Related papers: Hamiltonian Flow Simulation of Rare Events
The acceleration of gradient-based optimization methods is a subject of significant practical and theoretical importance, particularly within machine learning applications. While much attention has been directed towards optimizing within…
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.…
With the recently increased interest in probabilistic models, the efficiency of an underlying sampler becomes a crucial consideration. Hamiltonian Monte Carlo (HMC) is one popular option for models of this kind. Performance of the method,…
We investigate the properties of the Hybrid Monte-Carlo algorithm (HMC) in high dimensions. HMC develops a Markov chain reversible w.r.t. a given target distribution $\Pi$ by using separable Hamiltonian dynamics with potential $-\log\Pi$.…
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…
Hamiltonian Monte Carlo is typically based on the assumption of an underlying canonical symplectic structure. Numerical integrators designed for the canonical structure are incompatible with motion generated by non-canonical dynamics. These…
We analyse the efficiency of several simulation methods which we have recently proposed for calculating rate constants for rare events in stochastic dynamical systems, in or out of equilibrium. We derive analytical expressions for the…
We present the preliminary tests on two modifications of the Hybrid Monte Carlo (HMC) algorithm. Both algorithms are designed to travel much farther in the Hamiltonian phase space for each trajectory and reduce the autocorrelations among…
In this paper, we suggest a novel sampling method for Monte Carlo molecular simulations. In order to perform efficient sampling of molecular systems, it is advantageous to avoid extremely high energy configurations while also retaining the…
From Physics and Biology to Seismology and Economics, the behaviour of countless systems is determined by impactful yet unlikely transitions between metastable states known as \emph{rare events}, the study of which is essential for…
Probability measures supported on submanifolds can be sampled by adding an extra momentum variable to the state of the system, and discretizing the associated Hamiltonian dynamics with some stochastic perturbation in the extra variable. In…
Sequential Monte Carlo (SMC) methods have successfully been used in many applications in engineering, statistics and physics. However, these are seldom used in financial option pricing literature and practice. This paper presents SMC method…
I give an overview of rare event simulation techniques to generate dynamical pathways across high free energy barriers. The methods on which I will concentrate are the reactive flux approach, transition path sampling, (replica-exchange)…
This paper presents a study using the Bayesian approach in stochastic volatility models for modeling financial time series, using Hamiltonian Monte Carlo methods (HMC). We propose the use of other distributions for the errors in the…
Hamiltonian Monte Carlo (HMC) is a very popular and generic collection of Markov chain Monte Carlo (MCMC) algorithms. One explanation for the popularity of HMC algorithms is their excellent performance as the dimension $d$ of the target…
The contribution of this paper is to introduce change of measure based techniques for the rare-event analysis of heavy-tailed stochastic processes. Our changes-of-measure are parameterized by a family of distributions admitting a mixture…
This work investigates the computational burden of pricing binary options in rare event regimes and introduces an adaptation of the adaptive multilevel splitting (AMS) method for financial derivatives. Standard Monte Carlo becomes…
Markov Chain Monte Carlo methods have revolutionised mathematical computation and enabled statistical inference within many previously intractable models. In this context, Hamiltonian dynamics have been proposed as an efficient way of…
The recent introduction of Machine Learning techniques, especially Normalizing Flows, for the sampling of lattice gauge theories has shed some hope on improving the sampling efficiency of the traditional Hybrid Monte Carlo (HMC) algorithm.…
Based on a new coupling approach, we prove that the transition step of the Hamiltonian Monte Carlo algorithm is contractive w.r.t. a carefully designed Kantorovich (L1 Wasserstein) distance. The lower bound for the contraction rate is…