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The behaviour of the one--dimensional random--forced Burgers equation is investigated in the path integral formalism, using a discrete space--time lattice. We show that by means of Monte Carlo methods one may evaluate observables, such as…
Path integral quantum Monte Carlo (PIMC) is a method for estimating thermal equilibrium properties of stoquastic quantum spin systems by sampling from a classical Gibbs distribution using Markov chain Monte Carlo. The PIMC method has been…
Piecewise-deterministic Markov process (PDMP) samplers constitute a state-of-the-art Markov chain Monte Carlo paradigm in Bayesian computation, with examples including the zig-zag and bouncy particle sampler (bps). Recent work on the…
We describe the public release of the Cluster Monte Carlo Code (CMC) a parallel, star-by-star $N$-body code for modeling dense star clusters. CMC treats collisional stellar dynamics using H\'enon's method, where the cumulative effect of…
Adaptive and interacting Markov chain Monte Carlo algorithms (MCMC) have been recently introduced in the literature. These novel simulation algorithms are designed to increase the simulation efficiency to sample complex distributions.…
The reverse Monte Carlo (RMC) method is widely used in structural modelling and analysis of experimental data. More recently, RMC has been applied to the calculation of equilibrium thermodynamic properties and dynamic problems. These…
We propose sequential Monte Carlo (SMC) methods for sampling the posterior distribution of state-space models under highly informative observation regimes, a situation in which standard SMC methods can perform poorly. A special case is…
Auxiliary variable methods such as the Parallel Tempering and the cluster Monte Carlo methods generate samples that follow a target distribution by using proposal and auxiliary distributions. In sampling from complex distributions, these…
One of the most demanding calculations is to generate random samples from a specified probability distribution (usually with an unknown normalizing prefactor) in a high-dimensional configuration space. One often has to resort to using a…
In this review, we describe applications of the pruned-enriched Rosenbluth method (PERM), a sequential Monte Carlo algorithm with resampling, to various problems in polymer physics. PERM produces samples according to any given prescribed…
Due to a hard dependency between time steps, large-scale simulations of gas using the Direct Simulation Monte Carlo (DSMC) method proceed at the pace of the slowest processor. Scalability is therefore achievable only by ensuring that the…
The goal of this article is to introduce the Hamiltonian Monte Carlo (HMC) method -- a Hamiltonian dynamics-inspired algorithm for sampling from a Gibbs density $\pi(x) \propto e^{-f(x)}$. We focus on the "idealized" case, where one can…
A simple stochastic model of solute drag by moving grain boundaries (GBs) is presented. Using a small number of parameters, the model describes solute interactions with GBs and captures nonlinear GB dynamics, solute saturation in the…
We present a formalism of the transition matrix Monte Carlo method. A stochastic matrix in the space of energy can be estimated from Monte Carlo simulation. This matrix is used to compute the density of states, as well as to construct…
Monte Carlo algorithms simulate some prescribed number of samples, taking some random real time to complete the computations necessary. This work considers the converse: to impose a real-time budget on the computation, which results in the…
This article considers the sequential Monte Carlo (SMC) approximation of ratios of normalizing constants associated to posterior distributions which in principle rely on continuum models. Therefore, the Monte Carlo estimation error and the…
Hamiltonian Monte Carlo (HMC) improves the computational efficiency of the Metropolis algorithm by reducing its random walk behavior. Riemannian Manifold HMC (RMHMC) further improves HMC's performance by exploiting the geometric properties…
We show that the common local Monte Carlo rules used to simulate the motion of driven flux lines in disordered media cannot capture the interplay between elasticity and disorder which lies at the heart of these systems. We therefore discuss…
A Monte Carlo model to simulate nuclear collisions in the energy range going from SPS to LHC, is presented. The model includes in its initial stage both soft and semihard components, which lead to the formation of color strings.…
A new Monte Carlo method is proposed for fermion systems interacting with classical degrees of freedom. To obtain a weight for each Monte Carlo sample with a fixed configuration of classical variables, the moment expansion of the density of…