Related papers: MLMC-based Resource Adequacy Assessment with Activ…

Adaptive Mixed-Criticality (AMC) is a fixed-priority preemptive scheduling algorithm for mixed-criticality hard real-time systems. It dominates many other scheduling algorithms for mixed-criticality systems, but does so at the cost of…

Delayed-acceptance is a technique for reducing computational effort for Bayesian models with expensive likelihoods. Using a delayed-acceptance kernel for Markov chain Monte Carlo can reduce the number of expensive likelihoods evaluations…

Model-based reinforcement learning (MBRL) is a sample efficient technique to obtain control policies, yet unavoidable modeling errors often lead performance deterioration. The model in MBRL is often solely fitted to reconstruct dynamics,…

We propose a novel Continuation Multi Level Monte Carlo (CMLMC) algorithm for weak approximation of stochastic models. The CMLMC algorithm solves the given approximation problem for a sequence of decreasing tolerances, ending when the…

The quantification of uncertainty on fluid flow in porous media is often hampered by multi-scale heterogeneity and insufficient site characterization. Monte-Carlo simulation (MCS), which runs numerical simulations for a large number of…

Multi-label loss functions are usually non-differentiable, requiring surrogate loss functions for gradient-based optimisation. The consistency of surrogate loss functions is not proven and is exacerbated by the conflicting nature of…

In many-task optimization scenarios, surrogate models are valuable for mitigating the computational burden of repeated fitness evaluations across tasks. This study proposes a novel meta-surrogate framework to assist many-task optimization,…

The multilevel Monte Carlo method is applied to an academic example in the field of electromagnetism. The method exhibits a reduced variance by assigning the samples to multiple models with a varying spatial resolution. For the given…

Supervised learning with large-scale data usually leads to complex optimization problems, especially for classification tasks with multiple classes. Stochastic subgradient methods can enable efficient learning with a large number of samples…

Active learning methods have recently surged in the literature due to their ability to solve complex structural reliability problems within an affordable computational cost. These methods are designed by adaptively building an inexpensive…

Many problems require to approximate an expected value by some kind of Monte Carlo (MC) sampling, e.g. molecular dynamics (MD) or simulation of stochastic reaction models (also termed kinetic Monte Carlo (kMC)). Often, we are furthermore…

We present in this paper a hybrid, Multi-Level Monte Carlo (MLMC) method for solving the neutral particle transport equation. MLMC methods, originally developed to solve parametric integration problems, work by using a cheap, low fidelity…

We propose Subsampling MCMC, a Markov Chain Monte Carlo (MCMC) framework where the likelihood function for $n$ observations is estimated from a random subset of $m$ observations. We introduce a highly efficient unbiased estimator of the…

A common way to simulate the transport and spread of pollutants in the atmosphere is via stochastic Lagrangian dispersion models. Mathematically, these models describe turbulent transport processes with stochastic differential equations…

We propose a Multi-level Monte Carlo technique to accelerate Monte Carlo sampling for approximation of properties of materials with random defects. The computational efficiency is investigated on test problems given by tight-binding models…

A method for the multifidelity Monte Carlo (MFMC) estimation of statistical quantities is proposed which is applicable to computational budgets of any size. Based on a sequence of optimization problems each with a globally minimizing…

We develop new multilevel Monte Carlo (MLMC) methods to estimate the expectation of the smallest eigenvalue of a stochastic convection-diffusion operator with random coefficients. The MLMC method is based on a sequence of finite element…

We explore a hybrid technique to quantify the variability in the numerical solutions to a free boundary problem associated with magnetic equilibrium in axisymmetric fusion reactors amidst parameter uncertainties. The method aims at reducing…

Process-based hydrologic models are invaluable tools for understanding the terrestrial water cycle and addressing modern water resources problems. However, many hydrologic models are computationally expensive and, depending on the…

High-Performance Computing (HPC) schedulers must balance user performance with facility-wide resource constraints. The task boils down to selecting the optimal number of nodes for a given job. We present a surrogate-assisted multi-objective…