相关论文: Antithetic multilevel particle system sampling met…

This paper deals with the Monte-Carlo methods for evaluating expectations of functionals of solutions to McKean-Vlasov Stochastic Differential Equations (MV-SDE) with drifts of super-linear growth. We assume that the MV-SDE is approximated…

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…

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…

Multivariate normal (MVN) probabilities arise in myriad applications, but they are analytically intractable and need to be evaluated via Monte-Carlo-based numerical integration. For the state-of-the-art minimax exponential tilting (MET)…

The Markov chain Monte Carlo method (MCMC), especially the Metropolis-Hastings (MH) algorithm, is a widely used technique for sampling from a target probability distribution $P$ on a state space $\Omega$ and applied to various problems such…

Quasi-Monte Carlo (QMC) methods for estimating integrals are attractive since the resulting estimators typically converge at a faster rate than pseudo-random Monte Carlo. However, they can be difficult to set up on arbitrary posterior…

We construct improved quantum Monte Carlo estimators for the spherically- and system-averaged electron pair density (i.e. the probability density of finding two electrons separated by a relative distance u), also known as the…

This work introduces a novel multilevel Monte Carlo (MLMC) metamodeling approach for variance function estimation. Although devising an efficient experimental design for simulation metamodeling can be elusive, the MLMC-based approach…

In this paper, we construct a type of interacting particle systems to approximate a class of stochastic different equations whose coefficients depend on the conditional probability distributions of the processes given partial observations.…

Identifying important features linked to a response variable is a fundamental task in various scientific domains. This article explores statistical inference for simulated Markov random fields in high-dimensional settings. We introduce a…

Existence and local-uniqueness theorems for weak solutions of a system consisting of the drift-diffusion-Poisson equations and the Poisson-Boltzmann equation, all with stochastic coefficients, are presented. For the numerical approximation…

It is of significant interest in many applications to sample from a high-dimensional target distribution $\pi$ with the density $\pi(\text{d} x) \propto e^{-U(x)} (\text{d} x) $, based on the temporal discretization of the Langevin…

We investigate a weighted Multilevel Richardson-Romberg extrapolation for the ergodic approximation of invariant distributions of diffusions adapted from the one introduced in~[Lemaire-Pag\`es, 2013] for regular Monte Carlo simulation. In a…

Computational tools for characterizing electromagnetic scattering from objects with uncertain shapes are needed in various applications ranging from remote sensing at microwave frequencies to Raman spectroscopy at optical frequencies.…

Quantum Monte Carlo integration, a quantum algorithm for calculating expectations that provides a quadratic speed-up compared to its classical counterpart, is now attracting increasing interest in the context of its industrial and…

Accurate estimates of long-term risk probabilities and their gradients are critical for many stochastic safe control methods. However, computing such risk probabilities in real-time and in unseen or changing environments is challenging.…

We present a nonlinear (in the sense of McKean) generalization of Hamiltonian Monte Carlo (HMC) termed nonlinear HMC (nHMC) capable of sampling from nonlinear probability measures of mean-field type. When the underlying confinement…

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…

Estimating latent epidemic states and model parameters from partially observed, noisy data remains a major challenge in infectious disease modeling. State-space formulations provide a coherent probabilistic framework for such inference, yet…

Designing efficient learning algorithms with complexity guarantees for Markov decision processes (MDPs) with large or continuous state and action spaces remains a fundamental challenge. We address this challenge for entropy-regularized MDPs…