Related papers: Asymptotic-Preserving Monte Carlo methods for tran…
In this paper we introduce and discuss numerical schemes for the approximation of kinetic equations for flocking behavior with phase transitions that incorporate uncertain quantities. This class of schemes here considered make use of a…
The behavior of a Lattice Monte Carlo algorithm (if it is designed correctly) must approach that of the continuum system that it is designed to simulate as the time step and the mesh step tend to zero. However, we show for an algorithm for…
We study solutions to nonlinear hyperbolic systems with fully nonlinear relaxation terms in the limit of, both, infinitely stiff relaxation and arbitrary late time. In this limit, the dynamics is governed by effective systems of parabolic…
We present a multilevel Monte Carlo (MLMC) method for the uncertainty quantification of variably saturated porous media flow that are modeled using the Richards' equation. We propose a stochastic extension for the empirical models that are…
Employing a classical density-functional description of liquid environments, we introduce a rigorous method for the diffusion quantum Monte Carlo calculation of free energies and thermodynamic averages of solvated systems that requires…
This article introduces the Modified Parameterized Leapfrog Hamiltonian Monte Carlo (MPL-HMC) method, a novel extension of HMC addressing key limitations through tunable integration parameters $\alpha(\delta t)$ and $\beta(\delta t)$,…
Global search and optimization of long-duration, low-thrust spacecraft trajectories with the indirect method is challenging due to a complex solution space and the difficulty of generating good initial guesses for the costate variables.…
Most research regarding quantum adiabatic optimization has focused on stoquastic Hamiltonians, whose ground states can be expressed with only real, nonnegative amplitudes. This raises the question of whether classical Monte Carlo algorithms…
In this paper, we evaluate the performance of the multilevel Monte Carlo method (MLMC) for deterministic and uncertain hyperbolic systems, where randomness is introduced either in the modeling parameters or in the approximation algorithms.…
Bayesian inference for nonlinear diffusions, observed at discrete times, is a challenging task that has prompted the development of a number of algorithms, mainly within the computational statistics community. We propose a new direction,…
We present an Asymptotic-Preserving 'all-speed' scheme for the simulation of compressible flows valid at all Mach-numbers ranging from very small to order unity. The scheme is based on a semi-implicit discretization which treats the…
The term ``sequential Monte Carlo methods'' or, equivalently, ``particle filters,'' refers to a general class of iterative algorithms that performs Monte Carlo approximations of a given sequence of distributions of interest (\pi_t). We…
This paper addresses optimization problems constrained by partial differential equations with uncertain coefficients. In particular, the robust control problem and the average control problem are considered for a tracking type cost…
Monte Carlo statistical ray-tracing methods are commonly employed to simulate carrier transport in nanostructured materials. In the case of a large degree of nanostructuring and under linear response (small driving fields), these…
We give a brief discussion of the recently developed Constrained-Path Monte Carlo Method. This method is a quantum Monte Carlo technique that eliminates the fermion sign problem plaguing simulations of systems of interacting electrons. The…
In this work we develop an effective Monte Carlo method for estimating sensitivities, or gradients of expectations of sufficiently smooth functionals, of a reflected diffusion in a convex polyhedral domain with respect to its defining…
This paper focuses on signal processing tasks in which the signal is transformed from the signal space to a higher dimensional coefficient space (also called phase space) using a continuous frame, processed in the coefficient space, and…
We consider the problem of determining the arrival statistics of unbiased planar random walkers to complex target configurations. In contrast to problems posed in finite domains, simple moments of the distribution, such as the mean (MFPT)…
The safety concern for unmanned systems, namely the concern for the potential casualty caused by system abnormalities, has been a bottleneck for their development, especially in populated areas. Evidently, the collision between the unmanned…
The problem of sampling according to the probability distribution minimizing a given free energy, using interacting particles unadjusted kinetic Langevin Monte Carlo, is addressed. In this setting, three sources of error arise, related to…