Related papers: Practical deviational particle method for variance…
This paper addresses optimization problems constrained by partial differential equations with uncertain coefficients. In particular, the robust control problem and the average control problem are considered for a tracking type cost…
High-resolution simulations of particle-based kinetic plasma models typically require a high number of particles and thus often become computationally intractable. This is exacerbated in multi-query simulations, where the problem depends on…
Quantum Monte Carlo (QMC) methods represent a powerful family of computational techniques for tackling complex quantum many-body problems and performing calculations of stationary state properties. QMC is among the most accurate and…
Recent work has suggested using Monte Carlo methods based on piecewise deterministic Markov processes (PDMPs) to sample from target distributions of interest. PDMPs are non-reversible continuous-time processes endowed with momentum, and…
Discrete particle simulations are widely used to study large-scale particulate flows in complex geometries where particle-particle and particle-fluid interactions require an adequate representation but the computational cost has to be kept…
This manuscript derives adjoint equations for the numerical solution of the spatially inhomogeneous Boltzmann equation using Direct Simulation Monte Carlo (DSMC). The formulation accounts for spatial transport and a range of boundary…
In this article we consider computing expectations w.r.t.~probability laws associated to a certain class of stochastic systems. In order to achieve such a task, one must not only resort to numerical approximation of the expectation, but…
Simulating gas flow within the divertor, which is a crucial component in nuclear fusion reactors, is essential for assessing and enhancing its design and performance. Traditional methods, such as the direct simulation Monte Carlo and the…
We generalize the multilevel Monte Carlo (MLMC) method of Giles to the simulation of systems of particles that interact via a mean field. When the number of particles is large, these systems are described by a McKean-Vlasov process - a…
The Stochastic Weighted Particle Method (SWPM) of Rjasanow and Wagner is a generalization of the Direct Simulation Monte Carlo method for computing the probability density function of the velocities of a system of interacting particles for…
We develop an online optimisation algorithm for in situ calibration of collision models in simulations of rarefied gas flows. The online optimised collision models are able to achieve similar accuracy to Direct Molecular Simulation (DMS) at…
A common way to simulate the transport and spread of pollutants in the atmosphere is via stochastic Lagrangian dispersion models. Mathematically, these models describe turbulent transport processes with stochastic differential equations…
Piecewise deterministic Markov processes (PDMPs) are a type of continuous-time Markov process that combine deterministic flows with jumps. Recently, PDMPs have garnered attention within the Monte Carlo community as a potential alternative…
We propose a modification, based on the RESTART (repetitive simulation trials after reaching thresholds) and DPR (dynamics probability redistribution) rare event simulation algorithms, of the standard diffusion Monte Carlo (DMC) algorithm.…
In this paper a novel modification of the multilevel Monte Carlo approach, allowing for further significant complexity reduction, is proposed. The idea of the modification is to use the method of control variates to reduce variance at level…
During the past decades, the numerical methods based on Navier-Stokes (N-S) equations and direct simulation Monte Carlo (DSMC) methods have been proved effective in simulating flows in the continuum and rarefied regimes, respectively.…
We present in this paper a hybrid, Multi-Level Monte Carlo (MLMC) method for solving the neutral particle transport equation. MLMC methods, originally developed to solve parametric integration problems, work by using a cheap, low fidelity…
The mean field limits of systems of interacting diffusions (also called stochastic interacting particle systems (SIPS)) have been intensively studied since McKean \cite{mckean1966class}. The interacting diffusions pave a way to…
We introduce a direct Boltzmann inversion method to infer the interaction potential in particle systems using as input particle configurations generated at an arbitrary state point of the system. Unlike iterative Boltzmann inversion, the…
In this article we develop a multi-grid multi-level Monte Carlo (MGMLMC) method for the stochastic Stokes-Darcy interface model with random hydraulic conductivity both in the porous media domain and on the interface. Because the randomness…