Related papers: Fast QMC matrix-vector multiplication
We extend the recently developed Quantum Quasi-Monte Carlo (QQMC) approach to obtain the full frequency dependence of Green functions in a single calculation. QQMC is a general approach for calculating high-order perturbative expansions in…
Efficiently pricing multi-asset options poses a significant challenge in quantitative finance. Fourier methods leverage the regularity properties of the integrand in the Fourier domain to accurately and rapidly value options that typically…
Consider $\boldsymbol X \sim \mathcal{N}(\boldsymbol 0, \boldsymbol \Sigma)$ and $\boldsymbol Y = (f_1(X_1), f_2(X_2),\dots, f_d(X_d))$. We call this a diagonal transformation of a multivariate normal. In this paper we compute exactly the…
Quasi-cyclic (QC) codes form an important generalization of cyclic codes. It is well know that QC codes of length $s\ell$ with index $s$ over the finite field $\mathbb{F}$ are $\mathbb{F}[y]$-submodules of the ring $\frac{\mathbb{F}[x,y]}{<…
We present a universal parameter-free quantum Monte Carlo (QMC) algorithm designed to simulate arbitrary spin-$1/2$ Hamiltonians. To ensure the convergence of the Markov chain to equilibrium for every conceivable case, we devise a clear and…
We introduce a Markov Chain Monte Carlo (MCMC) algorithm that dramatically accelerates the simulation of quantum many-body systems, a grand challenge in computational science. State-of-the-art methods for these problems are severely limited…
Monte Carlo (MC) simulations are widely used in financial risk management, from estimating value-at-risk (VaR) to pricing over-the-counter derivatives. However, they come at a significant computational cost due to the number of scenarios…
Many questions in quantitative finance, uncertainty quantification, and other disciplines are answered by computing the population mean, $\mu := \mathbb{E}(Y)$, where instances of $Y:=f(\boldsymbol{X})$ may be generated by numerical…
This paper investigates the construction of space-filling designs for computer experiments. The space-filling property is characterized by the covering and separation radii of a design, which are integrated through the unified criterion of…
Quasi-Monte Carlo rules are equal weight quadrature rules defined over the domain $[0,1]^s$. Here we introduce quasi-Monte Carlo type rules for numerical integration of functions defined on $\mathbb{R}^s$. These rules are obtained by way of…
We study the application of a quasi-Monte Carlo (QMC) method to a class of semi-linear parabolic reaction-diffusion partial differential equations used to model tumor growth. Mathematical models of tumor growth are largely phenomenological…
In a recent paper Keister proposed two quadrature rules as alternatives to Monte Carlo for certain multidimensional integrals and reported his test results. In earlier work we had shown that the quasi-Monte Carlo method with generalized…
We motive and calculate Newton--Cotes quadrature integration variance and compare it directly with Monte Carlo (MC) integration variance. We find an equivalence between deterministic quadrature sampling and random MC sampling by noting that…
One of the tasks in color image processing and computer vision is to recover clean data from partial observations corrupted by noise. To this end, robust quaternion matrix completion (QMC) has recently attracted more attention and shown its…
Sequential Monte Carlo algorithms (also known as particle filters) are popular methods to approximate filtering (and related) distributions of state-space models. However, they converge at the slow $1/\sqrt{N}$ rate, which may be an issue…
A paramount goal in the field of nuclear physics is to unify ab-initio treatments of bound and unbound states. The position-space quantum Monte Carlo (QMC) methods have a long history of successful bound state calculations in light systems…
In a typical finite temperature quantum Monte Carlo (QMC) simulation, estimators for simple static observables such as specific heat and magnetization are known. With a great deal of system-specific manual labor, one can sometimes also…
In this paper, we apply quasi-Monte Carlo (QMC) methods with an initial preintegration step to estimate cumulative distribution functions and probability density functions in uncertainty quantification (UQ). The distribution and density…
This paper presents in detail the originally developed Quadratic Point Estimate Method (QPEM), aimed at efficiently and accurately computing the first four output moments of probabilistic distributions, using 2n^2+1 sample (or sigma)…
Existing numerical optimizers deployed in quantum compilers use expensive $\mathcal{O}(4^n)$ matrix-matrix operations. Inspired by recent advances in quantum machine learning (QML), QFactor-Sample replaces matrix-matrix operations with…