Related papers: A GPU compatible quasi-Monte Carlo integrator inte…
Nested integration of the form $\int f\left(\int g(\bs{y},\bs{x})\di{}\bs{x}\right)\di{}\bs{y}$, characterized by an outer integral connected to an inner integral through a nonlinear function $f$, is a challenging problem in various fields,…
A fully numerical method to calculate loop integrals, a numerical contour-integration method, is proposed. Loop integrals can be interpreted as a contour integral in a complex plane for an integrand with multi-poles in the plane. Stable and…
This paper provides a framework in which multilevel Monte Carlo and continuous level Monte Carlo can be compared. In continuous level Monte Carlo the level of refinement is determined by an exponentially distributed random variable, which…
We present a new adaptive parallel algorithm for the challenging problem of multi-dimensional numerical integration on massively parallel architectures. Adaptive algorithms have demonstrated the best performance, but efficient many-core…
A formalism for the numerical integration of one- and two-loop integrals is presented. It is based on subtraction terms which remove the soft, collinear and some of the ultraviolet divergences from the integrand. The numerical integral is…
Hamiltonian Monte Carlo (HMC) is a Markov chain Monte Carlo (MCMC) approach that exhibits favourable exploration properties in high-dimensional models such as neural networks. Unfortunately, HMC has limited use in large-data regimes and…
In this paper we present a rigorous cost and error analysis of a multilevel estimator based on randomly shifted Quasi-Monte Carlo (QMC) lattice rules for lognormal diffusion problems. These problems are motivated by uncertainty…
This paper introduces cuVegas, a CUDA-based implementation of the Vegas Enhanced Algorithm (VEGAS+), optimized for multi-dimensional integration in GPU environments. The VEGAS+ algorithm is an advanced form of Monte Carlo integration,…
The variational quantum Monte Carlo (VQMC) method received significant attention in the recent past because of its ability to overcome the curse of dimensionality inherent in many-body quantum systems. Close parallels exist between VQMC and…
Quasi-Monte Carlo rules are equal weight quadrature rules defined over the domain $[0,1]^s$. Here we introduce quasi-Monte Carlo type rules for numerical integration of functions defined on $\mathbb{R}^s$. These rules are obtained by way of…
In this article, we present a review of the recent developments on the topic of Multilevel Monte Carlo (MLMC) algorithm, in the paradigm of applications in financial engineering. We specifically focus on the recent studies conducted in two…
In a recent paper by the authors, it is shown that there exists a quasi-Monte Carlo (QMC) rule which achieves the best possible rate of convergence for numerical integration in a reproducing kernel Hilbert space consisting of smooth…
Massively parallel desktop computing capabilities now well within the reach of individual academics modify the environment for posterior simulation in fundamental and potentially quite advantageous ways. But to fully exploit these benefits…
Multilevel Monte Carlo is a key tool for approximating integrals involving expensive scientific models. The idea is to use approximations of the integrand to construct an estimator with improved accuracy over classical Monte Carlo. We…
While generally considered computationally expensive, Uncertainty Quantification using Monte Carlo sampling remains beneficial for applications with uncertainties of high dimension. As an extension of the naive Monte Carlo method, the…
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…
The new version 2.1 of the program SecDec is described, which can be used for the factorisation of poles and subsequent numerical evaluation of multi-loop integrals, in particular massive two-loop integrals. The program is not restricted to…
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…
Stochastic PDE eigenvalue problems are useful models for quantifying the uncertainty in several applications from the physical sciences and engineering, e.g., structural vibration analysis, the criticality of a nuclear reactor or photonic…
In this new version of ZMCintegral, we have added the functionality of multi-function integrations, i.e. the ability to integrate more than $10^{3}$ different functions on GPUs. The Python API remains the similar as the previous versions.…