Related papers: Faster Forward Sensitivities: Reduced stochastic h…
This paper introduces a no-arbitrage, Monte Carlo-free approach to pricing path-dependent interest rate derivatives. The Heath-Jarrow-Morton model gives arbitrage-free contingent claims prices but is infinite-dimensional, making traditional…
We propose and analyze the convergence of a novel stochastic forward-backward splitting algorithm for solving monotone inclusions given by the sum of a maximal monotone operator and a single-valued maximal monotone cocoercive operator. This…
Global sensitivity analysis of a numerical code, more specifically estimation of Sobol indices associated with input variables, generally requires a large number of model runs. When those demand too much computation time, it is necessary to…
It has become increasingly easy nowadays to collect approximate posterior samples via fast algorithms such as variational Bayes, but concerns exist about the estimation accuracy. It is tempting to build solutions that exploit approximate…
Probabilistic programs with mixed support (both continuous and discrete latent random variables) commonly appear in many probabilistic programming systems (PPSs). However, the existence of the discrete random variables prohibits many basic…
We compare estimators of the (essential) supremum and the integral of a function $f$ defined on a measurable space when $f$ may be observed at a sample of points in its domain, possibly with error. The estimators compared vary in their…
Markov Chain Monte Carlo (MCMC) sampling is computationally expensive, especially for complex models. Alternative methods make simplifying assumptions about the posterior to reduce computational burden, but their impact on predictive…
We present a new Subset Simulation approach using Hamiltonian neural network-based Monte Carlo sampling for reliability analysis. The proposed strategy combines the superior sampling of the Hamiltonian Monte Carlo method with…
Barrier derivatives depend on extrema and first-passage events and are therefore highly sensitive to volatility dynamics -- especially to the instantaneous return-volatility correlation $\rho$, often called ``leverage''. This sensitivity…
Many problems in robotics involve both continuous and discrete components, and modeling them together for estimation tasks has been a long standing and difficult problem. Hybrid Factor Graphs give us a mathematical framework to model these…
In this paper, we introduce a new approach to constructing unbiased estimators when computing expectations of path functionals associated with stochastic differential equations (SDEs). Our randomization idea is closely related to…
We consider a wide range of regularized stochastic minimization problems with two regularization terms, one of which is composed with a linear function. This optimization model abstracts a number of important applications in artificial…
Stochastic restoration algorithms allow to explore the space of solutions that correspond to the degraded input. In this paper we reveal additional fundamental advantages of stochastic methods over deterministic ones, which further motivate…
In financial engineering, prices of financial products are computed approximately many times each trading day with (slightly) different parameters in each calculation. In many financial models such prices can be approximated by means of…
Conditional Monte Carlo (CMC) has been widely used for sensitivity estimation with discontinuous integrands as a standard simulation technique. A major limitation of using CMC in this context is that finding conditioning variables to ensure…
We present an efficient low-rank approximation algorithm for non-negative tensors. The algorithm is derived from our two findings: First, we show that rank-1 approximation for tensors can be viewed as a mean-field approximation by treating…
In predictive modeling with simulation or machine learning, it is critical to accurately assess the quality of estimated values through output analysis. In recent decades output analysis has become enriched with methods that quantify the…
A metric tensor for Riemann manifold Monte Carlo particularly suited for non-linear Bayesian hierarchical models is proposed. The metric tensor is built from symmetric positive semidefinite log-density gradient covariance (LGC) matrices,…
The practice of stochastic sensitivity analysis described in the decision analysis literature is a testimonial to the need for considering deviations from precise point estimates of uncertainty. We propose the use of Bayesian fuzzy…
It has been known for a long time that stratification is one possible strategy to obtain higher convergence rates for the Monte Carlo estimation of integrals over the hyper-cube $[0, 1]^s$ of dimension $s$. However, stratified estimators…