Related papers: Applicability of Quasi-Monte Carlo for lattice sys…
We investigate the applicability of Quasi-Monte Carlo methods to Euclidean lattice systems for quantum mechanics in order to improve the asymptotic error behavior of observables for such theories. In most cases the error of an observable…
In this project we initiate an investigation of the applicability of Quasi-Monte Carlo methods to lattice field theories in order to improve the asymptotic error behavior of observables for such theories. In most cases the error of an…
Quantiles and expected shortfalls are usually used to measure risks of stochastic systems, which are often estimated by Monte Carlo methods. This paper focuses on the use of quasi-Monte Carlo (QMC) method, whose convergence rate is…
We apply the Quasi Monte Carlo (QMC) and recursive numerical integration methods to evaluate the Euclidean, discretized time path-integral for the quantum mechanical anharmonic oscillator and a topological quantum mechanical rotor model.…
We present a new numerical Monte Carlo approach to determine the scaling behavior of lattice field theories far from equilibrium. The presented methods are generally applicable to systems where classical-statistical fluctuations dominate…
We study a generalized clock model on the simple cubic lattice. The parameter of the model can be tuned such that the amplitude of the leading correction to scaling vanishes. In the main part of the study we simulate the model with $Z_8$…
Monte Carlo and Quasi-Monte Carlo methods present a convenient approach for approximating the expected value of a random variable. Algorithms exist to adaptively sample the random variable until a user defined absolute error tolerance is…
While the Quasi-Monte Carlo method of numerical integration achieves smaller integration error than standard Monte Carlo, its use in particle physics phenomenology has been hindered by the abscence of a reliable way to estimate that error.…
We provide an extension to lattice systems of the reptation quantum Monte Carlo algorithm, originally devised for continuous Hamiltonians. For systems affected by the sign problem, a method to systematically improve upon the so-called…
We present an algorithmic framework for a variant of the quantum Monte Carlo operator-loop algorithm, where non-local cluster updates are constructed in a way that makes each individual loop smaller. The algorithm is designed to increase…
Quasi-Monte Carlo sampling can attain far better accuracy than plain Monte Carlo sampling. However, with plain Monte Carlo sampling it is much easier to estimate the attained accuracy. This article describes methods old and new to quantify…
This paper considers the problem of optimizing the average tracking error for an elliptic partial differential equation with an uncertain lognormal diffusion coefficient. In particular, the application of the multilevel quasi-Monte Carlo…
We study an optimal control problem under uncertainty, where the target function is the solution of an elliptic partial differential equation with random coefficients, steered by a control function. The robust formulation of the…
Quasi-Monte Carlo algorithms are studied for designing discrete approximations of two-stage linear stochastic programs. Their integrands are piecewise linear, but neither smooth nor lie in the function spaces considered for QMC error…
An efficient Quantum Monte Carlo algorithm for the simulation of bosonic systems on a lattice in a grand canonical ensemble is proposed. It is based on the mapping of bosonic models to the spin models in the limit of the infinite total spin…
Quasi-Monte Carlo (QMC) methods for estimating integrals are attractive since the resulting estimators typically converge at a faster rate than pseudo-random Monte Carlo. However, they can be difficult to set up on arbitrary posterior…
Stochastic PDE eigenvalue problems are useful models for quantifying the uncertainty in several applications from the physical sciences and engineering, e.g., structural vibration analysis, the criticality of a nuclear reactor or photonic…
Many machine learning problems optimize an objective that must be measured with noise. The primary method is a first order stochastic gradient descent using one or more Monte Carlo (MC) samples at each step. There are settings where…
In this paper we present a rigorous cost and error analysis of a multilevel estimator based on randomly shifted Quasi-Monte Carlo (QMC) lattice rules for lognormal diffusion problems. These problems are motivated by uncertainty…
Quasi-Monte Carlo methods have proven to be effective extensions of traditional Monte Carlo methods in, amongst others, problems of quadrature and the sample path simulation of stochastic differential equations. By replacing the random…