Related papers: Improved Sampling Algorithms in Lattice QCD
Hamiltonian Monte Carlo (HMC) is a popular Markov chain Monte Carlo (MCMC) algorithm that generates proposals for a Metropolis-Hastings algorithm by simulating the dynamics of a Hamiltonian system. However, HMC is sensitive to large time…
We establish epigraphical and uniform laws of large numbers for sample-based approximations of law invariant risk functionals. These sample-based approximation schemes include Monte Carlo (MC) and certain randomized quasi-Monte Carlo…
A new method based on a Reverse Monte Carlo [RMC] technique and aimed at the inverse problem in the analysis of interstellar (intergalactic) absorption lines is presented. The line formation process in chaotic media with a finite…
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…
A system to update estimates from a sequence of probability distributions is presented. The aim of the system is to quickly produce estimates with a user-specified bound on the Monte Carlo error. The estimates are based upon weighted…
Stochastic approximation Monte Carlo (SAMC) has recently been proposed by Liang, Liu and Carroll [J. Amer. Statist. Assoc. 102 (2007) 305--320] as a general simulation and optimization algorithm. In this paper, we propose to improve its…
Markov chain Monte Carlo algorithms are invaluable tools for exploring stationary properties of physical systems, especially in situations where direct sampling is unfeasible. Common implementations of Monte Carlo algorithms employ…
Monte Carlo (MC) simulations of lattice models are a widely used way to compute thermodynamic properties of substitutional alloys. A limitation to their more widespread use is the difficulty of driving a MC simulation in order to obtain the…
In lattice quantum field theory studies, parameters defining the lattice theory must be tuned toward criticality to access continuum physics. Commonly used Markov chain Monte Carlo (MCMC) methods suffer from critical slowing down in this…
Monte Carlo simulation is an unbiased numerical tool for studying classical and quantum many-body systems. One of its bottlenecks is the lack of general and efficient update algorithm for large size systems close to phase transition or with…
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…
Sequential Monte Carlo (SMC) methods are a widely used set of computational tools for inference in non-linear non-Gaussian state-space models. We propose a new SMC algorithm to compute the expectation of additive functionals recursively.…
Markov chain Monte Carlo (MCMC) algorithms are indispensable when sampling from a complex, high-dimensional distribution by a conventional method is intractable. Even though MCMC is a powerful tool, it is also hard to control and tune in…
Riemannian manifold Hamiltonian Monte Carlo (RMHMC) is a sampling algorithm that seeks to adapt proposals to the local geometry of the posterior distribution. The specific form of the Hamiltonian used in RMHMC necessitates {\it…
An overview is given over the recently developed and now widely used Monte Carlo algorithms with reduced or eliminated critical slowing down. The basic techniques are overrelaxation, cluster algorithms and multigrid methods. With these…
We consider Monte Carlo approximations to the maximum likelihood estimator in models with intractable norming constants. This paper deals with adaptive Monte Carlo algorithms, which adjust control parameters in the course of simulation. We…
Hamiltonian Monte Carlo (HMC) algorithms which combine numerical approximation of Hamiltonian dynamics on finite intervals with stochastic refreshment and Metropolis correction are popular sampling schemes, but it is known that they may…
Ab initio quantum Monte Carlo (QMC) is a stochastic approach for solving the many-body Schr\"odinger equation without resorting to one-body approximations. QMC algorithms are readily parallelizable via ensembles of $N_w$ walkers, making…
Population Monte Carlo (PMC) sampling methods are powerful tools for approximating distributions of static unknowns given a set of observations. These methods are iterative in nature: at each step they generate samples from a proposal…
The Monte Carlo algorithm is increasingly utilized, with its central step involving computer-based random sampling from stochastic models. While both Markov Chain Monte Carlo (MCMC) and Reject Monte Carlo serve as sampling methods, the…