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We introduce a stacking version of the Monte Carlo algorithm in the context of option pricing. Introduced recently for aeronautic computations, this simple technique, in the spirit of current machine learning ideas, learns control variates…
In this work we propose a generalization of the Moment Guided Monte Carlo method developed in [11]. This approach permits to reduce the variance of the particle methods through a matching with a set of suitable macroscopic moment equations.…
We present a general sample reweighting scheme and its underlying theory for the integration of an unknown function with low dimensionality. Our method produces better results than standard weighting schemes for common sampling strategies,…
A brief introduction to the technique of Monte Carlo simulations in statistical physics is presented. The topics covered include statistical ensembles random and pseudo random numbers, random sampling techniques, importance sampling, Markov…
We apply the Monte Carlo method to solving the Dirichlet problem of linear parabolic equations with fractional Laplacian. This method exploit- s the idea of weak approximation of related stochastic differential equations driven by the…
The multi-level Monte Carlo method proposed by M. Giles (2008) approximates the expectation of some functionals applied to a stochastic process with optimal order of convergence for the mean-square error. In this paper, a modified…
This paper examines the use of Monte Carlo simulations to understand statistical concepts in A/B testing and Randomized Controlled Trials (RCTs). We discuss the applicability of simulations in understanding false positive rates and estimate…
We introduce a new Monte Carlo method by incorporating a guided distribution function to the conventional Monte Carlo method. In this way, the efficiency of Monte Carlo methods is drastically improved. To further speed up the algorithm, we…
The work discusses a new low-rank Monte Carlo technique to solve Smoluchowski-like kinetic equations. It drastically decreases the computational complexity of modeling of size-polydisperse systems. For the studied systems it can outperform…
This paper presents an R package to handle and represent measurements with errors in a very simple way. We briefly introduce the main concepts of metrology and propagation of uncertainty, and discuss related R packages. Building upon this,…
A method is proposed to handle the sign problem in the simulation of systems having indefinite or complex-valued measures. In general, this new approach, which is based on renormalisation blocking, is shown to yield statistical errors…
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 present a novel technique of Monte Carlo error reduction that finds direct application in option pricing and Greeks estimation. The method is applicable to any LSV modelling framework and concerns a broad class of payoffs, including…
The paper proposes a new Monte-Carlo simulator combining the advantages of Sequential Monte Carlo simulators and Hamiltonian Monte Carlo simulators. The result is a method that is robust to multimodality and complex shapes to use for…
I show that with simple extensions of the shower algorithms in Monte Carlo programs, one can implement NLO corrections to the hardest emission that overcome the problems of negative weighted events found in previous implementations. Simple…
Techniques for simulating molecules whose conformations satisfy constraints are presented. A method for selecting appropriate moves in Monte Carlo simulations is given. The resulting moves not only obey the constraints but also maintain…
We propose a method for eliminating the truncation error associated with any subspace diagonalization calculation. The new method, called stochastic error correction, uses Monte Carlo sampling to compute the contribution of the remaining…
Quantum Monte Carlo methods are sophisticated numerical techniques for simulating interacting quantum systems. In some cases, however, they suffer from the notorious "sign problem" and become too inefficient to be useful. A recent…
This is a collection of discussions of `Riemann manifold Langevin and Hamiltonian Monte Carlo methods" by Girolami and Calderhead, to appear in the Journal of the Royal Statistical Society, Series B.
Radiative processes such as synchrotron radiation and Compton scattering play an important role in astrophysics. Radiative processes are fundamentally stochastic in nature, and the best tools currently used for resolving these processes…