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Computing systems interacting with real-world processes must safely and reliably process uncertain data. The Monte Carlo method is a popular approach for computing with such uncertain values. This article introduces a framework for…
The Multilevel Monte Carlo (MLMC) approach usually works well when estimating the expected value of a quantity which is a Lipschitz function of intermediate quantities, but if it is a discontinuous function it can lead to a much slower…
Markov Chain Monte Carlo (MCMC) methods sample from unnormalized probability distributions and offer guarantees of exact sampling. However, in the continuous case, unfavorable geometry of the target distribution can greatly limit the…
Discrete choice models are commonly used by applied statisticians in numerous fields, such as marketing, economics, finance, and operations research. When agents in discrete choice models are assumed to have differing preferences, exact…
We introduce a gradient-based learning method to automatically adapt Markov chain Monte Carlo (MCMC) proposal distributions to intractable targets. We define a maximum entropy regularised objective function, referred to as generalised speed…
Fast and accurate predictions of uncertainties in the computed dose are crucial for the determination of robust treatment plans in radiation therapy. This requires the solution of particle transport problems with uncertain parameters or…
Monte-Carlo Tree Search (MCTS) is a class of methods for solving complex decision-making problems through the synergy of Monte-Carlo planning and Reinforcement Learning (RL). The highly combinatorial nature of the problems commonly…
This paper addresses optimization problems constrained by partial differential equations with uncertain coefficients. In particular, the robust control problem and the average control problem are considered for a tracking type cost…
Standard approaches for uncertainty quantification in cardiovascular modeling pose challenges due to the large number of uncertain inputs and the significant computational cost of realistic three-dimensional simulations. We propose an…
In many real-world engineering systems, the performance or reliability of the system is characterised by a scalar parameter. The distribution of this performance parameter is important in many uncertainty quantification problems, ranging…
Uncertainty quantification (UQ) includes the characterization, integration, and propagation of uncertainties that result from stochastic variations and a lack of knowledge or data in the natural world. Monte Carlo (MC) method is a…
Monte Carlo Tree Search (MCTS) is an effective test-time compute scaling (TTCS) method for improving the reasoning performance of large language models, but its highly variable execution time leads to severe long-tail latency in practice.…
The multilevel Monte Carlo (MLMC) method has proven to be an effective variance-reduction statistical method for Uncertainty quantification in PDE models. It combines approximations at different levels of accuracy using a hierarchy of…
Multi-fidelity Monte Carlo methods leverage low-fidelity and surrogate models for variance reduction to make tractable uncertainty quantification even when numerically simulating the physical systems of interest with high-fidelity models is…
Virtual Diagnostic (VD) is a deep learning tool that can be used to predict a diagnostic output. VDs are especially useful in systems where measuring the output is invasive, limited, costly or runs the risk of damaging the output. Given a…
Viewport prediction is the crucial task for adaptive 360-degree video streaming, as the bitrate control algorithms usually require the knowledge of the user's viewing portions of the frames. Various methods are studied and adopted for…
Each year a growing number of wind farms are being added to power grids to generate electricity. The power curve of a wind turbine, which exhibits the relationship between generated power and wind speed, plays a major role in assessing the…
The integration of artificial intelligence into clinical workflows requires reliable and robust models. Among the main features of robustness is repeatability. Much attention is given to classification performance without assessing the…
Computing risk measures of a financial portfolio comprising thousands of derivatives is a challenging problem because (a) it involves a nested expectation requiring multiple evaluations of the loss of the financial portfolio for different…
The recently-introduced self-learning Monte Carlo method is a general-purpose numerical method that speeds up Monte Carlo simulations by training an effective model to propose uncorrelated configurations in the Markov chain. We implement…