Related papers: Multicanonical sampling of rare events in random m…
Digital constellations formed by hexagonal or other non-square two-dimensional lattices are often used in advanced digital communication systems. The integrals required to evaluate the symbol error rate (SER) of these constellations in the…
The trace of a matrix function f(A), most notably of the matrix inverse, can be estimated stochastically using samples< x,f(A)x> if the components of the random vectors x obey an appropriate probability distribution. However such a…
Monte Carlo sampling techniques have broad applications in machine learning, Bayesian posterior inference, and parameter estimation. Often the target distribution takes the form of a product distribution over a dataset with a large number…
Hamiltonian Monte Carlo is a widely used algorithm for sampling from posterior distributions of complex Bayesian models. It can efficiently explore high-dimensional parameter spaces guided by simulated Hamiltonian flows. However, the…
Monte Carlo matrix trace estimation is a popular randomized technique to estimate the trace of implicitly-defined matrices via averaging quadratic forms across several observations of a random vector. The most common approach to analyze the…
We present a Monte-Carlo calculation of the microcanonical ensemble of the of the ideal hadron-resonance gas including all known states up to a mass of about 1.8 GeV and full quantum statistics. The microcanonical average multiplicities of…
It was recently shown that path integral Monte Carlo can be used to directly compute partition functions of Hamiltonians with vibronic coupling [J. Chem. Phys. 148, 194110 (2018)]. While the importance sampling Monte Carlo integration…
In many real-world engineering systems, the performance or reliability of the system is characterised by a scalar parameter. The distribution of this performance parameter is important in many uncertainty quantification problems, ranging…
A sampling procedure for the transition matrix Monte Carlo method is introduced that generates the density of states function over a wide parameter range with minimal coding effort.
Quantum mechanics for many-body systems may be reduced to the evaluation of integrals in 3N dimensions using Monte-Carlo, providing the Quantum Monte Carlo ab initio methods. Here we limit ourselves to expectation values for trial…
The use of sparse precision (inverse covariance) matrices has become popular because they allow for efficient algorithms for joint inference in high-dimensional models. Many applications require the computation of certain elements of the…
Nested sampling is a powerful approach to Bayesian inference ultimately limited by the computationally demanding task of sampling from a heavily constrained probability distribution. An effective algorithm in its own right, Hamiltonian…
We present a Monte Carlo algorithm that allows the simultaneous determination of a few extremal eigenpairs of a very large matrix without the need to compute the inner product of two vectors or store all the components of any one vector.…
We calculate analytically the probability of large deviations from its mean of the largest (smallest) eigenvalue of random matrices belonging to the Gaussian orthogonal, unitary and symplectic ensembles. In particular, we show that the…
A Monte Carlo event generator has been developed assuming thermal production of hadrons. The system under consideration is sampled grand canonically in the Boltzmann approximation. A re-weighting scheme is then introduced to account for…
Bayesian hierarchical modeling is a popular approach to capturing unobserved heterogeneity across individual units. However, standard estimation methods such as Markov chain Monte Carlo (MCMC) can be impracticable for modeling outcomes from…
We consider the problem of estimating rare event probabilities, focusing on systems whose evolution is governed by differential equations with uncertain input parameters. If the system dynamics is expensive to compute, standard sampling…
Consider a central problem in randomized approximation schemes that use a Monte Carlo approach. Given a sequence of independent, identically distributed random variables $X_1,X_2,\ldots$ with mean $\mu$ and standard deviation at most $c…
The goal of this paper is to develop provably efficient importance sampling Monte Carlo methods for the estimation of rare events within the class of linear stochastic partial differential equations (SPDEs). We find that if a spectral gap…
Importance sampling is a Monte Carlo technique for efficiently estimating the likelihood of rare events by biasing the sampling distribution towards the rare event of interest. By drawing weighted samples from a learned proposal…