Related papers: DSMC: A Statistical Mechanics Perspective
Sequential Monte Carlo methods, also known as particle methods, are a popular set of techniques for approximating high-dimensional probability distributions and their normalizing constants. These methods have found numerous applications in…
In recent years dynamical systems (of deterministic and stochastic nature), describing many models in mathematics, physics, engineering and finances, become more and more complex. Numerical analysis narrowed only to deterministic algorithms…
Sequential Monte Carlo (SMC) methods are widely used to draw samples from intractable target distributions. Particle degeneracy can hinder the use of SMC when the target distribution is highly constrained or multimodal. As a motivating…
In particle-based algorithms, the effect of binary collisions is commonly described in a statistical way, using Monte Carlo techniques. It is shown that, in the relativistic regime, stringent constraints should be considered on the sampling…
A pedagogical derivation of statistical mechanics from quantum mechanics is provided, by means of open quantum systems. Besides, a new definition of Boltzmann entropy for a quantum closed system is also given to count microstates in a way…
The shell model Monte Carlo (SMMC) method is a powerful technique for calculating the statistical and collective properties of nuclei in the presence of correlations in model spaces that are many orders of magnitude larger than those that…
A simple and stable method for computing accurate expectation values of observable with Variational Monte Carlo (VMC) or Diffusion Monte Carlo (DMC) algorithms is presented. The basic idea consists in replacing the usual ``bare'' estimator…
A stochastic method is described for estimating Green's functions (GF's), appropriate to linear advection-diffusion-reaction transport problems, evolving in arbitrary geometries. By allowing straightforward construction of approximate,…
Sequential Monte Carlo (SMC) methods are a widely used set of computational tools for inference in non-linear non-Gaussian state-space models. We propose a new SMC algorithm to compute the expectation of additive functionals recursively.…
We demonstrate that Monte-Carlo simulation is a practical tool to study nonperturbative aspects of supersymmetric quantum mechanics. As an example we study D0-brane quantum mechanics in the context of superstring theory. Numerical data…
Monte Carlo simulations are based on the manipulation of random numbers to evaluate probable outcomes, with applicability in a variety of different fields. By assigning probabilities, which can be determined a priori, to various events, it…
Conventional Monte Carlo simulations are stochastic in the sense that the acceptance of a trial move is decided by comparing a computed acceptance probability with a random number, uniformly distributed between 0 and 1. Here we consider the…
Markov Chain Monte Carlo (MCMC) methods have become a cornerstone of many modern scientific analyses by providing a straightforward approach to numerically estimate uncertainties in the parameters of a model using a sequence of random…
Approximate inference in probabilistic graphical models (PGMs) can be grouped into deterministic methods and Monte-Carlo-based methods. The former can often provide accurate and rapid inferences, but are typically associated with biases…
Demand for high-performance, robust, and safe autonomous systems has grown substantially in recent years. These objectives motivate the desire for efficient safety-theoretic reasoning that can be embedded in core decision-making tasks such…
Sequential Monte Carlo (SMC) is a methodology for sampling approximately from a sequence of probability distributions of increasing dimension and estimating their normalizing constants. We propose here an alternative methodology named…
Markov chain Monte Carlo (MCMC) algorithms provide a very general recipe for estimating properties of complicated distributions. While their use has become commonplace and there is a large literature on MCMC theory and practice, MCMC users…
We investigate Monte Carlo based algorithms for solving stochastic control problems with probabilistic constraints. Our motivation comes from microgrid management, where the controller tries to optimally dispatch a diesel generator while…
Simulation Based Calibration (SBC) is applied to analyse two commonly used, competing Markov chain Monte Carlo algorithms for estimating the posterior distribution of a stochastic volatility model. In particular, the bespoke 'off-set…
This article is devoted to methods of construction and study of stochastic models based on Monte Carlo method. A model of Brownian motion, the construction and processing which brings to a world of random numbers and mathematical…