Related papers: On dropping the first Sobol' point
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…
Uncertainty quantification (UQ) includes the characterization, integration, and propagation of uncertainties that result from stochastic variations and a lack of knowledge or data in the natural world. Monte Carlo (MC) method is a…
Sampling from complicated probability distributions is a hard computational problem arising in many fields, including statistical physics, optimization, and machine learning. Quantum computers have recently been used to sample from…
As the size of engineered systems grows, problems in reliability theory can become computationally challenging, often due to the combinatorial growth in the cut sets. In this paper we demonstrate how Multilevel Monte Carlo (MLMC) - a…
One of the open challenges in quantum computing is to find meaningful and practical methods to leverage quantum computation to accelerate classical machine learning workflows. A ubiquitous problem in machine learning workflows is sampling…
We show how to speed up Sequential Monte Carlo (SMC) for Bayesian inference in large data problems by data subsampling. SMC sequentially updates a cloud of particles through a sequence of distributions, beginning with a distribution that is…
Variational quantum Monte Carlo (QMC) is an ab-initio method for solving the electronic Schr\"odinger equation that is exact in principle, but limited by the flexibility of the available ansatzes in practice. The recently introduced deep…
Randomized quasi-Monte Carlo (RQMC) methods estimate the mean of a random variable by sampling an integrand at $n$ equidistributed points. For scrambled digital nets, the resulting variance is typically $\tilde O(n^{-\theta})$ where…
Quasi-Monte Carlo methods have proven to be effective extensions of traditional Monte Carlo methods in, amongst others, problems of quadrature and the sample path simulation of stochastic differential equations. By replacing the random…
We analyze the problem of eliminating finite-size errors from quantum Monte Carlo (QMC) energy data. We demonstrate that both (i) adding a recently proposed [S. Chiesa et al., Phys. Rev. Lett. 97, 076404 (2006)] finite-size correction to…
Deep learning algorithms have been widely used to solve linear Kolmogorov partial differential equations~(PDEs) in high dimensions, where the loss function is defined as a mathematical expectation. We propose to use the randomized…
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…
A standard way to move particles in a SMC sampler is to apply several steps of a MCMC (Markov chain Monte Carlo) kernel. Unfortunately, it is not clear how many steps need to be performed for optimal performance. In addition, the output of…
Monte Carlo integration approximates an integral of a black-box function by taking the average of many evaluations (i.e., samples) of the function (integrand). For $N$ queries of the integrand, Monte Carlo integration achieves the…
The standard Kernel Quadrature method for numerical integration with random point sets (also called Bayesian Monte Carlo) is known to converge in root mean square error at a rate determined by the ratio $s/d$, where $s$ and $d$ encode the…
A control in feedback form is derived for linear quadratic, time-invariant optimal control problems subject to parabolic partial differential equations with coefficients depending on a countably infinite number of uncertain parameters. It…
In reinforcement learning, Monte Carlo algorithms update the Q function by averaging the episodic returns. In the Monte Carlo UCB (MC-UCB) algorithm, the action taken in each state is the action that maximizes the Q function plus an Upper…
Importance sampling Monte-Carlo methods are widely used for the approximation of expectations with respect to partially known probability measures. In this paper we study a deterministic version of such an estimator based on quasi-Monte…
We develop a method for calculating the fundamental electronic gap of semiconductors and insulators using grand canonical Quantum Monte Carlo simulations. We discuss the origin of the bias introduced by supercell calculations of finite size…
Quantum Monte Carlo (QMC) simulations constitute nowadays one of the most powerful methods to study strongly correlated quantum systems, provided that no "sign problem" arises. However, many systems of interest, including highly frustrated…