Related papers: Low-rank Monte Carlo for Smoluchowski-class equati…
Optimizing or sampling complex cost functions of combinatorial optimization problems is a longstanding challenge across disciplines and applications. When employing family of conventional algorithms based on Markov Chain Monte Carlo (MCMC)…
We introduce three related but distinct improvements to multilevel Monte Carlo (MLMC) methods for the solution of systems of stochastic differential equations (SDEs). Firstly, we show that when the payoff function is twice continuously…
We develop a novel multilevel asymptotic-preserving Monte Carlo method, called Multilevel Kinetic-Diffusion Monte Carlo (ML-KDMC), for simulating the kinetic Boltzmann transport equation with a Bhatnagar-Gross-Krook (BGK) collision…
A brief introduction to the technique of Monte Carlo simulations in statistical physics is presented. The topics covered include statistical ensembles random and pseudo random numbers, random sampling techniques, importance sampling, Markov…
If a stochastic system during some periods of its evolution can be divided into non-interacting parts, the kinetics of each part can be simulated independently. We show that this can be used in the development of efficient Monte Carlo…
We introduce an efficient numerical implementation of a Markov Chain Monte Carlo method to sample a probability distribution on a manifold (introduced theoretically in Zappa, Holmes-Cerfon, Goodman (2018)), where the manifold is defined by…
Monte Carlo statistical ray-tracing methods are commonly employed to simulate carrier transport in nanostructured materials. In the case of a large degree of nanostructuring and under linear response (small driving fields), these…
The reverse Monte Carlo (RMC) method is widely used in structural modelling and analysis of experimental data. More recently, RMC has been applied to the calculation of equilibrium thermodynamic properties and dynamic problems. These…
In recent years, tremendous progress has been made on numerical algorithms for solving partial differential equations (PDEs) in a very high dimension, using ideas from either nonlinear (multilevel) Monte Carlo or deep learning. They are…
This article reviews the basic computational techniques for carrying out multi-scale simulations using statistical methods, with the focus on simulations of epitaxial growth. First, the statistical-physics background behind Monte Carlo…
A method is proposed to handle the sign problem in the simulation of systems having indefinite or complex-valued measures. In general, this new approach, which is based on renormalisation blocking, is shown to yield statistical errors…
A kinetic Monte Carlo (KMC) method is used to study the structural properties and dynamics of a supercooled binary Lennard-Jones liquid around the glass transition temperature. This technique permits us to explore the potential energy…
We propose a multilevel Markov chain Monte Carlo (MCMC) method for the Bayesian inference of random field parameters in PDEs using high-resolution data. Compared to existing multilevel MCMC methods, we additionally consider level-dependent…
In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an…
The primary challenge in solving kinetic equations, such as the Vlasov equation, is the high-dimensional phase space. In this context, dynamical low-rank approximations have emerged as a promising way to reduce the high computational cost…
We have reformulated the quantum Monte Carlo (QMC) technique so that a large part of the calculation scales linearly with the number of atoms. The reformulation is related to a recent alternative proposal for achieving linear-scaling QMC,…
The Monte Carlo (MC) Hamiltonian is a new stochastic method to solve many-body problems. The MC Hamiltonian represents an effective Hamiltonian in a finite energy window. We construct it from the classical action via Monte Carlo with…
The computational complexity of naive, sampling-based uncertainty quantification for 3D partial differential equations is extremely high. Multilevel approaches, such as multilevel Monte Carlo (MLMC), can reduce the complexity significantly,…
In this paper, we generalize the Quantum Kinetic Monte Carlo (QKMC) method of the Schrodinger equation, which was first proposed by [Z. Cai and J. Lu. SIAM J. Sci. Comput., 40(3):B706-B722, 2018] to the Lindblad equation. This algorithm…
Because of their robustness, efficiency and non-intrusiveness, Monte Carlo methods are probably the most popular approach in uncertainty quantification to computing expected values of quantities of interest (QoIs). Multilevel Monte Carlo…