Results 51 to 60 of about 40,789 (244)
Multilevel Monte Carlo Variational Inference
, 2019 44pages, 10 figures; Journal of Machine Learning Research (JMLR)
Fujisawa, Masahiro, Sato, Issei
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Multilevel quasi-Monte Carlo for optimization under uncertainty
Numerische Mathematik, 2023 This paper considers the problem of optimizing the average tracking error for an elliptic partial differential equation with an uncertain lognormal diffusion coefficient. In particular, the application of the multilevel quasi-Monte Carlo (MLQMC) method to the estimation of the gradient is investigated, with a circulant embedding method used to sample ...
Guth, Philipp A., Van Barel, Andreas
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Weak Multilevel Path Simulation for Jump-Diffusion Assets
پژوهشهای ریاضی, 2021 This paper, inspired by recent advances in the application of the multilevel Monte-Carlo (MLMC) approach to Lévy driven assets, is based on the valuation of financial derivatives.
Azadeh Ghasemifard +1 more
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Central limit theorem for the multilevel Monte Carlo Euler method
, 2015 This paper focuses on studying the multilevel Monte Carlo method recently introduced by Giles [Oper. Res. 56 (2008) 607-617] which is significantly more efficient than the classical Monte Carlo one.
Alaya, Mohamed Ben, Kebaier, Ahmed
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Multilevel Richardson-Romberg extrapolation [PDF]
, 2016 We propose and analyze a Multilevel Richardson-Romberg (MLRR) estimator which combines the higher order bias cancellation of the Multistep Richardson-Romberg method introduced in [Pa07] and the variance control resulting from the stratification ...
Lemaire, Vincent, Pagès, Gilles
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Journal of Sports Analytics, 2019 Estimating probability is the very core of forecasting. Increasing computing power has enabled researchers to design highly intractable probability models, such that model results are identified through the Monte Carlo method of repeated stochastic ...
Richard Demsyn-Jones
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Operations Research Perspectives, 2020 Uncertainty propagation of large-scale discrete supply chains can be prohibitive when numerous events occur during the simulated period and when discrete-event simulations (DES) are costly.
Nai-Yuan Chiang, Yiqing Lin, Quan Long
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Path-integral Monte Carlo Simulations without the Sign Problem: Multilevel Blocking Approach for Effective Actions [PDF]
, 2000 The multilevel blocking algorithm recently proposed as a possible solution to the sign problem in path-integral Monte Carlo simulations has been extended to systems with long-ranged interactions along the Trotter direction. As an application, new results
Egger, R., Mak, C. H., Muehlbacher, L.
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ggmcmc: Analysis of MCMC Samples and Bayesian Inference
Journal of Statistical Software, 2016 ggmcmc is an R package for analyzing Markov chain Monte Carlo simulations from Bayesian inference. By using a well known example of hierarchical/multilevel modeling, the article reviews the potential uses and options of the package, ranging from ...
Xavier Fernández-i-Marín
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U.Porto Journal of Engineering, 2021 Reliability assessment of electrical distribution systems is an important criterion to determine system performance in terms of interruptions. Probabilistic assessment methods are usually used in reliability analysis to deal with uncertainties.
Manohar Potli, Chandrasekhar Reddy Atla
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