相关论文: A parametric acceleration of multilevel Monte Carl…

This work presents an efficient approach for accelerating multilevel Markov Chain Monte Carlo (MCMC) sampling for large-scale problems using low-fidelity machine learning models. While conventional techniques for large-scale Bayesian…

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…

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.…

Accurately and efficiently estimating system performance under uncertainty is paramount in power system planning and operation. Monte Carlo simulation is often used for this purpose, but convergence may be slow, especially when detailed…

In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an…

In the first part of this paper we study approximations of trajectories of Piecewise Deter-ministic Processes (PDP) when the flow is not explicit by the thinning method. We also establish a strong error estimate for PDPs as well as a weak…

In this article we consider Bayesian estimation of static parameters for a class of partially observed McKean-Vlasov diffusion processes with discrete-time observations over a fixed time interval. This problem features several obstacles to…

The multilevel Monte Carlo (MLMC) method for continuous-time Markov chains, first introduced by Anderson and Higham (SIAM Multiscal Model. Simul. 10(1), 2012), is a highly efficient simulation technique that can be used to estimate various…

We develop a framework that allows the use of the multi-level Monte Carlo (MLMC) methodology (Giles2015) to calculate expectations with respect to the invariant measure of an ergodic SDE. In that context, we study the (over-damped) Langevin…

In this article we consider static Bayesian parameter estimation for partially observed diffusions that are discretely observed. We work under the assumption that one must resort to discretizing the underlying diffusion process, for…

The computational complexity of naive, sampling-based uncertainty quantification for 3D partial differential equations is extremely high. Multilevel approaches, such as multilevel Monte Carlo (MLMC), can reduce the complexity significantly,…

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)…

This work proposes a scheme for significantly reducing the computational complexity of discretized problems involving the non-smooth forward propagation of uncertainty by combining the adaptive hierarchical sparse grid stochastic…

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…

This paper introduces a Bayesian framework that combines Markov chain Monte Carlo (MCMC) sampling, dimensionality reduction, and neural density estimation to efficiently handle inverse problems that (i) must be solved multiple times, and…

In this paper we present a rigorous cost and error analysis of a multilevel estimator based on randomly shifted Quasi-Monte Carlo (QMC) lattice rules for lognormal diffusion problems. These problems are motivated by uncertainty…

Nested Monte Carlo is widely used for risk estimation, but its efficiency is limited by the discontinuity of the indicator function and high computational cost. This paper proposes a nested Multilevel Monte Carlo (MLMC) method combined with…

Estimating risk measures such as large loss probabilities and Value-at-Risk is fundamental in financial risk management and often relies on computationally intensive nested Monte Carlo methods. While Multi-Level Monte Carlo (MLMC)…

In this note, the existing porousMultiphaseFoam toolbox, developed initially for any two-phase flow in porous media is extended to the specific case of the Richards' equation which neglect the pressure gradient of the non-wetting phase.…

We introduce a Monte Carlo Virtual Element estimator based on Virtual Element discretizations for stochastic elliptic partial differential equations with random diffusion coefficients. We prove estimates for the statistical approximation…