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Concept

Mesure de probabilité

Publications associées (26)

Extensions of Peer Prediction Incentive Mechanisms

Adam Julian Richardson

As large, data-driven artificial intelligence models become ubiquitous, guaranteeing high data quality is imperative for constructing models. Crowdsourcing, community sensing, and data filtering have long been the standard approaches to guaranteeing or imp ...

EPFL2024

A Functional Perspective on Information Measures

Amedeo Roberto Esposito

Since the birth of Information Theory, researchers have defined and exploited various information measures, as well as endowed them with operational meanings. Some were born as a "solution to a problem", like Shannon's Entropy and Mutual Information. Other ...

EPFL2022

Is there an analog of Nesterov acceleration for gradient-based MCMC?

Nicolas Henri Bernard Flammarion

We formulate gradient-based Markov chain Monte Carlo (MCMC) sampling as optimization on the space of probability measures, with Kullback-Leibler (KL) divergence as the objective functional. We show that an under-damped form of the Langevin algorithm perfor ...

2021

Semi-Discrete Optimal Transport: Hardness, Regularization and Numerical Solution

Daniel Kuhn, Soroosh Shafieezadeh Abadeh, Bahar Taskesen

Semi-discrete optimal transport problems, which evaluate the Wasserstein distance between a discrete and a generic (possibly non-discrete) probability measure, are believed to be computationally hard. Even though such problems are ubiquitous in statistics, ...

2023

A probabilistic finite element method based on random meshes: A posteriori error estimators and Bayesian inverse problems

Assyr Abdulle, Giacomo Garegnani

We present a novel probabilistic finite element method (FEM) for the solution and uncertainty quantification of elliptic partial differential equations based on random meshes, which we call random mesh FEM (RM-FEM). Our methodology allows to introduce a pr ...

ELSEVIER SCIENCE SA2021

Probabilistic and Bayesian methods for uncertainty quantification of deterministic and stochastic differential equations

Giacomo Garegnani

In this thesis we explore uncertainty quantification of forward and inverse problems involving differential equations. Differential equations are widely employed for modeling natural and social phenomena, with applications in engineering, chemistry, meteor ...

EPFL2021

Least-Squares Padé approximation of parametric and stochastic Helmholtz maps

Fabio Nobile, Davide Pradovera, Francesca Bonizzoni

The present work deals with rational model order reduction methods based on the single-point Least-Square (LS) Padé approximation techniques introduced in Bonizzoni et al. (ESAIM Math. Model. Numer. Anal., 52(4), 1261–1284 2018, Math. Comput. 89, 1229–1257 ...

2020

On Linear Optimization over Wasserstein Balls

Daniel Kuhn, Wolfram Wiesemann

Wasserstein balls, which contain all probability measures within a pre-specified Wasserstein distance to a reference measure, have recently enjoyed wide popularity in the distributionally robust optimization and machine learning communities to formulate an ...

2022

Robust Generalization via $\alpha$-Mutual Information

Michael Christoph Gastpar, Amedeo Roberto Esposito, Ibrahim Issa

The aim of this work is to provide bounds connecting two probability measures of the same event using Rényi

\alpha

-Divergences and Sibson’s

\alpha

-Mutual Information, a generalization of respectively the Kullback-Leibler Divergence and Shannon’s Mutual ...

ETHZ2020

Random time step probabilistic methods for uncertainty quantification in chaotic and geometric numerical integration

Assyr Abdulle, Giacomo Garegnani

A novel probabilistic numerical method for quantifying the uncertainty induced by the time integration of ordinary differential equations (ODEs) is introduced. Departing from the classical strategy to randomize ODE solvers by adding a random forcing term, ...

2020

Robust Generalization via f−Mutual Information

Michael Christoph Gastpar, Amedeo Roberto Esposito, Ibrahim Issa

Given two probability measures P and Q and an event E, we provide bounds on P(E) in terms of Q(E) and f-divergences. In particular, the bounds are instantiated when the measures considered are a joint distribution and the corresponding product of marginals ...

IEEE2020

Semiclassical S-matrix and black hole entropy in dilaton gravity

Sergey Sibiryakov

We use complex semiclassical method to compute scattering amplitudes of a point particle in dilaton gravity with a boundary. This model has nonzero minimal black hole mass M-cr. We find that at energies below M-cr the particle trivially scatters off the bo ...

Springer Nature2020

Accelerated convergence to equilibrium and reduced asymptotic variance for Langevin dynamics using Stratonovich perturbations

Assyr Abdulle, Gilles Vilmart

In this paper, we propose a new approach for sampling from probability measures in, possibly, high-dimensional spaces. By perturbing the standard overdamped Langevin dynamics by a suitable Stratonovich perturbation that preserves the invariant measure of t ...

2019

Optimistic Distributionally Robust Optimization for Nonparametric Likelihood Approximation

Daniel Kuhn, Wolfram Wiesemann, Viet Anh Nguyen, Soroosh Shafieezadeh Abadeh

The likelihood function is a fundamental component in Bayesian statistics. However, evaluating the likelihood of an observation is computationally intractable in many applications. In this paper, we propose a non-parametric approximation of the likelihood ...

2019

A Data-Driven Approach Based on Multivariate Copulas for Quantitative Risk Assessment of Concrete Dam

Zhenzhu Meng

Risk assessment of dam's running status is an important part of dam management. A data-driven method based on monitored displacement data has been applied in risk assessment, owing to its easy operation and real-time analysis. However, previous data-driven ...

2019

The hamburger theorem

Jan Kyncl

We generalize the ham sandwich theorem to d +1 measures on R-d as follows. Let mu(1), mu(2),..., mu(d+1) be absolutely continuous finite Borel measures on R-d. Let omega(i) = mu(i) (R-d) for i is an element of [d + 1], omega = min{omega(i) : i is an elemen ...

Elsevier Science Bv2018

Dimension-free Information Concentration via Exp-Concavity

Volkan Cevher, Ya-Ping Hsieh

Information concentration of probability measures have important implications in learning theory. Recently, it is discovered that the information content of a log-concave distribution concentrates around their differential entropy, albeit with an unpleasan ...

2018

Analysis of Spatially Coupled Systems using the Potential Functional with Applications to Coding Theory

Rafah El-Khatib

For the past 70 years or so, coding theorists have been aiming at designing transmission schemes with efficient encoding and decoding algorithms that achieve the capacity of various noisy channels. It was not until the '90s that graph-based codes, such as ...

EPFL2016

Exact soliton-like probability measures for interacting jump processes

Max-Olivier Hongler

The cooperative dynamics of a 1-D collection of Markov jump, interacting stochastic processes is studied via a mean-field (MF) approach. In the time-asymptotic regime, the resulting nonlinear master equation is analytically solved. The nonlinearity compens ...

2015

Discrete least squares polynomial approximation with random evaluations − application to parametric and stochastic elliptic PDEs

Fabio Nobile, Giovanni Migliorati

Motivated by the numerical treatment of parametric and stochastic PDEs, we analyze the least-squares method for polynomial approximation of multivariate functions based on random sampling according to a given probability measure. Recent work has shown that ...

2015