Related papers: A Scrambled Method of Moments
Machine-learning (ML) ans\"atze have greatly expanded the accuracy and reach of variational quantum Monte Carlo (QMC) calculations, in particular when exploring the manifold quantum phenomena exhibited by spin systems. However, the…
In this work we propose a new approach for the numerical simulation of kinetic equations through Monte Carlo schemes. We introduce a new technique which permits to reduce the variance of particle methods through a matching with a set of…
In this paper, we extend our analysis of lattice systems using the wavelet transform to systems for which exact enumeration is impractical. For such systems, we illustrate a wavelet-accelerated Monte Carlo (WAMC) algorithm, which…
The Markov chain Monte Carlo (MCMC) method is used to evaluate the imaginary-time path integral of a quantum oscillator with a potential that includes both a quadratic term and a quartic term whose coupling is varied by several orders of…
Computing systems interacting with real-world processes must safely and reliably process uncertain data. The Monte Carlo method is a popular approach for computing with such uncertain values. This article introduces a framework for…
The subject of the present study is the Monte Carlo path-integral evaluation of the moments of spectral functions. Such moments can be computed by formal differentiation of certain estimating functionals that are infinitely-differentiable…
We study a random sampling technique to approximate integrals $\int_{[0,1]^s}f(\mathbf{x})\,\mathrm{d}\mathbf{x}$ by averaging the function at some sampling points. We focus on cases where the integrand is smooth, which is a problem which…
This paper proposes a method of quantum Monte Carlo integration that retains the full quadratic quantum advantage, without requiring any arithmetic or quantum phase estimation to be performed on the quantum computer. No previous proposal…
We present a new method for simulating Markovian jump processes with time-dependent transitions rates, which avoids the transformation of random numbers by inverting time integrals over the rates. It relies on constructing a sequence of…
The random numbers driving Markov chain Monte Carlo (MCMC) simulation are usually modeled as independent U(0,1) random variables. Tribble [Markov chain Monte Carlo algorithms using completely uniformly distributed driving sequences (2007)…
Statisticians often use Monte Carlo methods to approximate probability distributions, primarily with Markov chain Monte Carlo and importance sampling. Sequential Monte Carlo samplers are a class of algorithms that combine both techniques to…
Importance sampling (IS) is valuable in reducing the variance of Monte Carlo sampling for many areas, including finance, rare event simulation, and Bayesian inference. It is natural and obvious to combine quasi-Monte Carlo (QMC) methods…
We propose a sequential Monte Carlo (SMC) method to efficiently and accurately compute cut-Bayesian posterior quantities of interest, variations of standard Bayesian approaches constructed primarily to account for model misspecification. We…
Nested Monte Carlo is widely used for risk estimation, but its efficiency is limited by the discontinuity of the indicator function and high computational cost. This paper proposes a nested Multilevel Monte Carlo (MLMC) method combined with…
The order of convergence of the Monte Carlo method is 1/2 which means that we need quadruple samples to decrease the error in half in the numerical simulation. Multilevel Monte Carlo methods reach the same order of error by spending less…
Hamiltonian Monte Carlo (HMC) is an efficient Bayesian sampling method that can make distant proposals in the parameter space by simulating a Hamiltonian dynamical system. Despite its popularity in machine learning and data science, HMC is…
We describe and analyze some Monte Carlo methods for manifolds in Euclidean space defined by equality and inequality constraints. First, we give an MCMC sampler for probability distributions defined by un-normalized densities on such…
This paper proposes an algorithm to generate random numbers from any member of the truncated multivariate elliptical family of distributions with a strictly decreasing density generating function. Based on Neal (2003) and Ho et al. (2012),…
This paper studies randomized quasi-Monte Carlo (QMC) sampling for discontinuous integrands having singularities along the boundary of the unit cube $[0,1]^d$. Both discontinuities and singularities are extremely common in the pricing and…
Quantum Monte Carlo (QMC) is commonly used in simulations for Quantum Annealing (QA), but QMC as a heuristic approach has great difficulty in that it takes much time to find minimum energy. It mainly depends on the existence of a trotter…