Related papers: Monte Carlo algorithm for the extrema of tempered …
In this work, we tackle the problem of minimising the Conditional-Value-at-Risk (CVaR) of output quantities of complex differential models with random input data, using gradient-based approaches in combination with the Multi-Level Monte…
Monte Carlo algorithms are a foundational pillar of modern computational science, yet their effective application hinges on a deep understanding of their performance trade offs. This paper presents a critical analysis of the evolution of…
We propose a new method for the estimation of a semiparametric tempered stable L\'{e}vy model. The estimation procedure combines iteratively an approximate semiparametric method of moment estimator, Truncated Realized Quadratic Variations…
Uncertainty quantification (UQ) in Large Language Models (LLMs) is essential for their safe and reliable deployment, particularly in critical applications where incorrect outputs can have serious consequences. Current UQ methods typically…
Continuous level Monte Carlo is an unbiased, continuous version of the celebrated multilevel Monte Carlo method. The approximation level is assumed to be continuous resulting in a stochastic process describing the quantity of interest.…
The entanglement entropy probing novel phases and phase transitions numerically via quantum Monte Carlo has made great achievements in large-scale interacting spin/boson systems. In contrast, the numerical exploration in interacting fermion…
A generalization to the quantum case of a recently introduced algorithm (Y. Tomita and Y. Okabe, Phys. Rev. Lett. {\bf 86}, 572 (2001)) for the determination of the critical temperature of classical spin models is proposed. We describe a…
Monte Carlo (MC) simulations of lattice models are a widely used way to compute thermodynamic properties of substitutional alloys. A limitation to their more widespread use is the difficulty of driving a MC simulation in order to obtain the…
In this paper we introduce a new algorithm for American Monte Carlo that can be used either for American-style options, callable structured products or for computing counterparty credit risk (e.g. CVA or PFE computation). Leveraging least…
The Expectation Maximisation (EM) algorithm is widely used to optimise non-convex likelihood functions with latent variables. Many authors modified its simple design to fit more specific situations. For instance, the Expectation (E) step…
We study a Monte Carlo algorithm that is based on a specific (randomly shifted and dilated) lattice point set. The main result of this paper is that the mean squared error for a given compactly supported, square-integrable function is…
We present a new Monte Carlo algorithm that allows the simultaneous determination of a few extremal eigenpairs of a very large matrix. It extends the power method and uses a new sampling method, the sewing method, that does a large state…
We consider the problem of estimating the probability of a large loss from a financial portfolio, where the future loss is expressed as a conditional expectation. Since the conditional expectation is intractable in most cases, one may…
A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework. The Least-Squares Monte Carlo (LSMC) algorithm is a popular numerical method to approach solutions of such stochastic…
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…
Self-learning Monte Carlo (SLMC) method is a general algorithm to speedup MC simulations. Its efficiency has been demonstrated in various systems by introducing an effective model to propose global moves in the configuration space. In this…
A new computational method for finite-temperature properties of strongly correlated electrons is proposed by extending the variational Monte Carlo method originally developed for the ground state. The method is based on the path integral in…
We consider the numerical approximation of $\mathbb{P}[G\in \Omega]$ where the $d$-dimensional random variable $G$ cannot be sampled directly, but there is a hierarchy of increasingly accurate approximations $\{G_\ell\}_{\ell\in\mathbb{N}}$…
We propose a Monte Carlo algorithm designed to simulate quantum as well as classical systems at equilibrium, bridging the algorithmic gap between quantum and classical thermal simulation algorithms. The method is based on a novel…
We propose a sampling-based framework for finite-horizon trajectory and policy optimization under differentiable dynamics by casting controller design as inference. Specifically, we minimize a KL-regularized expected trajectory cost, which…