Related papers: An efficient method to compute the residual phase …
The use of sequential Monte Carlo within simulation for path-dependent option pricing is proposed and evaluated. Recently, it was shown that explicit solutions and importance sampling are valuable for efficient simulation of spot price and…
This paper studies multi-level stochastic approximation algorithms. Our aim is to extend the scope of the multilevel Monte Carlo method recently introduced by Giles (Giles 2008) to the framework of stochastic optimization by means of…
Utility based methods provide a very general theoretically consistent approach to pricing and hedging of securities in incomplete financial markets. Solving problems in the utility based framework typically involves dynamic programming,…
This paper provides a framework in which multilevel Monte Carlo and continuous level Monte Carlo can be compared. In continuous level Monte Carlo the level of refinement is determined by an exponentially distributed random variable, which…
Bayesian parameter inference for complex stochastic simulators is challenging due to intractable likelihood functions. Existing simulation-based inference methods often require large number of simulations and become costly to use in…
To improve the efficiency of Monte Carlo estimation, practitioners are turning to biased Markov chain Monte Carlo procedures that trade off asymptotic exactness for computational speed. The reasoning is sound: a reduction in variance due to…
In this work, we introduce three algorithmic improvements to reduce the cost and improve the scaling of orbital space variational Monte Carlo (VMC). First, we show that by appropriately screening the one- and two-electron integrals of the…
Turbulent reacting flows occur in a variety of engineering applications such as chemical reactors and power generating equipment (gas turbines and internal combustion engines). Turbulent reacting flows are characterized by two main…
We consider systems of ordinary differential equations with multiple scales in time. In general, we are interested in the long time horizon of a slow variable that is coupled to solution components that act on a fast scale. Although the…
We propose a methodology for computing single and multi-asset European option prices, and more generally expectations of scalar functions of (multivariate) random variables. This new approach combines the ability of Monte Carlo simulation…
In this paper, we propose a new stochastic optimization algorithm for Bayesian inference based on multilevel Monte Carlo (MLMC) methods. In Bayesian statistics, biased estimators of the model evidence have been often used as stochastic…
Proposed here is a dynamic Monte-Carlo algorithm that is efficient in simulating dense systems of long flexible chain molecules. It expands on the configurational-bias Monte-Carlo method through the simultaneous generation of a large set of…
Computation of extreme quantiles and tail-based risk measures using standard Monte Carlo simulation can be inefficient. A method to speed up computations is provided by importance sampling. We show that importance sampling algorithms,…
In the following article we consider approximate Bayesian computation (ABC) inference. We introduce a method for numerically approximating ABC posteriors using the multilevel Monte Carlo (MLMC). A sequential Monte Carlo version of the…
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…
We study signal processing tasks in which the signal is mapped via some generalized time-frequency transform to a higher dimensional time-frequency space, processed there, and synthesized to an output signal. We show how to approximate such…
The numerical sign problem remains one of the central challenges in computational physics. The Worldvolume Hybrid Monte Carlo (WV-HMC) method has recently been proposed as a reliable and computationally efficient algorithm that crucially…
We apply multilevel Monte Carlo for option pricing problems using exponential L\'{e}vy models with a uniform timestep discretisation to monitor the running maximum required for lookback and barrier options. The numerical results demonstrate…
We present a numerical method for the Monte Carlo simulation of uncoupled continuous-time random walks with a Levy alpha-stable distribution of jumps in space and a Mittag-Leffler distribution of waiting times, and apply it to the…
Indirect imaging problems in biomedical optics generally require repeated evaluation of forward models of radiative transport, for which Monte Carlo is accurate yet computationally costly. We develop a novel approach to reduce this…