Related papers: Semistochastic Projector Monte Carlo Method
Traditional Markov Chain Monte Carlo methods suffer from low acceptance rate, slow mixing and low efficiency in high dimensions. Hamiltonian Monte Carlo resolves this issue by avoiding the random walk. Hamiltonian Monte Carlo (HMC) is a…
Hamiltonian Monte Carlo (HMC) is widely used for sampling from high dimensional target distributions with densities known up to proportionality. While HMC exhibits favorable scaling properties in high dimensions, it struggles with strongly…
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…
For some models of interacting fermions the known solution to the notorious sign-problem in Monte Carlo (MC) simulations is to work with macroscopic fermionic determinants; the price, however, is a macroscopic scaling of the numerical…
Traditionally, the field of computational Bayesian statistics has been divided into two main subfields: variational methods and Markov chain Monte Carlo (MCMC). In recent years, however, several methods have been proposed based on combining…
The stochastic simulation algorithm (SSA) and the corresponding Monte Carlo (MC) method are among the most common approaches for studying stochastic processes. They rely on knowledge of interevent probability density functions (PDFs) and on…
We present novel Monte Carlo (MC) and multilevel Monte Carlo (MLMC) methods to determine the unbiased covariance of random variables using h-statistics. The advantage of this procedure lies in the unbiased construction of the estimator's…
Monte Carlo simulations are based on the manipulation of random numbers to evaluate probable outcomes, with applicability in a variety of different fields. By assigning probabilities, which can be determined a priori, to various events, it…
We develop a novel multi-configurational Symmetrized Projector Quantum Monte Carlo (MSPQMC) method to calculate excited state properties of Hubbard models. We compare the MSPQMC results for finite Hubbard chains with exact results (where…
This paper describes a new Monte Carlo method based on a novel stochastic potential switching algorithm. This algorithm enables the equilibrium properties of a system with potential $V$ to be computed using a Monte Carlo simulation for a…
Probabilistic (or Bayesian) modeling and learning offers interesting possibilities for systematic representation of uncertainty using probability theory. However, probabilistic learning often leads to computationally challenging problems.…
Random sampling of graph partitions under constraints has become a popular tool for evaluating legislative redistricting plans. Analysts detect partisan gerrymandering by comparing a proposed redistricting plan with an ensemble of sampled…
Monte Carlo method is a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. They are often used in physical and mathematical problems and are most useful when it is difficult or…
We develop a pure Monte Carlo method to compute $E(g(X_T))$ where $g$ is a bounded and Lipschitz function and $X_t$ an Ito process. This approach extends a previously proposed method to the general multidimensional case with a SDE with…
We develop the self-learning Monte Carlo (SLMC) method, a general-purpose numerical method recently introduced to simulate many-body systems, for studying interacting fermion systems. Our method uses a highly-efficient update algorithm,…
The conventional second-order Path Integral Monte Carlo method is plagued with the sign problem in solving many-fermion systems. This is due to the large number of anti-symmetric free fermion propagators that are needed to extract the…
A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework. The Least-Squares Monte Carlo (LSMC) algorithm is a popular numerical method to approach solutions of such stochastic…
We introduce the energy-stepping Monte Carlo (ESMC) method, a Markov chain Monte Carlo (MCMC) algorithm based on the conventional dynamical interpretation of the proposal stage but employing an energy-stepping integrator. The…
The Hybrid Monte Carlo (HMC) algorithm currently is the favorite scheme to simulate quantum chromodynamics including dynamical fermions. In this talk-which is intended for a non-expert audience--I want to bring together methodical and…
Reinforcement learning constantly deals with hard integrals, for example when computing expectations in policy evaluation and policy iteration. These integrals are rarely analytically solvable and typically estimated with the Monte Carlo…