相关论文: Multifidelity conditional value-at-risk estimation…

We study the problem of incorporating risk while making combinatorial decisions under uncertainty. We formulate a discrete submodular maximization problem for selecting a set using Conditional-Value-at-Risk (CVaR), a risk metric commonly…

We develop a multi-level restricted Gaussian maximum likelihood method for estimating the covariance function parameters and computing the best unbiased predictor. Our approach produces a new set of multi-level contrasts where the…

Deep Gaussian Processes (DGPs) were proposed as an expressive Bayesian model capable of a mathematically grounded estimation of uncertainty. The expressivity of DPGs results from not only the compositional character but the distribution…

Structural reliability methods aim at computing the probability of failure of systems with respect to some prescribed performance functions. In modern engineering such functions usually resort to running an expensive-to-evaluate…

Many safety-critical control systems must operate under latent uncertainty that sensors cannot directly resolve at decision time. Such uncertainty, arising from unknown physical properties, exogenous disturbances, or unobserved environment…

System reliability analysis aims at computing the probability of failure of an engineering system given a set of uncertain inputs and limit state functions. Active-learning solution schemes have been shown to be a viable tool but as of yet…

This paper advances a variable screening approach to enhance conditional quantile forecasts using high-dimensional predictors. We have refined and augmented the quantile partial correlation (QPC)-based variable screening proposed by Ma et…

We address the challenge of constructing noise-robust surrogate models for quantities of interest (QoIs) arising from parametric partial differential equations (PDEs), using multi-fidelity collocation techniques; specifically, the…

Distributional reinforcement learning (RL) -- in which agents learn about all the possible long-term consequences of their actions, and not just the expected value -- is of great recent interest. One of the most important affordances of a…

Sequential Monte Carlo (SMC) samplers for reward-guided diffusion models often suffer from rapid lineage collapse: a few high-reward particles dominate the population within a handful of resampling steps, destroying diversity and degrading…

We present a strictly monotone, provably convergent two-dimensional (2D) integration method for multi-period mean-conditional value-at-risk (mean-CVaR) reward-risk stochastic control in models whose one-step increment law is specified via a…

In this paper, the minimization of computational cost on evaluating multi-dimensional integrals is explored. More specifically, a method based on an adaptive scheme for error variance selection in Monte Carlo integration (MCI) is presented.…

We develop a novel multivariate semi-parametric framework for joint portfolio Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting. Unlike existing univariate semi-parametric approaches, the proposed framework explicitly models the…

A new Micro-Macro-Surrogate (MMS) hybrid method is presented that couples the Direct Simulation Monte Carlo (DSMC) method with Computational Fluid Dynamics (CFD) to simulate low-speed rarefied gas flows. The proposed MMS method incorporates…

Selecting high-quality candidates from large-scale datasets is critically important in resource-constrained applications such as drug discovery, precision medicine, and the alignment of large language models. While conformal selection…

Multigrid methods have proven to be an invaluable tool to efficiently solve large sparse linear systems arising in the discretization of partial differential equations (PDEs). Algebraic multigrid methods and in particular adaptive algebraic…

To reconstruct the 3D geometry from calibrated images, learning-based multi-view stereo (MVS) methods typically perform multi-view depth estimation and then fuse depth maps into a mesh or point cloud. To improve the computational…

Median-of-means (MOM) based procedures provide non-asymptotic and strong deviation bounds even when data are heavy-tailed and/or corrupted. This work proposes a new general way to bound the excess risk for MOM estimators. The core technique…

Gradient-enhanced Kriging (GE-Kriging) is a well-established surrogate modelling technique for approximating expensive computational models. However, it tends to get impractical for high-dimensional problems due to the size of the inherent…

We consider a class of risk-averse submodular maximization problems (RASM) where the objective is the conditional value-at-risk (CVaR) of a random nondecreasing submodular function at a given risk level. We propose valid inequalities and an…