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In this article, we present a review of the recent developments on the topic of Multilevel Monte Carlo (MLMC) algorithm, in the paradigm of applications in financial engineering. We specifically focus on the recent studies conducted in two…

Computational Finance · Quantitative Finance 2022-09-30 Devang Sinha , Siddhartha P. Chakrabarty

We present numerical results for the 2-flavour Schwinger model with dynamical chiral lattice fermions. We insert an approximately chiral hypercube Dirac operator into the overlap formula to construct the overlap hypercube operator. This is…

High Energy Physics - Lattice · Physics 2012-04-26 Wolfgang Bietenholz , Ivan Hip , Stanislav Shcheredin , Jan Volkholz

Hybrid superconductor-semiconductor heterostructures are promising platforms for realizing topological superconductors and exploring Majorana bound states physics. Motivated by recent experimental progress, we theoretically study how…

Mesoscale and Nanoscale Physics · Physics 2021-03-15 A. Maiani , R. Seoane Souto , M. Leijnse , K. Flensberg

Strongly correlated fermionic systems are of great interest in condensed matter physics and numerical methods are indispensable tools for their study. However, existing approaches such as exact diagonalization (ED) and stochastic quantum…

Strongly Correlated Electrons · Physics 2026-03-19 Finn L. Temmen , Martina Gisti , David J. Luitz , Thomas Luu , Johann Ostmeyer

The overlap hypercube fermion is constructed by inserting a lattice fermion with hypercubic couplings into the overlap formula. One obtains an exact Ginsparg-Wilson fermion, which is more complicated than the standard overlap fermion, but…

High Energy Physics - Lattice · Physics 2009-11-10 David H. Adams , Wolfgang Bietenholz

The leapfrog integrator is routinely used within the Hamiltonian Monte Carlo method and its variants. We give strong numerical evidence that alternative, easy to implement algorithms yield fewer rejections with a given computational effort.…

Computation · Statistics 2021-04-05 M. P. Calvo , D. Sanz-Alonso , J. M. Sanz-Serna

We propose a modified power method for computing the subdominant eigenvalue $\lambda_2$ of a matrix or continuous operator. Here we focus on defining simple Monte Carlo methods for its application. The methods presented use random walkers…

Statistical Mechanics · Physics 2012-12-04 B. M. Rubenstein , J. E. Gubernatis , J. D. Doll

We discuss the statistical analysis method for the worldvolume hybrid Monte Carlo (WV-HMC) algorithm [arXiv:2012.08468], which was recently introduced to substantially reduce the computational cost of the tempered Lefschetz thimble method.…

High Energy Physics - Lattice · Physics 2021-07-16 Masafumi Fukuma , Nobuyuki Matsumoto , Yusuke Namekawa

Diffusion Monte Carlo (DMC) calculations typically yield highly accurate results in solid-state and quantum-chemical calculations. However, operators that do not commute with the Hamiltonian are at best sampled correctly up to second order…

Other Condensed Matter · Physics 2009-11-13 R. Gaudoin , J. M. Pitarke

We demonstrate that substantial progress can be achieved in the study of the phase structure of 4-dimensional compact QED by a joint use of hybrid Monte Carlo and multicanonical algorithms, through an efficient parallel implementation. This…

High Energy Physics - Lattice · Physics 2016-08-25 G. Arnold , Th. Lippert , K. Schilling

The Hamiltonian Monte Carlo (HMC) method allows sampling from continuous densities. Favorable scaling with dimension has led to wide adoption of HMC by the statistics community. Modern auto-differentiating software should allow more…

Computation · Statistics 2022-08-17 Ian Langmore , Michael Dikovsky , Scott Geraedts , Peter Norgaard , Rob von Behren

In QCD chiral symmetry is explicitly broken by quark masses, the effect of which can be described reliably by chiral perturbation theory. Effects of explicit chiral symmetry breaking by the lattice regularisation of the Dirac operator,…

High Energy Physics - Lattice · Physics 2011-01-27 Nigel Cundy , Tony Kennedy , Andreas Schäfer

The Rational Hybrid Monte Carlo (RHMC) algorithm extends the Hybrid Monte Carlo algorithm for lattice QCD simulations to situations involving fractional powers of the determinant of the quadratic Dirac operator. This avoids the updating…

High Energy Physics - Lattice · Physics 2008-11-26 J. B. Kogut , D. K. Sinclair

We give some new performance results for the Hybrid Monte Carlo (HMC) simulation of dynamical clover-improved Wilson fermions using an improved pseudo-fermion action. The generalisation of even-odd preconditioning for the standard Wilson…

High Energy Physics - Lattice · Physics 2009-04-25 Martin Hasenbusch

One of the most demanding calculations is to generate random samples from a specified probability distribution (usually with an unknown normalizing prefactor) in a high-dimensional configuration space. One often has to resort to using a…

Computational Physics · Physics 2015-06-18 Youhan Fang , Jesus-Maria Sanz-Serna , Robert D. Skeel

We present a technique for optimizing hundreds of thousands of variational parameters in variational quantum Monte Carlo. By introducing iterative Krylov subspace solvers and by multiplying by the Hamiltonian and overlap matrices as they…

Strongly Correlated Electrons · Physics 2013-05-30 Eric Neuscamman , C. J. Umrigar , Garnet Kin-Lic Chan

Probability measures supported on submanifolds can be sampled by adding an extra momentum variable to the state of the system, and discretizing the associated Hamiltonian dynamics with some stochastic perturbation in the extra variable. In…

Numerical Analysis · Mathematics 2019-10-15 Tony Lelièvre , Mathias Rousset , Gabriel Stoltz

We analyze the topological properties of a chiral ${p}+i{p}$ superconductor for a two-dimensional metal/semimetal with four Dirac points. Such a system has been proposed to realize second-order topological superconductivity and host corner…

Mesoscale and Nanoscale Physics · Physics 2022-01-07 Apoorv Tiwari , Ammar Jahin , Yuxuan Wang

Monte Carlo methods represent a cornerstone of computer science. They allow to sample high dimensional distribution functions in an efficient way. In this paper we consider the extension of Automatic Differentiation (AD) techniques to Monte…

High Energy Physics - Lattice · Physics 2023-07-31 Guilherme Catumba , Alberto Ramos , Bryan Zaldivar

Due to its constrained support, the Dirichlet distribution is uniquely suited to many applications. The constraints that make it powerful, however, can also hinder practical implementations, particularly those utilizing Markov Chain Monte…

Data Analysis, Statistics and Probability · Physics 2015-03-02 M. J. Betancourt
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