22 citations · 28 across the 4 of their papers we have counts for
5 papers
Nonasymptotic bounds for suboptimal importance sampling
Carsten Hartmann, Lorenz Richter
Importance sampling is a popular variance reduction method for Monte Carlo estimation, where a notorious question is how to design good proposal distributions. While in most cases…
Solving high-dimensional parabolic PDEs using the tensor train format
Lorenz Richter, Leon Sallandt, Nikolas Nüsken
High-dimensional partial differential equations (PDEs) are ubiquitous in economics, science and engineering. However, their numerical treatment poses formidable challenges since tr…
VarGrad: A Low-Variance Gradient Estimator for Variational Inference
Lorenz Richter, Ayman Boustati, Nikolas Nüsken +2
We analyse the properties of an unbiased gradient estimator of the ELBO for variational inference, based on the score function method with leave-one-out control variates. We show t…
Model Order Reduction for (Stochastic-) Delay Equations With Error Bounds
Simon Becker, Lorenz Richter
We analyze a structure-preserving model order reduction technique for delay and stochastic delay equations based on the balanced truncation method and provide a system theoretic in…
Variational approach to rare event simulation using least-squares regression
Carsten Hartmann, Omar Kebiri, Lara Neureither +1
We propose an adaptive importance sampling scheme for the simulation of rare events when the underlying dynamics is given by a diffusion. The scheme is based on a Gibbs variational…