Related papers: Monte Carlo method and the random isentropic Euler…
In this overview we discuss some recent results of non--uniqueness for the isentropic Euler equations of gas dynamics with particular attention to the role of some admissibility criteria proposed in the literature.
We consider the application of multilevel Monte Carlo methods to elliptic PDEs with random coefficients. We focus on models of the random coefficient that lack uniform ellipticity and boundedness with respect to the random parameter, and…
In this work we propose a generalization of the Moment Guided Monte Carlo method developed in [11]. This approach permits to reduce the variance of the particle methods through a matching with a set of suitable macroscopic moment equations.…
An efficient Path Integral Monte Carlo procedure is proposed to simulate the behavior of quantum many-body dissipative systems described within the framework of the influence functional. Thermodynamic observables are obtained by Monte Carlo…
We present the complete phase diagram for one-dimensional binary mixtures of bosonic ultracold atomic gases in a harmonic trap. We obtain exact results with direct numerical diagonalization for small number of atoms, which permits us to…
A method for tuning parameters in Monte Carlo generators is described and applied to a specific case. The method works in the following way: each observable is generated several times using different values of the parameters to be tuned.…
Hamiltonian Monte Carlo has emerged as a standard tool for posterior computation. In this article, we present an extension that can efficiently explore target distributions with discontinuous densities. Our extension in particular enables…
We develop a generic strategy and simple numerical models for multi-component metallic glasses for which the swap Monte Carlo algorithm can produce highly stable equilibrium configurations equivalent to experimental systems cooled more than…
This paper focuses on studying the multilevel Monte Carlo method recently introduced by Giles [Oper. Res. 56 (2008) 607-617] which is significantly more efficient than the classical Monte Carlo one. Our aim is to prove a central limit…
We present an algorithm for the simulation of the exact real-time dynamics of classical many-body systems with discrete energy levels. In the same spirit of kinetic Monte Carlo methods, a stochastic solution of the master equation is found,…
Closed-form stochastic filtering equations can be derived in a general setting where probability distributions are replaced by some specific outer measures. In this article, we study how the principles of the sequential Monte Carlo method…
We present density response estimators for Monte Carlo simulations that are based on a reweighting procedure, where the samples of an unperturbed system are used to estimate the properties of a system perturbed by an external harmonic…
In this paper we propose a Monte Carlo method for generating finite-domain marginals of critical distributions of statistical models in infinite volume. The algorithm corrects the problem of the long-range effects of boundaries associated…
While multilevel Monte Carlo (MLMC) methods for the numerical approximation of partial differential equations with random coefficients enjoy great popularity, combinations with spatial adaptivity seem to be rare. We present an adaptive MLMC…
Simple and robust algorithms are developed for compressible Euler equations with the stiffened gas equation of state (EOS), representing gaseous mixtures in thermal equilibrium and without chemical reactions. These algorithms use a fully…
We consider Monte Carlo approximations to the maximum likelihood estimator in models with intractable norming constants. This paper deals with adaptive Monte Carlo algorithms, which adjust control parameters in the course of simulation. We…
We put forward a simple procedure for extracting dynamical information from Monte Carlo simulations, by appropriate matching of the short-time diffusion tensor with its infinite-dilution limit counterpart, which is supposed to be known.…
Motivated by the difficulty to solve numerically the weakly compressible 1D isentropic Euler equations with classical methods, we develop in this paper a two scale numerical method on this model. This method is based on two scale…
We demonstrate a scaling method for non-Markovian Monte Carlo wave-function simulations used to study open quantum systems weakly coupled to their environments. We derive a scaling equation, from which the result for the expectation values…
The theme of the present paper is numerical integration of $C^r$ functions using randomized methods. We consider variance reduction methods that consist in two steps. First the initial interval is partitioned into subintervals and the…