3 papers
math.ST2026
Fast-Mixing Markov Chains without Gradients
Robert Kutri, Robert Scheichl
Most approaches for accelerating Markov chain mixing either rely on incorporating expensive geometric information in the proposals, or reduce the per-step cost of sampling via surr…
math.NA2025
A Budgeted Multi-Level Monte Carlo Method for Full Field Estimates of Multi-PDE Problems
Niklas Baumgarten, Robert Kutri, Robert Scheichl
We present a high-performance budgeted multi-level Monte Carlo method for estimates on the entire spatial domain of multi-PDE problems with random input data. The method is designe…
stat.CO2024
Dirichlet-Neumann Averaging: The DNA of Efficient Gaussian Process Simulation
Robert Kutri, Robert Scheichl
Gaussian processes (GPs) and Gaussian random fields (GRFs) are essential for modelling spatially varying stochastic phenomena. Yet, the efficient generation of corresponding realis…