Related papers: Replica exchange and expanded ensemble simulations…
We develop a novel method of replica-exchange molecular dynamics (REMD) simulation, mass-scaling REMD (MSREMD) method, which improves trajectory accuracy at high temperatures, and thereby contributes to numerical stability. In addition, the…
The emergence of big data has led to so-called convergence complexity analysis, which is the study of how Markov chain Monte Carlo (MCMC) algorithms behave as the sample size, $n$, and/or the number of parameters, $p$, in the underlying…
This paper proposes and compares two new sampling schemes for sparse deconvolution using a Bernoulli-Gaussian model. To tackle such a deconvolution problem in a blind and unsupervised context, the Markov Chain Monte Carlo (MCMC) framework…
We propose a new class of interacting Markov chain Monte Carlo (MCMC) algorithms designed for increasing the efficiency of a modified multiple-try Metropolis (MTM) algorithm. The extension with respect to the existing MCMC literature is…
This paper proposes a novel approach to generate samples from target distributions that are difficult to sample from using Markov Chain Monte Carlo (MCMC) methods. Traditional MCMC algorithms often face slow convergence due to the…
We develop a modular approach to Markov chain Monte Carlo (MCMC) sampling for unnormalized target densities. In this approach, Markov chains are constructed in parallel, each constrained to a subset of the target space. The Monte Carlo…
We present a novel Exchange Monte Carlo (EMC) method designed for application in continuous-space Path Integral Monte Carlo (PIMC) simulations at finite temperature. Traditional PIMC methods for bosonic systems suffer from long…
Investigating critical phenomena or phase transitions is of high interest in physics and chemistry, for which Monte Carlo (MC) simulations, a crucial tool for numerically analyzing macroscopic properties of given systems, are often hindered…
Recently, Velazquez and Curilef have proposed a methodology to extend Monte Carlo algorithms based on canonical ensemble, which is aimed to overcome slow sampling problems associated with temperature-driven discontinuous phase transitions.…
Atomistic modelling of phase transitions, chemical reactions, or other rare events that involve overcoming high free energy barriers usually entails prohibitively long simulation times. Introducing a bias potential as a function of an…
We present a single-particle Lennard-Jones (L-J) model for CO2 and N2. Simplified L-J models for other small polyatomic molecules can be obtained following the methodology described herein. The phase-coexistence diagrams of single-component…
We consider Particle Gibbs (PG) as a tool for Bayesian analysis of non-linear non-Gaussian state-space models. PG is a Monte Carlo (MC) approximation of the standard Gibbs procedure which uses sequential MC (SMC) importance sampling inside…
We develop exact simulation (also known as perfect sampling) algorithms for a family of assemble-to-order systems. Due to the finite capacity, and coupling in demands and replenishments, known solving techniques are inefficient for larger…
We present a study of the parallel tempering (replica exchange) Monte Carlo method, with special focus on the feedback-optimized parallel tempering algorithm, used for generating an optimal set of simulation temperatures. This method is…
Finite element model updating is challenging because 1) the problem is oftentimes underdetermined while the measurements are limited and/or incomplete; 2) many combinations of parameters may yield responses that are similar with respect to…
The stochastic volatility model is a popular tool for modeling the volatility of assets. The model is a nonlinear and non-Gaussian state space model, and consequently is difficult to fit. Many approaches, both classical and Bayesian, have…
An efficient simulation-based methodology is proposed for the rolling window estimation of state space models, called particle rolling Markov chain Monte Carlo (MCMC) with double block sampling. In our method, which is based on Sequential…
Gibbs sampling is a Markov Chain Monte Carlo sampling technique that iteratively samples variables from their conditional distributions. There are two common scan orders for the variables: random scan and systematic scan. Due to the…
The need to calibrate increasingly complex statistical models requires a persistent effort for further advances on available, computationally intensive Monte Carlo methods. We study here an advanced version of familiar Markov Chain Monte…
We study approximations of evolving probability measures by an interacting particle system. The particle system dynamics is a combination of independent Markov chain moves and importance sampling/resampling steps. Under global regularity…