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A Monte Carlo algorithm is said to be adaptive if it automatically calibrates its current proposal distribution using past simulations. The choice of the parametric family that defines the set of proposal distributions is critical for good…
Hamiltonian Monte Carlo (HMC) is arguably the dominant statistical inference algorithm used in most popular "first-order differentiable" Probabilistic Programming Languages (PPLs). However, the fact that HMC uses derivative information…
The Hamiltonian Monte Carlo method generates samples by introducing a mechanical system that explores the target density. For distributions on manifolds it is not always simple to perform the mechanics as a result of the lack of global…
Value function based reinforcement learning (RL) algorithms, for example, $Q$-learning, learn optimal policies from datasets of actions, rewards, and state transitions. However, when the underlying state transition dynamics are stochastic…
An algorithm is proposed to solve robust control problems constrained by partial differential equations with uncertain coefficients, based on the so-called MG/OPT framework. The levels in this MG/OPT hierarchy correspond to discretization…
A Monte Carlo method to optimize cuts on variables is presented and evaluated. The method gives a much higher signal to noise ratio than does a manual choice of cuts.
This work introduces a novel multilevel Monte Carlo (MLMC) metamodeling approach for variance function estimation. Although devising an efficient experimental design for simulation metamodeling can be elusive, the MLMC-based approach…
Multi-fidelity Monte Carlo (MFMC) is a variance reduction method that leverages a multi-fidelity ensemble of models of varying cost and accuracy levels. Constructing an MFMC estimator with optimal variance requires knowledge of the…
Monte Carlo methods play important part in modern statistical physics. The application of these methods suffer from two main difficulties.The first is caused by the relatively small number of particles that can participate in any numerical…
Equality-constrained models naturally arise in problems in which measurements are taken at different levels of resolution. The challenge in this setting is that the models usually induce a joint distribution which is intractable. Resorting…
Computing risk measures of a financial portfolio comprising thousands of derivatives is a challenging problem because (a) it involves a nested expectation requiring multiple evaluations of the loss of the financial portfolio for different…
Monte Carlo planners can often return sub-optimal actions, even if they are guaranteed to converge in the limit of infinite samples. Known asymptotic regret bounds do not provide any way to measure confidence of a recommended action at the…
A method is presented to tackle the sign problem in the simulations of systems having indefinite or complex-valued measures. In general, this new approach is shown to yield statistical errors smaller than the crude Monte Carlo using…
We develop Hybrid Monte Carlo (HMC) algorithms for constrained Hamiltonian systems of gauge- Higgs models and introduce a new observable for the constraint effective Higgs potential. We use an extension of the so-called Rattle algorithm to…
We propose an importance sampling (IS)-based transport map Hamiltonian Monte Carlo procedure for performing full Bayesian analysis in general nonlinear high-dimensional hierarchical models. Using IS techniques to construct a transport map,…
We discuss modern ideas in Monte Carlo algorithms in the simplified setting of the one-dimensional anharmonic oscillator. After reviewing the connection between molecular dynamics and Monte Carlo, we introduce to the Metropolis and the…
The celebrated Monte Carlo method estimates an expensive-to-compute quantity by random sampling. Bandit-based Monte Carlo optimization is a general technique for computing the minimum of many such expensive-to-compute quantities by adaptive…
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…
We introduce a class of Monte Carlo estimators that aim to overcome the rapid growth of variance with dimension often observed for standard estimators by exploiting the target's independence structure. We identify the most basic…
Quantum Monte Carlo method is used to look into the superconductivity in the three-leg Hubbard ladder. The enhanced correlation for the pairing across the central and edge chains, which has been predicted in the weak-coupling…