Related papers: Self-learning Monte Carlo with Deep Neural Network…

A new algorithm is developed allowing the Monte Carlo study of a 1 + 1 dimensional theory in real time. The main algorithmic development is to avoid the explicit calculation of the Jacobian matrix and its determinant in the update process.…

Continuous-time random disturbances from the renewable generation pose a significant impact on power system dynamic behavior. In evaluating this impact, the disturbances must be considered as continuous-time random processes instead of…

Stochastic gradient Markov chain Monte Carlo (SG-MCMC) has become increasingly popular for simulating posterior samples in large-scale Bayesian modeling. However, existing SG-MCMC schemes are not tailored to any specific probabilistic…

Sampling from high-dimensional distributions has wide applications in data science and machine learning but poses significant computational challenges. We introduce Subspace Langevin Monte Carlo (SLMC), a novel and efficient sampling method…

High-dimensional multimodal sampling problems from lattice field theory (LFT) have become important benchmarks for machine learning assisted sampling methods. We show that GPU-accelerated particle methods, Sequential Monte Carlo (SMC) and…

We introduce a Hamiltonian Monte Carlo (HMC) methodology based on a randomized selection of integration times, referred to as eHMC, where "e" stands for empirical. The approach relies on an offline calibration phase that leverages…

Sequential Monte Carlo (SMC) is a class of algorithms that approximate high-dimensional expectations of a Markov chain. SMC algorithms typically include a resampling step. There are many possible ways to resample, but the relative…

We consider the computational efficiency of Monte Carlo (MC) and Multilevel Monte Carlo (MLMC) methods applied to partial differential equations with random coefficients. These arise, for example, in groundwater flow modelling, where a…

We develop new multilevel Monte Carlo (MLMC) methods to estimate the expectation of the smallest eigenvalue of a stochastic convection-diffusion operator with random coefficients. The MLMC method is based on a sequence of finite element…

Latent state space systems are ubiquitous in statistical modelling, arising naturally when a time series is observed through a noisy measurement function, however training deep state space models (DSSM) at scale remains difficult. Two…

Sequential Monte Carlo (SMC) samplers form an attractive alternative to MCMC for Bayesian computation. However, their performance depends strongly on the Markov kernels used to rejuvenate particles. We discuss how to calibrate automatically…

We study the feature-scaled version of the Monte Carlo algorithm with linear function approximation. This algorithm converges to a scale-invariant solution, which is not unduly affected by states having feature vectors with large norms. The…

Inspired by the latest developments in multilevel Monte Carlo (MLMC) methods and randomised sketching for linear algebra problems we propose a MLMC estimator for real-time processing of matrix structured random data. Our algorithm is…

Monte Carlo simulations of quantum field theories on a lattice become increasingly expensive as the continuum limit is approached since the cost per independent sample grows with a high power of the inverse lattice spacing. Simulations on…

We develop a novel Monte Carlo algorithm for the vector consisting of the supremum, the time at which the supremum is attained and the position at a given (constant) time of an exponentially tempered L\'evy process. The algorithm, based on…

In this work, we introduce a simple modification of the Monte Carlo algorithm, which we call step Monte Carlo (sMC). The sMC approach allows to simulate processes far from equilibrium and obtain information about the dynamic properties of…

Bayesian inference methods such as Markov Chain Monte Carlo (MCMC) typically require repeated computations of the likelihood function, but in some scenarios this is infeasible and alternative methods are needed. Simulation-based inference…

Markov chain Monte Carlo algorithms are used to simulate from complex statistical distributions by way of a local exploration of these distributions. This local feature avoids heavy requests on understanding the nature of the target, but it…

Monte Carlo methods are widely used in particle physics to integrate and sample probability distributions (differential cross sections or decay rates) on multi-dimensional phase spaces. We present a Neural Network (NN) algorithm optimized…

The introduction of machine learned potentials (MLPs) has greatly expanded the space available for studying Nuclear Quantum Effects computationally with ab initio path integral (PI) accuracy, with the MLPs' promise of an accuracy comparable…