相关论文: Sample correlation adjustments for robust Multi-fi…
Monte Carlo simulations of quantum field theories on a lattice become increasingly expensive as the continuum limit is approached since the cost per independent sample grows with a high power of the inverse lattice spacing. Simulations on…
We consider the problem of estimating the probability of a large loss from a financial portfolio, where the future loss is expressed as a conditional expectation. Since the conditional expectation is intractable in most cases, one may…
We present in this paper a hybrid, Multi-Level Monte Carlo (MLMC) method for solving the neutral particle transport equation. MLMC methods, originally developed to solve parametric integration problems, work by using a cheap, low fidelity…
The control variates method is a classical variance reduction technique for Monte Carlo estimators that exploits correlated auxiliary variables without introducing bias. In many applications, the quantity of interest can be expressed as a…
In many real-world engineering systems, the performance or reliability of the system is characterised by a scalar parameter. The distribution of this performance parameter is important in many uncertainty quantification problems, ranging…
Sampling-based motion planning methods, while effective in high-dimensional spaces, often suffer from inefficiencies due to irregular sampling distributions, leading to suboptimal exploration of the configuration space. In this paper, we…
This paper focuses on variational inference with intractable likelihood functions that can be unbiasedly estimated. A flexible variational approximation based on Gaussian mixtures is developed, by adopting the mixture population Monte Carlo…
The trace of a matrix function f(A), most notably of the matrix inverse, can be estimated stochastically using samples< x,f(A)x> if the components of the random vectors x obey an appropriate probability distribution. However such a…
We propose Subsampling MCMC, a Markov Chain Monte Carlo (MCMC) framework where the likelihood function for $n$ observations is estimated from a random subset of $m$ observations. We introduce a highly efficient unbiased estimator of the…
Markov chain Monte Carlo (MCMC) simulation methods are widely used to assess parametric uncertainties of hydrologic models conditioned on measurements of observable state variables. However, when the model is CPU-intensive and…
Multilevel Splitting is a Sequential Monte Carlo method to simulate realisations of a rare event as well as to estimate its probability. This article is concerned with the convergence and the fluctuation analysis of Adaptive Multilevel…
Markov chain Monte Carlo (MCMC) sampling of posterior distributions arising in Bayesian inverse problems is challenging when evaluations of the forward model are computationally expensive. Replacing the forward model with a low-cost,…
Methods for generating sequences of surrogates approximating fine scale models of two-phase random heterogeneous media are presented that are designed to adaptively control the modeling error in key quantities of interest (QoIs). For…
Sequential Monte Carlo (SMC) methods are a class of Monte Carlo methods that are used to obtain random samples of a high dimensional random variable in a sequential fashion. Many problems encountered in applications often involve different…
In this paper we present a new approach to control variates for improving computational efficiency of Ensemble Monte Carlo. We present the approach using simulation of paths of a time-dependent nonlinear stochastic equation. The core idea…
Multifidelity approximate Bayesian computation (MF-ABC) is a likelihood-free technique for parameter inference that exploits model approximations to significantly increase the speed of ABC algorithms (Prescott and Baker, 2020). Previous…
The problem of optimising functions with intractable gradients frequently arise in machine learning and statistics, ranging from maximum marginal likelihood estimation procedures to fine-tuning of generative models. Stochastic approximation…
This article considers the sequential Monte Carlo (SMC) approximation of ratios of normalizing constants associated to posterior distributions which in principle rely on continuum models. Therefore, the Monte Carlo estimation error and the…
Quasi-Monte Carlo sampling can attain far better accuracy than plain Monte Carlo sampling. However, with plain Monte Carlo sampling it is much easier to estimate the attained accuracy. This article describes methods old and new to quantify…
It is often necessary to make sampling-based statistical inference about many probability distributions in parallel. Given a finite computational resource, this article addresses how to optimally divide sampling effort between the samplers…