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Stochastic differential equations (SDEs) or diffusions are continuous-valued continuous-time stochastic processes widely used in the applied and mathematical sciences. Simulating paths from these processes is usually an intractable problem,…
Global search and optimization of long-duration, low-thrust spacecraft trajectories with the indirect method is challenging due to a complex solution space and the difficulty of generating good initial guesses for the costate variables.…
Bayesian analysis is widely used in science and engineering for real-time forecasting, decision making, and to help unravel the processes that explain the observed data. These data are some deterministic and/or stochastic transformations of…
Bayesian inference for nonlinear diffusions, observed at discrete times, is a challenging task that has prompted the development of a number of algorithms, mainly within the computational statistics community. We propose a new direction,…
The problem of sampling a target probability distribution on a constrained domain arises in many applications including machine learning. For constrained sampling, various Langevin algorithms such as projected Langevin Monte Carlo (PLMC),…
We present and analyze a micro/macro acceleration technique for the Monte Carlo simulation of stochastic differential equations (SDEs) in which there is a separation between the (fast) time-scale on which individual trajectories of the SDE…
A grand canonical Monte Carlo (MC) algorithm is presented for studying the lattice gas model (LGM) of multiple protein sequence alignment, which coherently combines long-range interactions and variable-length insertions. MC simulations are…
We provide a pedagogical introduction to the two main variants of real-space quantum Monte Carlo methods for electronic-structure calculations: variational Monte Carlo (VMC) and diffusion Monte Carlo (DMC). Assuming no prior knowledge on…
Dynamics simulations of constrained particles can greatly aid in understanding the temporal and spatial evolution of biological processes such as lateral transport along membranes and self-assembly of viruses. Most theoretical efforts in…
We propose a micro-macro parallel-in-time Parareal method for scalar McKean-Vlasov stochastic differential equations (SDEs). In the algorithm, the fine Parareal propagator is a Monte Carlo simulation of an ensemble of particles, while an…
In recent years dynamical modelling has been provided with a range of breakthrough methods to perform exact Bayesian inference. However it is often computationally unfeasible to apply exact statistical methodologies in the context of large…
We introduce a new micro-macro Markov chain Monte Carlo method (mM-MCMC) to sample invariant distributions of molecular dynamics systems that exhibit a time-scale separation between the microscopic (fast) dynamics, and the macroscopic…
The problem of sampling according to the probability distribution minimizing a given free energy, using interacting particles unadjusted kinetic Langevin Monte Carlo, is addressed. In this setting, three sources of error arise, related to…
This work is motivated by the need to study the impact of data uncertainties and material imperfections on the solution to optimal control problems constrained by partial differential equations. We consider a pathwise optimal control…
We develop a diagrammatic Monte Carlo method for the real-time dynamics of dissipative quantum impurity models. These are small open quantum systems with interaction and local Markovian dissipation, coupled to a large quantum bath. Our…
Diffusion quantum Monte Carlo (DMC) and coupled cluster theory [CCSD(T)] are widely-employed benchmark methods for noncovalent interactions (NCIs). However, recent studies have reported notable discrepancies across several hydrogen-bonded…
Particle-based kinetic Monte Carlo simulations of neutral particles is one of the major computational bottlenecks in tokamak scrape-off layer simulations. This computational cost comes from the need to resolve individual collision events in…
This article is concerned with the multilevel Monte Carlo (MLMC) methods for approximating expectations of some functions of the solution to the Heston 3/2-model from mathematical finance, which takes values in $(0, \infty)$ and possesses…
First of all, this paper presents some improvements of DSMC method in the form of new schemes and approaches, that, for a wide class of problems, increase performance and reduce the demands on computer resources. The most important…
Global fits of physics models require efficient methods for exploring high-dimensional and/or multimodal posterior functions. We introduce a novel method for accelerating Markov Chain Monte Carlo (MCMC) sampling by pairing a…