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We reformulate the projected imaginary-time evolution of Full Configuration Interaction Quantum Monte Carlo in terms of a Lagrangian minimization. This naturally leads to the admission of polynomial complex wavefunction parameterizations,…
Nonlinear non-Gaussian state-space models arise in numerous applications in statistics and signal processing. In this context, one of the most successful and popular approximation techniques is the Sequential Monte Carlo (SMC) algorithm,…
Integration over non-negative integrands is a central problem in machine learning (e.g. for model averaging, (hyper-)parameter marginalisation, and computing posterior predictive distributions). Bayesian Quadrature is a probabilistic…
Monte Carlo methods represent the "de facto" standard for approximating complicated integrals involving multidimensional target distributions. In order to generate random realizations from the target distribution, Monte Carlo techniques use…
We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete--time state--space Markov model. The algorithm employs two layers of particle filters to approximate the…
Pulsar timing arrays (PTAs) detect low-frequency gravitational waves (GWs) by looking for correlated deviations in pulse arrival times. Current Bayesian searches use Markov Chain Monte Carlo (MCMC) methods, which struggle to sample the…
Quasi-Monte Carlo (QMC) integration of output functionals of solutions of the diffusion problem with a log-normal random coefficient is considered. The random coefficient is assumed to be given by an exponential of a Gaussian random field…
We propose the quasi-Monte Carlo method for linear combination of unitaries via classical post-processing (LCU-CPP) on quantum applications. The LCU-CPP framework has been proposed as an approach to reduce hardware resources, expressing a…
We propose a multilevel Markov chain Monte Carlo (MCMC) method for the Bayesian inference of random field parameters in PDEs using high-resolution data. Compared to existing multilevel MCMC methods, we additionally consider level-dependent…
We propose a new computationally efficient sampling scheme for Bayesian inference involving high dimensional probability distributions. Our method maps the original parameter space into a low-dimensional latent space, explores the latent…
The Bayesian approach to Inverse Problems relies predominantly on Markov Chain Monte Carlo methods for posterior inference. The typical nonlinear concentration of posterior measure observed in many such Inverse Problems presents severe…
The Bayesian approach to inverse problems provides a rigorous framework for the incorporation and quantification of uncertainties in measurements, parameters and models. We are interested in designing numerical methods which are robust…
The Direct Simulation Monte Carlo (DSMC) method is widely employed for simulating rarefied nonequilibrium gas flows. With advances in aerospace engineering and micro/nano-scale technologies, gas flows exhibit the coexistence of rarefied and…
Quasi-Monte Carlo (QMC) methods are applied to multi-level Finite Element (FE) discretizations of elliptic partial differential equations (PDEs) with a random coefficient, to estimate expected values of linear functionals of the solution.…
Gaussian random fields play an important role in many areas of science and engineering. In practice, they are often simulated by sampling from a high-dimensional multivariate normal distribution, which arises from the discretisation of a…
Monte Carlo methods play a central role in particle physics, where they are indispensable for simulating scattering processes, modeling detector responses, and performing multi-dimensional integrals. However, traditional Monte Carlo methods…
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…
We describe an embarrassingly parallel, anytime Monte Carlo method for likelihood-free models. The algorithm starts with the view that the stochasticity of the pseudo-samples generated by the simulator can be controlled externally by a…
Large particle systems are often described by high-dimensional (linear) kinetic equations that are simulated using Monte Carlo methods for which the asymptotic convergence rate is independent of the dimensionality. Even though the…
Sequential Monte Carlo algorithms (also known as particle filters) are popular methods to approximate filtering (and related) distributions of state-space models. However, they converge at the slow $1/\sqrt{N}$ rate, which may be an issue…