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We introduce a multiscale Monte Carlo algorithm to simulate dense simple fluids. The probability of an update follows a power law distribution in its length scale. The collective motion of clusters of particles requires generalization of…
Monte Carlo methods are widely used in particle physics to integrate and sample probability distributions (differential cross sections or decay rates) on multi-dimensional phase spaces. We present a Neural Network (NN) algorithm optimized…
In this note we study the numerical stability problem that may take place when calculating the cumulative distribution function of the {\it Hypoexponential} random variable. This computation is extensively used during the execution of Monte…
In this paper we propose and study a family of continuous wavelets on general domains, and a corresponding stochastic discretization that we call Monte Carlo wavelets. First, using tools from the theory of reproducing kernel Hilbert spaces…
An indirect, hybrid Monte Carlo discretization of general relativistic kinetic theory suitable for the development of numerical schemes for radiation transport is presented. The discretization is based on surface flux estimators obtained…
In this paper, we propose and analyze a novel combination of multilevel Richardson-Romberg (ML2R) and importance sampling algorithm, with the aim of reducing the overall computational time, while achieving desired root-mean-squared error…
Population annealing is a Monte Carlo algorithm that marries features from simulated annealing and parallel tempering Monte Carlo. As such, it is ideal to overcome large energy barriers in the free-energy landscape while minimizing a…
Monte Carlo calculations of fermionic systems with continuous auxiliary fields frequently suffer from a diverging variance. If a system has the infinite variance problem, one cannot estimate observables reliably even with an infinite number…
Monte Carlo is a simple and flexible tool that is widely used in computational finance. In this context, it is common for the quantity of interest to be the expected value of a random variable defined via a stochastic differential equation.…
We introduce a powerful and flexible MCMC algorithm for stochastic simulation. The method builds on a pseudo-marginal method originally introduced in [Genetics 164 (2003) 1139--1160], showing how algorithms which are approximations to an…
This paper focuses on signal processing tasks in which the signal is transformed from the signal space to a higher dimensional coefficient space (also called phase space) using a continuous frame, processed in the coefficient space, and…
We introduce and implement an importance-sampling Monte Carlo algorithm to study systems of globally-coupled oscillators. Our computational method efficiently obtains estimates of the tails of the distribution of various measures of…
Population annealing is a sequential Monte Carlo scheme well-suited to simulating equilibrium states of systems with rough free energy landscapes. Here we use population annealing to study a binary mixture of hard spheres. Population…
Importance sampling is a widely used technique to reduce the variance of a Monte Carlo estimator by an appropriate change of measure. In this work, we study importance sam- pling in the framework of diffusion process and consider the change…
Markov Chain Monte Carlo (MCMC) algorithms are routinely used to draw samples from distributions with intractable normalization constants. However, standard MCMC algorithms do not apply to doubly-intractable distributions in which there are…
In a 1996 paper, See$\beta$elberg, Trautmann and Thorn modified Gillespie's (1975) Monte Carlo algorithm which is used to stochastically simulate the collision and coalescence process. Their modification reduces the storage requirements of…
Hybrid Monte Carlo is a powerful Markov Chain Monte Carlo method for sampling from complex continuous distributions. However, a major limitation of HMC is its inability to be applied to discrete domains due to the lack of gradient signal.…
Gaussian process regression is a popular method for non-parametric probabilistic modeling of functions. The Gaussian process prior is characterized by so-called hyperparameters, which often have a large influence on the posterior model and…
We present a particle filter construction for a system that exhibits time-scale separation. The separation of time-scales allows two simplifications that we exploit: i) The use of the averaging principle for the dimensional reduction of the…
Among Monte Carlo techniques, the importance sampling requires fine tuning of a proposal distribution, which is now fluently resolved through iterative schemes. The Adaptive Multiple Importance Sampling (AMIS) of Cornuet et al. (2012)…