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Most solved dynamic structural macrofinance models are non-linear and/or non-Gaussian state-space models with high-dimensional and complex structures. We propose an annealed controlled sequential Monte Carlo method that delivers numerically…

We propose using Normalizing Flows as a trainable kernel within the molecular dynamics update of Hamiltonian Monte Carlo (HMC). By learning (invertible) transformations that simplify our dynamics, we can outperform traditional methods at…

Multicanonical MCMC (Multicanonical Markov Chain Monte Carlo; Multicanonical Monte Carlo) is discussed as a method of rare event sampling. Starting from a review of the generic framework of importance sampling, multicanonical MCMC is…

This paper presents multilevel hybrid transport (MLHT) methods for solving the neutral-particle Boltzmann transport equation. The proposed MLHT methods are formulated on a sequence of spatial grids using a multilevel Monte Carlo (MLMC)…

Many classical and learning-based optical flow methods rely on hierarchical concepts to improve both accuracy and robustness. However, one of the currently most successful approaches -- RAFT -- hardly exploits such concepts. In this work,…

Bayesian modelling and computational inference by Markov chain Monte Carlo (MCMC) is a principled framework for large-scale uncertainty quantification, though is limited in practice by computational cost when implemented in the simplest…

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.…

This paper concerns the use of sequential Monte Carlo methods (SMC) for smoothing in general state space models. A well-known problem when applying the standard SMC technique in the smoothing mode is that the resampling mechanism introduces…

We introduce MALT: a new Metropolis adjusted sampler built upon the (kinetic) Langevin diffusion. Compared to Generalized Hamiltonian Monte Carlo (GHMC), the Metropolis correction is applied to whole Langevin trajectories, which prevents…

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…

As it has become common to use many computer cores in routine applications, finding good ways to parallelize popular algorithms has become increasingly important. In this paper, we present a parallelization scheme for Markov chain Monte…

A parallelized hybrid Monte Carlo (HMC) methodology is devised to quantify the microstructural evolution of polycrystalline material under elastic loading. The approach combines a time explicit material point method (MPM) for the mechanical…

Some real-world decision-making problems require making probabilistic forecasts over multiple steps at once. However, methods for probabilistic forecasting may fail to capture correlations in the underlying time-series that exist over long…

Hamiltonian Monte Carlo (HMC) is a powerful Markov chain Monte Carlo (MCMC) method for performing approximate inference in complex probabilistic models of continuous variables. In common with many MCMC methods, however, the standard HMC…

This paper presents a tool for addressing a key component in many algorithms for planning robot trajectories under uncertainty: evaluation of the safety of a robot whose actions are governed by a closed-loop feedback policy near a nominal…

Normalizing flows (NF) use a continuous generator to map a simple latent (e.g. Gaussian) distribution, towards an empirical target distribution associated with a training data set. Once trained by minimizing a variational objective, the…

The need to calibrate increasingly complex statistical models requires a persistent effort for further advances on available, computationally intensive Monte Carlo methods. We study here an advanced version of familiar Markov Chain Monte…

In this paper, we develop an efficient asymptotic-preserving (AP) Monte Carlo (MC) method for frequency-dependent radiative transfer equations (RTEs), which is based on the AP-MC method proposed for the gray RTEs in \cite{shi2023efficient}.…

We introduce shielded Langevin Monte Carlo (LMC), a constrained sampler inspired by navigation functions, capable of sampling from unnormalized target distributions defined over punctured supports. In other words, this approach samples from…

Monte Carlo integration is typically interpreted as an estimator of the expected value using stochastic samples. There exists an alternative interpretation in calculus where Monte Carlo integration can be seen as estimating a…