combining model computations at different levels…
The widespread use of Markov Chain Monte Carlo (MCMC) methods for high-dimensional applications has motivated research into the scalability of these algorithms with respect to the dimension of the problem. Despite this, numerous problems…
We study deep neural networks and their use in semiparametric inference. We establish novel rates of convergence for deep feedforward neural nets. Our new rates are sufficiently fast (in some cases minimax optimal) to allow us to establish…
Multilevel quadrature methods for parametric operator equations such as the multilevel (quasi-) Monte Carlo method are closely related to the sparse tensor product approximation between the spatial variable and the parameter. In this…
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…
Achieving robust uncertainty quantification for deep neural networks represents an important requirement in many real-world applications of deep learning such as medical imaging where it is necessary to assess the reliability of a neural…
We perform an exploratory study of a new approach for evaluating Feynman integrals numerically. We apply the recently-proposed framework of physics-informed deep learning to train neural networks to approximate the solution to the…
Models of stochastic processes are widely used in almost all fields of science. Theory validation, parameter estimation, and prediction all require model calibration and statistical inference using data. However, data are almost always…
We introduce a new family of numerical algorithms for approximating solutions of general high-dimensional semilinear parabolic partial differential equations at single space-time points. The algorithm is obtained through a delicate…
A novel approximate Bayesian filter based on backward stochastic differential equations is introduced. It uses a nonlinear Feynman--Kac representation of the filtering problem and the approximation of an unnormalized filtering density using…
We propose a multi-index algorithm for the Monte Carlo (MC) discretization of a linear, elliptic PDE with affine-parametric input. We prove an error vs. work analysis which allows a multi-level finite-element approximation in the physical…
Recently developed neural network-based \emph{ab-initio} solutions (Pfau et. al arxiv:1909.02487v2) for finding ground states of fermionic systems can generate state-of-the-art results on a broad class of systems. In this work, we improve…
We propose an accurate data-driven numerical scheme to solve Stochastic Differential Equations (SDEs), by taking large time steps. The SDE discretization is built up by means of a polynomial chaos expansion method, on the basis of…
Recent works have shown that deep neural networks can be employed to solve partial differential equations, giving rise to the framework of physics informed neural networks. We introduce a generalization for these methods that manifests as a…
In this paper we discuss the possibility of using multilevel Monte Carlo (MLMC) methods for weak approximation schemes. It turns out that by means of a simple coupling between consecutive time discretisation levels, one can achieve the same…
In this paper we use deep feedforward artificial neural networks to approximate solutions to partial differential equations in complex geometries. We show how to modify the backpropagation algorithm to compute the partial derivatives of the…
Bayesian inference allows us to define a posterior distribution over the weights of a generic neural network (NN). Exact posteriors are usually intractable, in which case approximations can be employed. One such approximation - variational…
Stochastic reaction network models are often used to explain and predict the dynamics of gene regulation in single cells. These models usually involve several parameters, such as the kinetic rates of chemical reactions, that are not…