7 papers
Convergence of a single-ensemble multilevel scheme for McKean-Vlasov SDEs
Arne Bouillon, Giovanni Samaey
Numerically solving McKean-Vlasov stochastic differential equations is computationally challenging due to the compounding costs of discretizing in time and in the distribution of t…
Likelihood-informed dimension reduction across tempered Bayesian posteriors
Arne Bouillon, Oliver R. A. Dunbar
Scientific computer simulations cannot represent all scales in realistic applications. To bridge this model-data gap, parameters are injected into models and constrained with noisy…
A localized consensus-based sampling algorithm
Arne Bouillon, Alexander Bodard, Panagiotis Patrinos +2
We propose a localized consensus-based method for sampling from non-Gaussian distributions, a task that frequently arises when solving Bayesian inverse problems. Our method arises…
Efficient parallel inversion of ParaOpt preconditioners
Corentin Bonte, Arne Bouillon, Giovanni Samaey +1
Recently, the ParaOpt algorithm was proposed as an extension of the time-parallel Parareal method to optimal control. ParaOpt uses quasi-Newton steps that each require solving a sy…
Single-ensemble multilevel Monte Carlo for discrete ensemble Kalman methods
Arne Bouillon, Toon Ingelaere, Giovanni Samaey
Ensemble Kalman methods solve problems in domains such as filtering and inverse problems with interacting particles that evolve over time. For computationally expensive problems, t…
Diagonalization-based preconditioners and generalized convergence bounds for ParaOpt
Arne Bouillon, Giovanni Samaey, Karl Meerbergen
The ParaOpt algorithm was recently introduced as a time-parallel solver for optimal-control problems with a terminal-cost objective, and convergence results have been presented for…
On generalized preconditioners for time-parallel parabolic optimal control
Arne Bouillon, Giovanni Samaey, Karl Meerbergen
The ParaDiag family of algorithms solves differential equations by using preconditioners that can be inverted in parallel through diagonalization. In the context of optimal control…