48 citations · 413 across the 59 of their papers we have counts for
7 papers · 1 filter
Distributional Robustness and Uncertainty Quantification for Rare Events
Jeremiah Birrell, Paul Dupuis, Markos A. Katsoulakis +2
Rare events, and more general risk-sensitive quantities-of-interest (QoIs), are significantly impacted by uncertainty in the tail behavior of a distribution. Uncertainty in the tai…
Quantification of Model Uncertainty on Path-Space via Goal-Oriented Relative Entropy
Jeremiah Birrell, Markos A. Katsoulakis, Luc Rey-Bellet
Quantifying the impact of parametric and model-form uncertainty on the predictions of stochastic models is a key challenge in many applications. Previous work has shown that the re…
Sensitivity Analysis for Rare Events based on Rényi Divergence
Paul Dupuis, Markos A. Katsoulakis, Yannis Pantazis +1
Rare events play a key role in many applications and numerous algorithms have been proposed for estimating the probability of a rare event. However, relatively little is known on h…
Robust information divergences for model-form uncertainty arising from sparse data in random PDE
Eric Joseph Hall, Markos A. Katsoulakis
We develop a novel application of hybrid information divergences to analyze uncertainty in steady-state subsurface flow problems. These hybrid information divergences are non-intru…
Path-space information bounds for uncertainty quantification and sensitivity analysis of stochastic dynamics
Paul Dupuis, Markos A. Katsoulakis, Yannis Pantazis +1
Uncertainty quantification is a primary challenge for reliable modeling and simulation of complex stochastic dynamics. Such problems are typically plagued with incomplete informati…
Pathwise Sensitivity Analysis in Transient Regimes
Georgios Arampatzis, Markos A. Katsoulakis, Yannis Pantazis
The instantaneous relative entropy (IRE) and the corresponding instanta- neous Fisher information matrix (IFIM) for transient stochastic processes are pre- sented in this paper. Th…
Deterministic Equations for Stochastic Spatial Evolutionary Games
Sung-Ha Hwang, Markos Katsoulakis, Luc Rey-Bellet
Spatial evolutionary games model individuals who are distributed in a spatial domain and update their strategies upon playing a normal form game with their neighbors. We derive int…