Nested Multilevel Monte Carlo with Biased and Antithetic Sampling
AL Haji-Ali, J Spence - arXiv preprint arXiv:2308.07835, 2023 - arxiv.org
We consider the problem of estimating a nested structure of two expectations taking the form
$ U_0= E [\max\{U_1 (Y),\pi (Y)\}] $, where $ U_1 (Y)= E [X\|\Y] $. Terms of this form arise in …
$ U_0= E [\max\{U_1 (Y),\pi (Y)\}] $, where $ U_1 (Y)= E [X\|\Y] $. Terms of this form arise in …
Importance sampling for rare event tracking within the ensemble Kalman filtering framework
NB Rached, E von Schwerin, G Shaimerdenova… - arXiv preprint arXiv …, 2024 - arxiv.org
In this work we employ importance sampling (IS) techniques to track a small over-threshold
probability of a running maximum associated with the solution of a stochastic differential …
probability of a running maximum associated with the solution of a stochastic differential …
Accelerated simulation of Boltzmann-BGK equations near the diffusive limit with asymptotic-preserving multilevel Monte Carlo
Kinetic equations model the position-velocity distribution of particles subject to transport and
collision effects. Under a diffusive scaling, these combined effects converge to a diffusion …
collision effects. Under a diffusive scaling, these combined effects converge to a diffusion …
Solving McKean-Vlasov Equation by deep learning particle method
J Li, W Liu - arXiv preprint arXiv:2501.00780, 2025 - arxiv.org
We introduce a novel meshless simulation method for the McKean-Vlasov Stochastic
Differential Equation (MV-SDE) utilizing deep learning, applicable to both self-interaction …
Differential Equation (MV-SDE) utilizing deep learning, applicable to both self-interaction …
Multi-index Importance Sampling for McKean-Vlasov Stochastic Differential Equation
NB Rached, AL Haji-Ali, SMS Pillai… - arXiv preprint arXiv …, 2023 - arxiv.org
This work introduces a novel approach that combines the multi-index Monte Carlo (MC)
method with importance sampling (IS) to estimate rare event quantities expressed as an …
method with importance sampling (IS) to estimate rare event quantities expressed as an …
Hierarchical ensemble-based data assimilation and rare event tracking
G Shaimerdenova - 2024 - repository.kaust.edu.sa
Hierarchical ensemble-based data assimilation and rare event tracking Page 1 Hierarchical
ensemble-based data assimilation and rare event tracking Dissertation by Gaukhar …
ensemble-based data assimilation and rare event tracking Dissertation by Gaukhar …
Hierarchical and adaptive methods for accurate and efficient risk estimation
J Spence - 2023 - ros.hw.ac.uk
Practical systems that depend on unknown factors are frequently well-represented through a
stochastic model. By estimating statistics of the underlying model, critical features of the …
stochastic model. By estimating statistics of the underlying model, critical features of the …