Related papers: Multi-Level Monte Carlo Training of Neural Operato…

Multilevel sampling methods, such as multilevel and multifidelity Monte Carlo, multilevel stochastic collocation, or delayed acceptance Markov chain Monte Carlo, have become standard uncertainty quantification (UQ) tools for a wide class of…

This paper considers a new approach to using Markov chain Monte Carlo (MCMC) in contexts where one may adopt multilevel (ML) Monte Carlo. The underlying problem is to approximate expectations w.r.t. an underlying probability measure that is…

In this paper, we investigate the use of multilevel Monte Carlo (MLMC) methods for estimating the expectation of discretized random fields. Specifically, we consider a setting in which the input and output vectors of numerical simulators…

In this work, we tackle the problem of minimising the Conditional-Value-at-Risk (CVaR) of output quantities of complex differential models with random input data, using gradient-based approaches in combination with the Multi-Level Monte…

In this paper we consider Bayesian parameter inference associated to a class of partially observed stochastic differential equations (SDE) driven by jump processes. Such type of models can be routinely found in applications, of which we…

While multilevel Monte Carlo (MLMC) methods for the numerical approximation of partial differential equations with random coefficients enjoy great popularity, combinations with spatial adaptivity seem to be rare. We present an adaptive MLMC…

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…

Single-operator learning involves training a deep neural network to learn a specific operator, whereas recent work in multi-operator learning uses an operator embedding structure to train a single neural network on data from multiple…

The multilevel Monte Carlo (MLMC) method is highly efficient for estimating expectations of a functional of a solution to a stochastic differential equation (SDE). However, MLMC estimators may be unstable and have a poor (noncanonical)…

A statistical learning approach for parametric PDEs related to Uncertainty Quantification is derived. The method is based on the minimization of an empirical risk on a selected model class and it is shown to be applicable to a broad range…

The predictive accuracy of operator learning frameworks depends on the quality and quantity of available training data (input-output function pairs), often requiring substantial amounts of high-fidelity data, which can be challenging to…

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…

Deep learning algorithms have been widely used to solve linear Kolmogorov partial differential equations~(PDEs) in high dimensions, where the loss function is defined as a mathematical expectation. We propose to use the randomized…

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…

Reinforcement learning (RL) is a promising method to solve control problems. However, model-free RL algorithms are sample inefficient and require thousands if not millions of samples to learn optimal control policies. A major source of…

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…

We propose a multilevel Markov chain Monte Carlo (MCMC) method for the Bayesian inference of random field parameters in PDEs using high-resolution data. Compared to existing multilevel MCMC methods, we additionally consider level-dependent…

While many problems in machine learning focus on learning mappings between finite-dimensional spaces, scientific applications require approximating mappings between function spaces, i.e., operators. We study the problem of learning…

In this paper, we investigate neural networks applied to multiscale simulations and discuss a design of a novel deep neural network model reduction approach for multiscale problems. Due to the multiscale nature of the medium, the fine-grid…

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…