47 citations · 272 across the 43 of their papers we have counts for
3 papers · 2 filters
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…
Concentration Inequalities and UQ Bounds for Hypocoercive MCMC Samplers
Jeremiah Birrell, Luc Rey-Bellet
In this work we provide performance guarantees for hypocoercive non-reversible MCMC samplers with invariant measure ; our results apply in particular to the Langevin equ…
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…