Related papers: Proof Techniques in Quasi-Monte Carlo Theory
Gerber and Chopin (2015) recently introduced Sequential quasi-Monte Carlo (SQMC) algorithms as an efficient way to perform filtering in state-space models. The basic idea is to replace random variables with low-discrepancy point sets, so as…
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…
We apply diffusion quantum Monte Carlo (DMC) to a broad set of solids, benchmarking the method by comparing bulk structural properties (equilibrium volume and bulk modulus) to experiment and DFT based theories. The test set includes…
We investigate the use of randomized quasi-Monte Carlo (RQMC) in walk on spheres algorithms to solve boundary value problems for functions with Dirichlet boundary conditions in $\mathbb{R}^d$. For harmonic functions with $d=2$, the…
Multiple hypothesis testing is widely used to evaluate scientific studies involving statistical tests. However, for many of these tests, p-values are not available and are thus often approximated using Monte Carlo tests such as permutation…
Quasi-Monte Carlo methods have become the industry standard in computer graphics. For that purpose, efficient algorithms for low discrepancy sequences are discussed. In addition, numerical pitfalls encountered in practice are revealed. We…
When applying the quasi-Monte Carlo (QMC) method of numerical integration of univariate functions, Koksma's inequality provides a basic estimate of the error in terms of the discrepancy of the used evaluation points and the total variation…
Quasi-Monte Carlo (QMC) methods have developed over several decades. With the explosion in computational science, there is a need for great software that implements QMC algorithms. We summarize the QMC software that has been developed to…
ABC (approximate Bayesian computation) is a general approach for dealing with models with an intractable likelihood. In this work, we derive ABC algorithms based on QMC (quasi- Monte Carlo) sequences. We show that the resulting ABC…
Monte Carlo experiments produce samples in order to estimate features of a given distribution. However, simultaneous estimation of means and quantiles has received little attention, despite being common practice. In this setting we…
Quasi-Monte Carlo (QMC) is an essential tool for integral approximation, Bayesian inference, and sampling for simulation in science, etc. In the QMC area, the rank-1 lattice is important due to its simple operation, and nice properties for…
In this paper, we analyse a method for approximating the distribution function and density of a random variable that depends in a non-trivial way on a possibly high number of independent random variables, each with support on the whole real…
In the kernel density estimation (KDE) problem one is given a kernel $K(x, y)$ and a dataset $P$ of points in a Euclidean space, and must prepare a data structure that can quickly answer density queries: given a point $q$, output a…
A brief introduction to the technique of Monte Carlo simulations in statistical physics is presented. The topics covered include statistical ensembles random and pseudo random numbers, random sampling techniques, importance sampling, Markov…
A common tool in the practice of Markov Chain Monte Carlo is to use approximating transition kernels to speed up computation when the desired kernel is slow to evaluate or intractable. A limited set of quantitative tools exist to assess the…
This is a book chapter soon to appear (2002) in the "Handbook for Numerical Analysis" volume dedicated to "Computational Chemistry" edited by Claude Le Bris. The series editors are P.G. Ciarlet and J. L. Lions. [North Holland/Elservier].…
This series of six lectures is an introduction to using the Monte Carlo method to carry out nonperturbative studies in quantum field theories. Path integrals in quantum field theory are reviewed, and their evaluation by the Monte Carlo…
Deep learning methods have achieved great success in solving partial differential equations (PDEs), where the loss is often defined as an integral. The accuracy and efficiency of these algorithms depend greatly on the quadrature method. We…
We consider the problem of estimating an expectation $ \mathbb{E}\left[ h(W)\right]$ by quasi-Monte Carlo (QMC) methods, where $ h $ is an unbounded smooth function on $ \mathbb{R}^d $ and $ W$ is a standard normal distributed random…
Estimating the model evidence - or mariginal likelihood of the data - is a notoriously difficult task for finite and infinite mixture models and we reexamine here different Monte Carlo techniques advocated in the recent literature, as well…