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We explore Implicit Monte Carlo (IMC) and Discrete Diffusion Monte Carlo (DDMC) for radiation transport in high-velocity outflows with structured opacity. The IMC method is a stochastic computational technique for nonlinear radiation…
We propose and analyze a quasi-Monte Carlo (QMC) algorithm for efficient simulation of wave propagation modeled by the Helmholtz equation in a bounded region in which the refractive index is random and spatially heterogenous. Our focus is…
Particle-based ensemble semi-classical Monte Carlo (MC) methods employ quantum corrections (QCs) to address quantum confinement and degenerate carrier populations to model tomorrow's ultra-scaled MOSFETs. Here we present new approaches to…
This paper develops a novel sequential Monte Carlo (SMC) approach for joint state and parameter estimation that can deal efficiently with abruptly changing parameters which is a common case when tracking maneuvering targets. The approach…
The quasicontinuum (QC) method, originally proposed by Tadmor, Ortiz and Phillips in 1996, is a computational technique that can efficiently handle regular atomistic lattices by combining continuum and atomistic approaches. In the present…
Neutron matter, through its connection to neutron stars as well as systems like cold atom gases, is one of the most interesting yet computationally accessible systems in nuclear physics. The Configuration-Interaction Monte Carlo (CIMC)…
We propose a Markov chain Monte Carlo (MCMC) scheme to perform state inference in non-linear non-Gaussian state-space models. Current state-of-the-art methods to address this problem rely on particle MCMC techniques and its variants, such…
Efficiently pricing multi-asset options poses a significant challenge in quantitative finance. Fourier methods leverage the regularity properties of the integrand in the Fourier domain to accurately and rapidly value options that typically…
This study analyzes the nonasymptotic convergence behavior of the quasi-Monte Carlo (QMC) method with applications to linear elliptic partial differential equations (PDEs) with lognormal coefficients. Building upon the error analysis…
In this project we initiate an investigation of the applicability of Quasi-Monte Carlo methods to lattice field theories in order to improve the asymptotic error behavior of observables for such theories. In most cases the error of an…
We consider the problem of estimating the probability of a large loss from a financial portfolio, where the future loss is expressed as a conditional expectation. Since the conditional expectation is intractable in most cases, one may…
Hamiltonian Monte Carlo (HMC) is an efficient method of simulating smooth distributions and has motivated the widely used No-U-turn Sampler (NUTS) and software Stan. We build on NUTS and the technique of "unbiased sampling" to design HMC…
We study Markov Chain Monte Carlo (MCMC) methods operating in primary sample space and their interactions with multiple sampling techniques. We observe that incorporating the sampling technique into the state of the Markov Chain, as done in…
The Markov Chain Monte Carlo method is at the heart of efficient approximation schemes for a wide range of problems in combinatorial enumeration and statistical physics. It is therefore very natural and important to determine whether…
We introduce a new framework for efficient sampling from complex probability distributions, using a combination of optimal transport maps and the Metropolis-Hastings rule. The core idea is to use continuous transportation to transform…
The fast computation of large kernel sums is a challenging task, which arises as a subproblem in any kernel method. We approach the problem by slicing, which relies on random projections to one-dimensional subspaces and fast Fourier…
Quasi-Monte Carlo (QMC) methods are equal weight quadrature rules to approximate integrals over the unit cube with respect to the uniform measure. In this paper we discuss QMC integration with respect to general product measures defined on…
Random batch algorithms are constructed for quantum Monte Carlo simulations. The main objective is to alleviate the computational cost associated with the calculations of two-body interactions, including the pairwise interactions in the…
Motivated by recent developments in conformal field theory (CFT), we devise a Quantum Monte Carlo (QMC) method to calculate the moments of the partially transposed reduced density matrix at finite temperature. These are used to construct…
This paper addresses the problem of Monte Carlo approximation of posterior probability distributions. In particular, we have considered a recently proposed technique known as population Monte Carlo (PMC), which is based on an iterative…