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In this article, we present a review of the recent developments on the topic of Multilevel Monte Carlo (MLMC) algorithm, in the paradigm of applications in financial engineering. We specifically focus on the recent studies conducted in two…

Computational Finance · Quantitative Finance 2022-09-30 Devang Sinha , Siddhartha P. Chakrabarty

Biological genomes are divided into coding and non-coding regions. Introns are non-coding parts within genes, while the remaining non-coding parts are intergenic sequences. To study the evolutionary significance of recombination inside…

Populations and Evolution · Quantitative Biology 2009-11-11 Stanislaw Cebrat , Andrzej Pekalski , Fabian Scharf

Diffusion Monte Carlo (DMC) simulations for fermions are becoming the standard to provide high quality reference data in systems that are too large to be investigated via quantum chemical approaches. DMC with the fixed-node approximation…

Chemical Physics · Physics 2016-07-06 Andrea Zen , Sandro Sorella , Michael J. Gillan , Angelos Michaelides , Dario Alfè

In nuclear fusion and fission, fluctuation and dissipation arise due to the coupling of collective degrees of freedom with internal excitations. Close to the barrier, both quantum, statistical and non-Markovian effects are expected to be…

Nuclear Theory · Physics 2010-04-06 G. Hupin , D. Lacroix

A novel class of non-reversible Markov chain Monte Carlo schemes relying on continuous-time piecewise-deterministic Markov Processes has recently emerged. In these algorithms, the state of the Markov process evolves according to a…

Methodology · Statistics 2018-05-16 Paul Vanetti , Alexandre Bouchard-Côté , George Deligiannidis , Arnaud Doucet

In this paper we present a next-to-next-to-leading order (NNLO) calculation of the process $pp\rightarrow \gamma\gamma$ that we have implemented into the parton level Monte Carlo code MCFM. We do not find agreement with the previous…

High Energy Physics - Phenomenology · Physics 2021-09-15 John M. Campbell , R. Keith Ellis , Ye Li , Ciaran Williams

We report no-core solutions for properties of light nuclei with three different approaches in order to assess the accuracy and convergence rates of each method. Full configuration interaction (FCI), Monte Carlo shell model (MCSM) and no…

Nuclear Theory · Physics 2012-11-09 T. Abe , P. Maris , T. Otsuka , N. Shimizu , Y. Utsuno , J. P. Vary

We give a detailed description of the differences between the factorization and results derived from SCET and QCDF for decays B -> M1 M2. This serves as a reply to a comment about our work "B-> M1 M2: Factorization, charming penguins,…

High Energy Physics - Phenomenology · Physics 2013-05-29 Christian W. Bauer , Dan Pirjol , Ira Z. Rothstein , Iain W. Stewart

Normal factor graph duality offers new possibilities for Monte Carlo algorithms in graphical models. Specifically, we consider the problem of estimating the partition function of the ferromagnetic Ising and Potts models by Monte Carlo…

Computation · Statistics 2018-11-27 Mehdi Molkaraie , Vicenc Gomez

The evolution kernels that govern the scale dependence of the generalized parton distributions are invariant under transformations of the $\mathrm{SL}(2,\mathrm R)$ collinear subgroup of the conformal group. Beyond one loop the symmetry…

High Energy Physics - Phenomenology · Physics 2024-04-01 Yao Ji , Alexander Manashov , Sven-Olaf Moch

We offer a new proposal for the Monte Carlo treatment of many-fermion systems in continuous space. It is based upon Diffusion Monte Carlo with significant modifications: correlated pairs of random walkers that carry opposite signs;…

Condensed Matter · Physics 2009-10-31 M. H. Kalos , Francesco Pederiva

We perform a general optimization of the parameters in the Multilevel Monte Carlo (MLMC) discretization hierarchy based on uniform discretization methods with general approximation orders and computational costs. We optimize hierarchies…

Numerical Analysis · Mathematics 2015-06-09 Abdul Lateef Haji Ali , Fabio Nobile , Erik von Schwerin , Raul Tempone

Monte Carlo (MC) dropout is one of the state-of-the-art approaches for uncertainty estimation in neural networks (NNs). It has been interpreted as approximately performing Bayesian inference. Based on previous work on the approximation of…

Machine Learning · Computer Science 2020-07-13 Joachim Sicking , Maram Akila , Tim Wirtz , Sebastian Houben , Asja Fischer

There is an increasing interest in estimating expectations outside of the classical inference framework, such as for models expressed as probabilistic programs. Many of these contexts call for some form of nested inference to be applied. In…

Computation · Statistics 2016-12-06 Tom Rainforth , Robert Cornish , Hongseok Yang , Frank Wood

We present precision Monte Carlo data and analytic arguments for an asymmetric exclusion process, involving two species of particles driven in opposite directions on a $2 \times L$ lattice. We propose a scenario which resolves a stark…

Statistical Mechanics · Physics 2007-05-23 Ivan T. Georgiev , Beate Schmittmann , Royce K. P. Zia

We investigate the application of randomized quasi-Monte Carlo (RQMC) methods in random feature approximations for kernel-based learning. Compared to the classical Monte Carlo (MC) approach \citep{rahimi2007random}, RQMC improves the…

Methodology · Statistics 2025-09-09 Yian Huang , Zhen Huang

The shell model Monte Carlo (SMMC) method is a powerful technique for calculating the statistical and collective properties of nuclei in the presence of correlations in model spaces that are many orders of magnitude larger than those that…

Nuclear Theory · Physics 2015-06-23 Y. Alhassid , M. Bonett-Matiz , A. Mukherjee , H. Nakada , C. Özen

Most of Markov Chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) algorithms in existing probabilistic programming systems suboptimally use only model priors as proposal distributions. In this work, we describe an approach for…

Artificial Intelligence · Computer Science 2016-05-17 Yura N Perov , Tuan Anh Le , Frank Wood

The recent work by Rendle et al. (2020), based on empirical observations, argues that matrix-factorization collaborative filtering (MCF) compares favorably to neural collaborative filtering (NCF), and conjectures the dot product's…

Information Retrieval · Computer Science 2021-10-26 Da Xu , Chuanwei Ruan , Evren Korpeoglu , Sushant Kumar , Kannan Achan

We review quantum Monte Carlo methods for dealing with large shell model problems. These methods reduce the imaginary-time many-body evolution operator to a coherent superposition of one-body evolutions in fluctuating one-body fields; the…

Nuclear Theory · Physics 2009-10-30 S. E. Koonin , D. J. Dean , K. Langanke