Related papers: A method to reduce the rejection rate in Monte Car…
We construct a new Markov chain Monte Carlo method on finite states with optimal choices of acceptance-rejection ratio functions. We prove that the constructed continuous time Markov jumping process has a global in-time convergence rate in…
We propose a modified power method for computing the subdominant eigenvalue $\lambda_2$ of a matrix or continuous operator. Here we focus on defining simple Monte Carlo methods for its application. The methods presented use random walkers…
Reverse Monte Carlo (RMC) is an algorithm that incorporates stochastic modification of the action as part of the process that updates the fields in a Monte Carlo simulation. Such update moves have the potential of lowering or eliminating…
We experiment with a massively parallel implementation of an algorithm for simulating the dynamics of metastable decay in kinetic Ising models. The parallel scheme is directly applicable to a wide range of stochastic cellular automata where…
We explore a general framework in Markov chain Monte Carlo (MCMC) sampling where sequential proposals are tried as a candidate for the next state of the Markov chain. This sequential-proposal framework can be applied to various existing…
Equilibrium systems evolve according to Detailed Balance (DB). This principe guided development of the Monte-Carlo sampling techniques, of which Metropolis-Hastings (MH) algorithm is the famous representative. It is also known that DB is…
Bayesian methods and their implementations by means of sophisticated Monte Carlo techniques have become very popular in signal processing over the last years. Importance Sampling (IS) is a well-known Monte Carlo technique that approximates…
The Markov chain Monte Carlo method is a versatile tool in statistical physics to evaluate multi-dimensional integrals numerically. For the method to work effectively, we must consider the following key issues: the choice of ensemble, the…
We introduce a Monte Carlo algorithm to efficiently compute transport properties of chaotic dynamical systems. Our method exploits the importance sampling technique that favors trajectories in the tail of the distribution of displacements,…
The multilevel Monte Carlo (MLMC) method for continuous-time Markov chains, first introduced by Anderson and Higham (SIAM Multiscal Model. Simul. 10(1), 2012), is a highly efficient simulation technique that can be used to estimate various…
The Metropolis-Hastings (MH) algorithm is one of the most widely used Markov Chain Monte Carlo schemes for generating samples from Bayesian posterior distributions. The algorithm is asymptotically exact, flexible and easy to implement.…
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…
Near-infrared spectroscopy (NIRS) including diffuse optical tomography is an imaging modality which makes use of diffuse light propagation in random media. When optical properties of a random medium is investigated from boundary…
Monte Carlo (MC) methods have become very popular in signal processing during the past decades. The adaptive rejection sampling (ARS) algorithms are well-known MC technique which draw efficiently independent samples from univariate target…
We construct a rejection-free Monte Carlo method for the hard-disk system. Rejection-free Monte Carlo methods preserve the time-evolution behavior of the standard Monte Carlo method, and this relationship is confirmed for our method by…
We introduce a new micro-macro Markov chain Monte Carlo method (mM-MCMC) with indirect reconstruction to sample invariant distributions of molecular dynamics systems that exhibit a time-scale separation between the microscopic (fast)…
Monte Carlo methods are widely used to estimate observables in many-body quantum systems. However, conventional sampling schemes often require a large number of samples to achieve sufficient accuracy. In this work we propose the…
Machine learning is becoming widely used in analyzing the thermodynamics of many-body condensed matter systems. Restricted Boltzmann Machine (RBM) aided Monte Carlo simulations have sparked interest recently, as they manage to speed up…
We study a method, Extra Chance Generalized Hybrid Monte Carlo, to avoid rejections in the Hybrid Monte Carlo method and related algorithms. In the spirit of delayed rejection, whenever a rejection would occur, extra work is done to find a…
We propose an efficient Markov Chain Monte Carlo method for sampling equilibrium distributions for stochastic lattice models, capable of handling correctly long and short-range particle interactions. The proposed method is a Metropolis-type…