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We construct efficient Monte Carlo updating algorithms for two classes of pure SU(N) lattice gauge actions with non-linear dependence on the link variables. Our construction generalises the method of auxiliary variables used by Fabricius…
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth-order accurate in space and second-order accurate in time. Under some restrictions, theoretical results…
We present and discuss a detailed derivation of a new analytical method that systematically improves the convergence of path integrals of a generic $N$-fold discretized theory. We develop an explicit procedure for calculating a set of…
The equivalence between integral-chain differentiator and usual high-gain differentiator is given under suitable coordinate transformation. Integral-chain differentiator can restrain noises more thoroughly than usual high-gain linear…
A simple algorithm is described to sample permutations of identical particles in Path Integral Monte Carlo (PIMC) simulations of continuum many-body systems. The sampling strategy illustrated here is fairly general, and can be easily…
We study a Monte Carlo algorithm that is based on a specific (randomly shifted and dilated) lattice point set. The main result of this paper is that the mean squared error for a given compactly supported, square-integrable function is…
Particle methods are widely used because they can provide accurate descriptions of evolving measures. Recently it has become clear that by stepping outside the Monte Carlo paradigm these methods can be of higher order with effective and…
In this note, we study a concatenation of quasi-Monte Carlo and plain Monte Carlo rules for high-dimensional numerical integration in weighted function spaces. In particular, we consider approximating the integral of periodic functions…
We present a Monte Carlo study of the two-component $\phi^4$ model on the simple cubic lattice in three dimensions. By suitable tuning of the coupling constant $\lambda$ we eliminate leading order corrections to scaling. High statistics…
We present the first Green's function Monte Carlo calculations of light nuclei with nuclear interactions derived from chiral effective field theory up to next-to-next-to-leading order. Up to this order, the interactions can be constructed…
A continuous-time path integral Quantum Monte Carlo method using the directed-loop algorithm is developed to simulate the Anderson single-impurity model in the occupation number basis. Although the method suffers from a sign problem at low…
Magnetic quadrupoles are essential components of particle accelerators like the Large Hadron Collider. In order to study numerically the stability of the particle beam crossing a quadrupole, a large number of particle revolutions in the…
When performing Bayesian inference using Sequential Monte Carlo (SMC) methods, two considerations arise: the accuracy of the posterior approximation and computational efficiency. To address computational demands, Sequential Monte Carlo…
A newly developed method for systematically improving the convergence of path integrals for transition amplitudes, introduced in Phys. Rev. Lett. 94 (2005) 180403, Phys. Rev. B 72 (2005) 064302, Phys. Lett. A 344 (2005) 84, and expectation…
In this work we analyze the resort to high order exponential solvers for stiff ODEs in the context of cardiac electrophysiology modeling. The exponential Adams-Bashforth and the Rush-Larsen schemes will be considered up to order 4. These…
The pseudofermion action of the Hybrid Monte Carlo (HMC) algorithm for dynamical fermions is modified to directly incorporate Incomplete LU (ILU) factorisation. This reduces the stochastic noise and allows a larger molecular dynamics…
We show how to obtain a fast component-by-component construction algorithm for higher order polynomial lattice rules. Such rules are useful for multivariate quadrature of high-dimensional smooth functions over the unit cube as they achieve…
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…
Feynman loop integrals are a key ingredient for the calculation of higher order radiation effects, and are responsible for reliable and accurate theoretical prediction. We improve the efficiency of numerical integration in sector…
The behavior of a Lattice Monte Carlo algorithm (if it is designed correctly) must approach that of the continuum system that it is designed to simulate as the time step and the mesh step tend to zero. However, we show for an algorithm for…