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In the last decade, sequential Monte-Carlo methods (SMC) emerged as a key tool in computational statistics. These algorithms approximate a sequence of distributions by a sequence of weighted empirical measures associated to a weighted…
Continuous-time quantum Monte Carlo refers to a class of algorithms designed to sample the thermal distribution of a quantum Hamiltonian through exact expansions of the Boltzmann exponential in terms of stochastic trajectories which are…
We present a hybrid method for time-dependent particle transport that combines Monte Carlo (MC) estimation with a deterministic discrete ordinates (\(S_N\)) solve, augmented by quasi-Monte Carlo (QMC) sampling. For spatial discretizations,…
Importance Sampling (IS), an effective variance reduction strategy in Monte Carlo (MC) simulation, is frequently utilized for Bayesian inference and other statistical challenges. Quasi-Monte Carlo (QMC) replaces the random samples in MC…
We develop diffusion-based samplers for target distributions known up to a normalising constant. To this end, we rely on the well-known diffusion path that smoothly interpolates between a simple base distribution and the target, popularised…
In this work we present a non-reversible, tuning- and rejection-free Markov chain Monte Carlo which naturally fits in the framework of hit-and-run. The sampler only requires access to the gradient of the log-density function, hence the…
We propose a rejection sampling scheme using the discriminator of a GAN to approximately correct errors in the GAN generator distribution. We show that under quite strict assumptions, this will allow us to recover the data distribution…
To sample from a general target distribution $p_*\propto e^{-f_*}$ beyond the isoperimetric condition, Huang et al. (2023) proposed to perform sampling through reverse diffusion, giving rise to Diffusion-based Monte Carlo (DMC).…
Discrete state space diffusion models have shown significant advantages in applications involving discrete data, such as text and image generation. It has also been observed that their performance is highly sensitive to the choice of rate…
We study the problem of sampling from a target probability density function in frameworks where parallel evaluations of the log-density gradient are feasible. Focusing on smooth and strongly log-concave densities, we revisit 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…
Restricted Boltzmann Machines (RBMs) are probabilistic generative models that can be trained by maximum likelihood in principle, but are usually trained by an approximate algorithm called Contrastive Divergence (CD) in practice. In general,…
This paper studies randomized quasi-Monte Carlo (QMC) sampling for discontinuous integrands having singularities along the boundary of the unit cube $[0,1]^d$. Both discontinuities and singularities are extremely common in the pricing and…
We identify and rectify a crucial source of bias in the initiator FCIQMC algorithm. Non-initiator determinants (i.e. determinants whose population is below the initiator threshold) are subject to a systematic {\em undersampling} bias, which…
We describe an MCMC method for sampling distributions with soft constraints, which are constraints that are almost but not exactly satisfied. We sample a total distribution that is a convex combination of the target soft distribution with…
Inverse transform sampling is an exceptionally general method to generate non-uniform-distributed random numbers, but can be rather unstable when simulating extremely truncated distributions. Many famous probability models share a property…
In this paper, we propose and analyze an accurate numerical approach to simulate the Helmholtz problem in a bounded region with a random refractive index, where the random refractive index is denoted using an infinite series parameterized…
Using Monte Carlo method we study a two-dimensional model with infinitely many absorbing states. Our estimation of the critical exponent beta=0.273(5) suggests that the model belongs to the (1+1) rather than (2+1) directed-percolation…
A novel instantaneous GNSS ambiguity resolution approach which makes use of only single-frequency carrier phase measurements for ultra-short baseline attitude determination is proposed. The Monte Carlo sampling method is employed to obtain…
In this paper, we consider several efficient data structures for the problem of sampling from a dynamically changing discrete probability distribution, where some prior information is known on the distribution of the rates, in particular…