相关论文: MCMC Informed Neural Emulators for Uncertainty Qua…

We consider Metropolis Hastings MCMC in cases where the log of the ratio of target distributions is replaced by an estimator. The estimator is based on m samples from an independent online Monte Carlo simulation. Under some conditions on…

Existing methods for quantifying predictive uncertainty in neural networks are either computationally intractable for large language models or require access to training data that is typically unavailable. We derive a lightweight…

Multilevel Monte Carlo (MLMC) is a flexible and effective variance reduction technique for accelerating reliability assessments of complex power system. Recently, data-driven surrogate models have been proposed as lower-level models in the…

Quantification of uncertainty in production/injection forecasting is an important aspect of reservoir simulation studies. Conventional approaches include intrusive Galerkin-based methods (e.g., generalized polynomial chaos (gPC) and…

Uncertainty quantification for full-waveform inversion provides a probabilistic characterization of the ill-conditioning of the problem, comprising the sensitivity of the solution with respect to the starting model and data noise. This…

Uncertainty Quantification through Markov Chain Monte Carlo (MCMC) can be prohibitively expensive for target probability densities with expensive likelihood functions, for instance when the evaluation it involves solving a Partial…

Markov chain Monte Carlo (MCMC) methods provide powerful framework for sampling unknown probability measures across a wide range of scientific applications. In some settings, the target distribution is supported on a lower-dimensional…

This paper explores learning emulators for parameter estimation with uncertainty estimation of high-dimensional dynamical systems. We assume access to a computationally complex simulator that inputs a candidate parameter and outputs a…

We propose a sequential Markov chain Monte Carlo (SMCMC) algorithm to sample from a sequence of probability distributions, corresponding to posterior distributions at different times in on-line applications. SMCMC proceeds as in usual MCMC…

We consider quantile estimation using Markov chain Monte Carlo and establish conditions under which the sampling distribution of the Monte Carlo error is approximately Normal. Further, we investigate techniques to estimate the associated…

Uncertainty quantification (UQ) plays a pivotal role in scientific machine learning, especially when surrogate models are used to approximate complex systems. Although multilayer perceptions (MLPs) are commonly employed as surrogates, they…

For discrete-time linear systems subject to parametric uncertainty described by random variables, we develop a sampling-based Stochastic Model Predictive Control algorithm. Unlike earlier results employing a scenario approximation, we…

We present an information-based uncertainty quantification method for general Markov Random Fields. Markov Random Fields (MRF) are structured, probabilistic graphical models over undirected graphs, and provide a fundamental unifying…

Two-stage stochastic programming is a popular framework for optimization under uncertainty, where decision variables are split between first-stage decisions, and second-stage (or recourse) decisions, with the latter being adjusted after…

When predicting physical phenomena through simulation, quantification of the total uncertainty due to multiple sources is as crucial as making sure the underlying numerical model is accurate. Possible sources include irreducible aleatoric…

Estimation of patient-specific model parameters is important for personalized modeling, although sparse and noisy clinical data can introduce significant uncertainty in the estimated parameter values. This importance source of uncertainty,…

Surrogate modeling for complex physical systems typically faces a trade-off between data-fitting accuracy and physical consistency. Physics-consistent approaches typically treat physical laws as soft constraints within the loss function, a…

We introduce a new algorithm for approximate inference that combines reparametrization, Markov chain Monte Carlo and variational methods. We construct a very flexible implicit variational distribution synthesized by an arbitrary Markov…

Markov chain Monte Carlo (MCMC) methods have not been broadly adopted in Bayesian neural networks (BNNs). This paper initially reviews the main challenges in sampling from the parameter posterior of a neural network via MCMC. Such…

Uncertainty Quantification (UQ) is a key discipline for computational modeling of complex systems, enhancing reliability of engineering simulations. In crashworthiness, having an accurate assessment of the behavior of the model uncertainty…