Related papers: A nested MLMC framework for efficient simulations …
This paper presents a seamless algorithm for the application of the multilevel Monte Carlo (MLMC) method to the ensemble transform particle filter (ETPF). The algorithm uses a combination of optimal coupling transformations between coarse…
In the following paper we provide a review and development of sequential Monte Carlo (SMC) methods for option pricing. SMC are a class of Monte Carlo-based algorithms, that are designed to approximate expectations w.r.t a sequence of…
Monte Carlo simulations of quantum field theories on a lattice become increasingly expensive as the continuum limit is approached since the cost per independent sample grows with a high power of the inverse lattice spacing. Simulations on…
Bayesian modelling and computational inference by Markov chain Monte Carlo (MCMC) is a principled framework for large-scale uncertainty quantification, though is limited in practice by computational cost when implemented in the simplest…
We consider stochastic optimization when one only has access to biased stochastic oracles of the objective and the gradient, and obtaining stochastic gradients with low biases comes at high costs. This setting captures various optimization…
For many complex simulation tasks spanning areas such as healthcare, engineering, and finance, Monte Carlo (MC) methods are invaluable due to their unbiased estimates and precise error quantification. Nevertheless, Monte Carlo simulations…
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…
This work addresses uncertainty quantification of electromagnetic devices determined by the eddy current problem. The multilevel Monte Carlo (MLMC) method is used for the treatment of uncertain parameters while the devices are discretized…
As the size of engineered systems grows, problems in reliability theory can become computationally challenging, often due to the combinatorial growth in the cut sets. In this paper we demonstrate how Multilevel Monte Carlo (MLMC) - a…
Sampling-based motion planning methods, while effective in high-dimensional spaces, often suffer from inefficiencies due to irregular sampling distributions, leading to suboptimal exploration of the configuration space. In this paper, we…
In this paper, we examine the Sample Average Approximation (SAA) procedure within a framework where the Monte Carlo estimator of the expectation is biased. We also introduce Multilevel Monte Carlo (MLMC) in the SAA setup to enhance the…
In this paper a novel modification of the multilevel Monte Carlo approach, allowing for further significant complexity reduction, is proposed. The idea of the modification is to use the method of control variates to reduce variance at level…
In this paper we propose a general framework for the uncertainty quantification of quantities of interest for high-contrast single-phase flow problems. It is based on the generalized multiscale finite element method (GMsFEM) and multilevel…
Methods for generating sequences of surrogates approximating fine scale models of two-phase random heterogeneous media are presented that are designed to adaptively control the modeling error in key quantities of interest (QoIs). For…
In this paper, the minimization of computational cost on evaluating multi-dimensional integrals is explored. More specifically, a method based on an adaptive scheme for error variance selection in Monte Carlo integration (MCI) is presented.…
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…
Sequential Monte Carlo (SMC) methods comprise one of the most successful approaches to approximate Bayesian filtering. However, SMC without good proposal distributions struggle in high dimensions. We propose nested sequential Monte Carlo…
We apply multilevel Monte Carlo for option pricing problems using exponential L\'{e}vy models with a uniform timestep discretisation to monitor the running maximum required for lookback and barrier options. The numerical results demonstrate…
An algorithm is proposed to solve robust control problems constrained by partial differential equations with uncertain coefficients, based on the so-called MG/OPT framework. The levels in this MG/OPT hierarchy correspond to discretization…
By facilitating the generation of samples from arbitrary probability distributions, Markov Chain Monte Carlo (MCMC) is, arguably, \emph{the} tool for the evaluation of Bayesian inference problems that yield non-standard posterior…