Related papers: Monte-Carlo method for incompressible fluid flows …
We consider systems of stochastic differential equations with multiple scales and small noise and assume that the coefficients of the equations are ergodic and stationary random fields. Our goal is to construct provably-efficient importance…
Stochastic reaction-diffusion models are employed to represent many complex physical, biological, societal, and ecological systems. The macroscopic reaction rates describing the large-scale kinetics in such systems are effective,…
We propose a new Monte Carlo scheme to study the late-time dynamics of a 2-dim hard sphere fluid, modeled by a tethered network of hard spheres. Fluidity is simulated by breaking and reattaching the flexible tethers. We study the diffusion…
In this paper, we suggest a novel sampling method for Monte Carlo molecular simulations. In order to perform efficient sampling of molecular systems, it is advantageous to avoid extremely high energy configurations while also retaining the…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
We consider conservation laws with discontinuous flux where the initial datum, the flux function, and the discontinuous spatial dependency coefficient are subject to randomness. We establish a notion of random adapted entropy solutions to…
We recently demonstrated that standard fixed-time lattice random-walk models cannot be modified to properly represent biased diffusion processes in more than two dimensions. The origin of this fundamental limitation appears to be the fact…
In this paper we propose a Monte Carlo maximum likelihood estimation strategy for discretely observed Wright-Fisher diffusions. Our approach provides an unbiased estimator of the likelihood function and is based on exact simulation…
In the present work, we present a novel numerical algorithm to couple the Direct Simulation Monte Carlo method (DSMC) for the solution of the Boltzmann equation with a finite volume like method for the solution of the Euler equations.…
A Monte Carlo method based on a density-of-states sampling is proposed for study of arbitrary statistical mechanical ensembles in a continuum. A random walk in the two-dimensional space of particle number and energy is used to estimate the…
The EM algorithm is a powerful tool for maximum likelihood estimation with missing data. In practice, the calculations required for the EM algorithm are often intractable. We review numerous methods to circumvent this intractability, all of…
The Monte Carlo method is a thriving and mathematically beautiful numerical technique used extensively, nowadays, to deal with many demanding problems in diverse fields. Here, we present an iterative Monte Carlo algorithm to work out very…
We propose a method for Monte Carlo simulations of systems with a complex action. The method has the advantages of being in principle applicable to any such system and provides a solution to the overlap problem. We apply it in random matrix…
We present a path integral formulation of Darcy's equation in one dimension with random permeability described by a correlated multi-variate lognormal distribution. This path integral is evaluated with the Markov chain Monte Carlo method to…
The vortex method is a common numerical and theoretical approach used to implement the motion of an ideal flow, in which the vorticity is approximated by a sum of point vortices, so that the Euler equations read as a system of ordinary…
A Monte Carlo method for simulating a multi-dimensional diffusion process conditioned on hitting a fixed point at a fixed future time is developed. Proposals for such diffusion bridges are obtained by superimposing an additional guiding…
Many physical systems of interest involve the close interaction of a flow in a domain with complex, time-varying boundaries. Treatment of boundaries of this nature is cumbersome due to the difficulty in explicitly tracking boundaries that…
To design a method to solve the issues of handling 'dirty' and highly complex geometries, the topology-free method combined with the immersed boundary method is presented for viscous and incompressible flows at a high Reynolds number. The…
We investigate the inclusion of variable spins in electronic structure quantum Monte Carlo, with a focus on diffusion Monte Carlo with Hamiltonians that include spin-orbit interactions. Following our previous introduction of fixed-phase…
The task of accurately locating fluid phase boundaries by means of computer simulation is hampered by problems associated with sampling both coexisting phases in a single simulation run. We explain the physical background to these problems…