Related papers: A randomized Halton algorithm in R

Recently, the Hamilton Monte Carlo (HMC) has become widespread as one of the more reliable approaches to efficient sample generation processes. However, HMC is difficult to sample in a multimodal posterior distribution because the HMC chain…

The theme of the present paper is numerical integration of $C^r$ functions using randomized methods. We consider variance reduction methods that consist in two steps. First the initial interval is partitioned into subintervals and the…

Hybrid Monte-Carlo (HMC) sampling smoother is a fully non-Gaussian four-dimensional data assimilation algorithm that works by directly sampling the posterior distribution formulated in the Bayesian framework. The smoother in its original…

We describe a number of strategies for minimizing and calculating accurately the statistical uncertainty in quantum Monte Carlo calculations. We investigate the impact of the sampling algorithm on the efficiency of the variational Monte…

It is shown that superefficient Monte Carlo computations can be carried out by using chaotic dynamical systems as non-uniform random-number generators. Here superefficiency means that the expectation value of the square of the error…

We propose a variant of Hamiltonian Monte Carlo (HMC), called the Repelling-Attracting Hamiltonian Monte Carlo (RAHMC), for sampling from multimodal distributions. The key idea that underpins RAHMC is a departure from the conservative…

We present a sequential Monte Carlo sampler variant of the partial rejection control algorithm, and show that this variant can be considered as a sequential Monte Carlo sampler with a modified mutation kernel. We prove that the new sampler…

This paper is concerned with function reconstruction from samples. The sampling points used in several approaches are (1) structured points connected with fast algorithms or (2) unstructured points coming from, e.g., an initial random draw…

Hamiltonian Monte Carlo (HMC) is a state of the art method for sampling from distributions with differentiable densities, but can converge slowly when applied to challenging multimodal problems. Running HMC with a time varying Hamiltonian,…

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…

Quasi-Monte Carlo (QMC) method is a useful numerical tool for pricing and hedging of complex financial derivatives. These problems are usually of high dimensionality and discontinuities. The two factors may significantly deteriorate the…

Hamiltonian Monte Carlo (HMC) is an efficient method of simulating smooth distributions and has motivated the widely used No-U-turn Sampler (NUTS) and software Stan. We build on NUTS and the technique of "unbiased sampling" to design HMC…

Monte Carlo method is a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. They are often used in physical and mathematical problems and are most useful when it is difficult or…

Quasi-Monte Carlo methods are a way of improving the efficiency of Monte Carlo methods. Digital nets and sequences are one of the low discrepancy point sets used in quasi-Monte Carlo methods. This thesis presents the three new results…

We consider the problem of estimating the probability of a large loss from a financial portfolio, where the future loss is expressed as a conditional expectation. Since the conditional expectation is intractable in most cases, one may…

The uncertainty and robustness of Computable General Equilibrium models can be assessed by conducting a Systematic Sensitivity Analysis. Different methods have been used in the literature for SSA of CGE models such as Gaussian Quadrature…

Bayesian modelling and computational inference by Markov chain Monte Carlo (MCMC) is a principled framework for large-scale uncertainty quantification, though is limited in practice by computational cost when implemented in the simplest…

We consider the problem of estimating the expected outcomes of Monte Carlo processes whose outputs are described by multidimensional random variables. We tightly characterize the quantum query complexity of this problem for various choices…

In parallelized Monte-Carlo simulations, the order of summation is not always the same. When the mean is calculated in running fashion, this may create an artificial randomness in results which ought to be reproducible. This note takes a…

We propose a Multi-level Monte Carlo technique to accelerate Monte Carlo sampling for approximation of properties of materials with random defects. The computational efficiency is investigated on test problems given by tight-binding models…