Results 71 to 80 of about 545,959 (267)
, 2015 In this paper, we are interested in the strong convergence properties of the Ninomiya-Victoir scheme which is known to exhibit weak convergence with order 2. We prove strong convergence with order $1/2$.
Clément, Emmanuelle +2 more
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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
doaj
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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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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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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Multilevel Monte Carlo estimation of expected information gains [PDF]
Stochastic Analysis and Applications, 2018 The expected information gain is an important quality criterion of Bayesian experimental designs, which measures how much the information entropy about uncertain quantity of interest θ is reduced on average by collecting relevant data Y.
T. Goda +2 more
semanticscholar +1 more source
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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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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