Related papers: A Wiener--Hopf Monte Carlo simulation technique fo…
Monte Carlo experiments produce samples in order to estimate features of a given distribution. However, simultaneous estimation of means and quantiles has received little attention, despite being common practice. In this setting we…
An efficient Path Integral Monte Carlo procedure is proposed to simulate the behavior of quantum many-body dissipative systems described within the framework of the influence functional. Thermodynamic observables are obtained by Monte Carlo…
This paper provides a framework for investigations in fluctuation theory for L\'evy processes with matrix-exponential jumps. We present a matrix form of the components of the infinitely divisible factorization. Using this representation we…
We describe a controllable and unbiased strong-coupling diagrammatic Monte Carlo technique that is applicable to a wide range of fermionic systems and spin models. Unlike previous strong coupling methods that generally rely on the…
As in the paper [G. Groenewald, M.A. Kaashoek, A.C.M. Ran, Wiener-Hopf indices of unitary functions on the unit circle in terms of realizations and related results on Toeplitz operators. \emph{Indag. Math.} 28 (2017) 694--710] our aim is to…
The cavity method is a well established technique for solving classical spin models on sparse random graphs (mean-field models with finite connectivity). Laumann et al. [arXiv:0706.4391] proposed recently an extension of this method to…
The thinning method for numerical generation of the nonhomogeneous Poisson process (NHPP) arrival times has been adapted to accelerate Monte Carlo simulations of the kinetic Ising models (KIMs) with the Glauber spin-flip dynamics. The…
Recently a new class of Monte Carlo methods, called Time Relaxed Monte Carlo (TRMC), designed for the simulation of the Boltzmann equation close to fluid regimes have been introduced. A generalized Wild sum expansion of the solution is at…
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…
We present an efficient Monte Carlo method to simulate reaction-diffusion processes with spatially varying particle annihilation or transformation rates as it occurs for instance in the context of motor-driven intracellular transport. Like…
We present a highly efficient proximal Markov chain Monte Carlo methodology to perform Bayesian computation in imaging problems. Similarly to previous proximal Monte Carlo approaches, the proposed method is derived from an approximation of…
In this paper, we develop Monte-Carlo based heuristic approaches to approximate the objective function in long horizon optimal control problems. In these approaches, to approximate the expectation operator in the objective function, we…
This technical report presents pseudo-code for a Riemannian manifold Hamiltonian Monte Carlo (RMHMC) method to efficiently simulate samples from $N$-dimensional posterior distributions $p(x|y)$, where $x \in R^N$ is drawn from a Gaussian…
Given $n$ equidistant realisations of a L\'evy process $(L_t,\,t\ge 0)$, a natural estimator $\hat N_n$ for the distribution function $N$ of the L\'evy measure is constructed. Under a polynomial decay restriction on the characteristic…
We propose a new time quantifiable Monte Carlo (MC) method to simulate the thermally induced magnetization reversal for an isolated single domain particle system. The MC method involves the determination of density of states, and the use of…
We develop a nonequilibrium increment method in quantum Monte Carlo simulations to obtain the R\'enyi entanglement entropy of various quantum many-body systems with high efficiency and precision. To demonstrate its power, we show the…
We introduce the Quantization Monte Carlo method to solve thermal radiative transport equations with possibly several collision regimes, ranging from few collisions to massive number of collisions per time unit. For each particle in a given…
We introduce the concept of directed loops in stochastic series expansion and path integral quantum Monte Carlo methods. Using the detailed balance rules for directed loops, we show that it is possible to smoothly connect generally…
A general synthetic iterative scheme is proposed to solve the Enskog equation within a Monte Carlo framework. The method demonstrates rapid convergence by reducing intermediate Monte Carlo evolution and preserves the asymptotic-preserving…
We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the…