Related papers: Challenges in Developing Great Quasi-Monte Carlo S…
Practitioners wishing to experience the efficiency gains from using low discrepancy sequences need correct, robust, well-written software. This article, based on our MCQMC 2020 tutorial, describes some of the better quasi-Monte Carlo (QMC)…
We present a cross-language C++/Python program for simulations of quantum mechanical systems with the use of Quantum Monte Carlo (QMC) methods. We describe a system for which to apply QMC, the algorithms of variational Monte Carlo and…
Most scientific domains elicit the development of efficient algorithms and accessible scientific software. This thesis unifies our developments in three broad domains: Quasi-Monte Carlo (QMC) methods for efficient high-dimensional…
Monte Carlo and Quasi-Monte Carlo methods present a convenient approach for approximating the expected value of a random variable. Algorithms exist to adaptively sample the random variable until a user defined absolute error tolerance is…
Quantum Monte Carlo (QMC) methods deliver highly accurate electronic structure calculations but are computationally intensive. The quantum Monte Carlo kernel library (QMCkl) provides a modular, portable collection of high-performance…
This article provides a high-level overview of some recent works on the application of quasi-Monte Carlo (QMC) methods to PDEs with random coefficients. It is based on an in-depth survey of a similar title by the same authors, with an…
This article provides an overview of some interfaces between the theory of quasi-Monte Carlo (QMC) methods and applications. We summarize three QMC theoretical settings: first order QMC methods in the unit cube $[0,1]^s$ and in…
Monte Carlo methods are widely used for approximating complicated, multidimensional integrals for Bayesian inference. Population Monte Carlo (PMC) is an important class of Monte Carlo methods, which utilizes a population of proposals to…
Monte Carlo (MC) and Quasi-Monte Carlo (QMC) methods are classical approaches for the numerical integration of functions $f$ over $[0,1]^d$. While QMC methods can achieve faster convergence rates than MC in moderate dimensions, their…
Quasi-Monte Carlo methods have become the industry standard in computer graphics. For that purpose, efficient algorithms for low discrepancy sequences are discussed. In addition, numerical pitfalls encountered in practice are revealed. We…
Computing accurate yet efficient approximations to the solutions of the electronic Schr\"odinger equation has been a paramount challenge of computational chemistry for decades. Quantum Monte Carlo methods are a promising avenue of…
Quasi-Monte Carlo (QMC) methods for estimating integrals are attractive since the resulting estimators typically converge at a faster rate than pseudo-random Monte Carlo. However, they can be difficult to set up on arbitrary posterior…
Low-discrepancy (LD) sequences have been extensively used as efficient experimental designs across many scientific disciplines. QMCPy (https://qmcsoftware.github.io/QMCSoftware/) is an accessible Python library which provides a unified…
We describe a new open-source Python-based package for high accuracy correlated electron calculations using quantum Monte Carlo (QMC) in real space: PyQMC. PyQMC implements modern versions of QMC algorithms in an accessible format, enabling…
Quantum Computing (QC) refers to an emerging paradigm that inherits and builds with the concepts and phenomena of Quantum Mechanic (QM) with the significant potential to unlock a remarkable opportunity to solve complex and computationally…
Computational methods both open the frontiers of economic analysis and serve as a bottleneck in what can be achieved. We are the first to study whether Quantum Monte Carlo (QMC) algorithm can improve the runtime of economic applications and…
Quasi-Monte Carlo (QMC) method is a useful numerical tool for pricing and hedging of complex financial derivatives. These problems are usually of high dimensionality and discontinuities. The two factors may significantly deteriorate the…
We study signal processing tasks in which the signal is mapped via some generalized time-frequency transform to a higher dimensional time-frequency space, processed there, and synthesized to an output signal. We show how to approximate such…
GPU computing has become popular in computational finance and many financial institutions are moving their CPU based applications to the GPU platform. Since most Monte Carlo algorithms are embarrassingly parallel, they benefit greatly from…
We derive and study SQMC (Sequential Quasi-Monte Carlo), a class of algorithms obtained by introducing QMC point sets in particle filtering. SQMC is related to, and may be seen as an extension of, the array-RQMC algorithm of L'Ecuyer et al.…