Related papers: Speeding up Monte Carlo Integration: Control Neigh…
We review the assumptions on which the Monte Carlo renormalization technique is based, in particular the analyticity of the block spin transformations. On this basis, we select an optimized Kadanoff blocking rule in combination with the…
In Monte Carlo integration an accurate and reliable determination of the numerical intregration error is essential. We point out the need for an independent estimate of the error on this error, for which we present an unbiased estimator. In…
In this paper, we apply the Monte Carlo stochastic optimization (MOST) proposed by the authors to a deep learning of XOR gate and verify its effectiveness. Deep machine learning based on neural networks is one of the most important keywords…
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…
A class of Monte Carlo algorithms which incorporate absorbing Markov chains is presented. In a particular limit, the lowest-order of these algorithms reduces to the $n$-fold way algorithm. These algorithms are applied to study the escape…
Vertex connectivity a classic extensively-studied problem. Given an integer $k$, its goal is to decide if an $n$-node $m$-edge graph can be disconnected by removing $k$ vertices. Although a linear-time algorithm was postulated since 1974…
We present a fast, hierarchical, and adaptive algorithm for Metropolis Monte Carlo simulations of systems with long-range interactions that reproduces the dynamics of a standard implementation exactly, i.e., the generated configurations and…
Orthogonal Monte Carlo (OMC) is a very effective sampling algorithm imposing structural geometric conditions (orthogonality) on samples for variance reduction. Due to its simplicity and superior performance as compared to its Quasi Monte…
Projective splitting is a family of methods for solving inclusions involving sums of maximal monotone operators. First introduced by Eckstein and Svaiter in 2008, these methods have enjoyed significant innovation in recent years, becoming…
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 present a continuous-variable photonic quantum algorithm for the Monte Carlo evaluation of multi-dimensional integrals. Our algorithm encodes n-dimensional integration into n+3 modes and can provide a quadratic speedup in runtime…
The mean of a random variable can be understood as a linear functional on the space of probability distributions. Quantum computing is known to provide a quadratic speedup over classical Monte Carlo methods for mean estimation. In this…
I develop a numerical algorithm for stochastic impulse control in the spirit of Regression Monte Carlo for optimal stopping. The approach consists in generating statistical surrogates (aka functional approximators) for the continuation…
We introduce quasi-Monte Carlo rules for the numerical integration of functions $f$ defined on $[0,1]^s$, $s \ge 1$, which satisfy the following properties: the Fourier-, Fourier cosine- or Walsh coefficients of $f$ are absolutely summable…
In this paper, we aim to compute numerical approximation integral by using an adaptive Monte Carlo algorithm. We propose a stratified sampling algorithm based on an iterative method which splits the strata following some quantities called…
The k Nearest Neighbors (kNN) method has received much attention in the past decades, where some theoretical bounds on its performance were identified and where practical optimizations were proposed for making it work fairly well in high…
We present a new finite-sample analysis of M-estimators of locations in $\mathbb{R}^d$ using the tool of the influence function. In particular, we show that the deviations of an M-estimator can be controlled thanks to its influence function…
An algorithm is proposed to solve robust control problems constrained by partial differential equations with uncertain coefficients, based on the so-called MG/OPT framework. The levels in this MG/OPT hierarchy correspond to discretization…
In this paper, we propose a new randomized method for numerical integration on a compact complex manifold with respect to a continuous volume form. Taking for quadrature nodes a suitable determinantal point process, we build an unbiased…
Three possibilities to speed up the Hybrid Monte Carlo algorithm are investigated. Changing the step-size adaptively brings no practical gain. On the other hand, substantial improvements result from using an approximate Hamiltonian or a…