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We develop a new Monte Carlo method that solves hyperbolic transport equations with stiff terms, characterized by a (small) scaling parameter. In particular, we focus on systems which lead to a reduced problem of parabolic type in the limit…
Monte Carlo simulations are widely used to simulate complex molecular systems, but standard approaches suffer from metastability. Lately, the use of non-local proposal updates in a collective-variable (CV) space has been proposed in several…
Many problems of practical interest rely on Continuous-time Markov chains~(CTMCs) defined over combinatorial state spaces, rendering the computation of transition probabilities, and hence probabilistic inference, difficult or impossible…
We provide a pedagogical introduction to the two main variants of real-space quantum Monte Carlo methods for electronic-structure calculations: variational Monte Carlo (VMC) and diffusion Monte Carlo (DMC). Assuming no prior knowledge on…
In this work, we consider the problem of estimating the probability distribution, the quantile or the conditional expectation above the quantile, the so called conditional-value-at-risk, of output quantities of complex random differential…
Variational quantum algorithms are viewed as promising candidates for demonstrating quantum advantage on near-term devices. These approaches typically involve the training of parameterized quantum circuits through a classical optimization…
We consider a multi-step algorithm for the computation of the historical expected shortfall such as defined by the Basel Minimum Capital Requirements for Market Risk. At each step of the algorithm, we use Monte Carlo simulations to reduce…
Kinetic equations model distributions of particles in position-velocity phase space. Often, one is interested in studying the long-time behavior of particles in high-collisional regimes in which an approximate (advection)-diffusion model…
The use of neural network parametrizations to represent the ground state in variational Monte Carlo (VMC) calculations has generated intense interest in recent years. However, as we demonstrate in the context of the periodic Heisenberg spin…
We introduce a novel method of efficiently simulating the non-equilibrium steady state of large many-body open quantum systems with highly non-local interactions, based on a variational Monte Carlo optimization of a matrix product operator…
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…
We present an algorithmic framework for a variant of the quantum Monte Carlo operator-loop algorithm, where non-local cluster updates are constructed in a way that makes each individual loop smaller. The algorithm is designed to increase…
We employ quantum Monte Carlo to obtain chemically accurate vertical and adiabatic excitation energies, and equilibrium excited-state structures for the small, yet challenging, formaldehyde and thioformaldehyde molecules. A key ingredient…
We propose a variant of the Simulated Annealing method for optimization in the multivariate analysis of differentiable functions. The method uses global actualizations via the Hybrid Monte Carlo algorithm in their generalized version for…
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…
Monte Carlo methods play a central role in particle physics, where they are indispensable for simulating scattering processes, modeling detector responses, and performing multi-dimensional integrals. However, traditional Monte Carlo methods…
We propose a new variational Monte Carlo (VMC) approach based on the Krylov subspace for large-scale shell-model calculations. A random walker in the VMC is formulated with the $M$-scheme representation, and samples a small number of…
As the size of engineered systems grows, problems in reliability theory can become computationally challenging, often due to the combinatorial growth in the cut sets. In this paper we demonstrate how Multilevel Monte Carlo (MLMC) - a…
New hybrid Molecular Dynamics-Monte Carlo methods are proposed to increase the efficiency of constant-pressure simulations. Two variations of the isobaric Molecular Dynamics component of the algorithms are considered. In the first, we use…
We made a comparative analysis of numerical methods for multidimensional optimization. The main parameter is a number of computations of the test function to reach necessary accuracy, as it is computationally "slow". For complex functions,…