相关论文: Uncertainty Quantification in Data-Driven Inverse …

We study inverse optimization (IO), where the goal is to use a parametric optimization program as the hypothesis class to infer relationships between input-decision pairs. Most of the literature focuses on learning only the objective…

Inverse problems and, in particular, inferring unknown or latent parameters from data are ubiquitous in engineering simulations. A predominant viewpoint in identifying unknown parameters is Bayesian inference where both prior information…

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…

We consider the problem of Bayesian regression with trustworthy uncertainty quantification. We define that the uncertainty quantification is trustworthy if the ground truth can be captured by intervals dependent on the predictive…

We consider the Bayesian approach to linear inverse problems when the underlying operator depends on an unknown parameter. Allowing for finite dimensional as well as infinite dimensional parameters, the theory covers several models with…

In this article a novel approach for training deep neural networks using Bayesian techniques is presented. The Bayesian methodology allows for an easy evaluation of model uncertainty and additionally is robust to overfitting. These are…

Inverse problems, i.e., estimating parameters of physical models from experimental data, are ubiquitous in science and engineering. The Bayesian formulation is the gold standard because it alleviates ill-posedness issues and quantifies…

The paper solves the problem of optimal portfolio choice when the parameters of the asset returns distribution, like the mean vector and the covariance matrix are unknown and have to be estimated by using historical data of the asset…

A key quantity of interest in Bayesian inference are expectations of functions with respect to a posterior distribution. Markov Chain Monte Carlo is a fundamental tool to consistently compute these expectations via averaging samples drawn…

Bayesian optimization is a popular tool for data-efficient optimization of expensive objective functions. In real-life applications like engineering design, the designer often wants to take multiple objectives as well as input uncertainty…

We propose a Bayesian inference framework to estimate uncertainties in inverse scattering problems. Given the observed data, the forward model and their uncertainties, we find the posterior distribution over a finite parameter field…

Inverse problems aim to determine model parameters of a mathematical problem from given observational data. Neural networks can provide an efficient tool to solve these problems. In the context of Bayesian inverse problems, Uncertainty…

We present a computational framework for estimating the uncertainty in the numerical solution of linearized infinite-dimensional statistical inverse problems. We adopt the Bayesian inference formulation: given observational data and their…

There is a lack of simple and scalable algorithms for uncertainty quantification. Bayesian methods quantify uncertainty through posterior and predictive distributions, but it is difficult to rapidly estimate summaries of these…

Given a set of human's decisions that are observed, inverse optimization has been developed and utilized to infer the underlying decision making problem. The majority of existing studies assumes that the decision making problem is with a…

Through the Bayesian lens of data assimilation, uncertainty on model parameters is traditionally quantified through the posterior covariance matrix. However, in modern settings involving high-dimensional and computationally expensive…

We consider solving linear optimization (LO) problems with uncertain objective coefficients. For such problems, we often employ robust optimization (RO) approaches by introducing an uncertainty set for the unknown coefficients. Typical RO…

Inverse optimization refers to the inference of unknown parameters of an optimization problem based on knowledge of its optimal solutions. This paper considers inverse optimization in the setting where measurements of the optimal solutions…

Most inverse optimization models impute unspecified parameters of an objective function to make an observed solution optimal for a given optimization problem with a fixed feasible set. We propose two approaches to impute unspecified…

As modern neural networks get more complex, specifying a model with high predictive performance and sound uncertainty quantification becomes a more challenging task. Despite some promising theoretical results on the true posterior…