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We apply the hybrid Monte Carlo (HMC) algorithm to the financial time sires analysis of the stochastic volatility (SV) model for the first time. The HMC algorithm is used for the Markov chain Monte Carlo (MCMC) update of volatility…
For big data analysis, high computational cost for Bayesian methods often limits their applications in practice. In recent years, there have been many attempts to improve computational efficiency of Bayesian inference. Here we propose an…
Quantum Monte Carlo (QMC) methods can very accurately compute ground state properties of quantum systems. We applied these methods to a system of boson hard spheres to get exact, infinite system size results for the ground state at several…
The Hybrid Monte Carlo algorithm is adapted to the simulation of a system of classical degrees of freedom coupled to non self-interacting lattices fermions. The diagonalization of the Hamiltonian matrix is avoided by introducing a…
Motivated by high-throughput single-cell cytometry data with applications to vaccine development and immunological research, we consider statistical clustering in large-scale data that contain multiple rare clusters. We propose a new…
Coulomb collisions in particle simulations for weakly coupled plasmas are modeled by the Landau-Fokker-Planck equation, which is typically solved by Monte-Carlo (MC) methods. One of the main disadvantages of MC is the timestep accuracy…
This paper presents multilevel hybrid transport (MLHT) methods for solving the neutral-particle Boltzmann transport equation. The proposed MLHT methods are formulated on a sequence of spatial grids using a multilevel Monte Carlo (MLMC)…
Equilibrium sampling of the configuration space in disordered systems requires algorithms that bypass the glassy slowing down of the physical dynamics. Irreversible Monte Carlo algorithms breaking detailed balance successfully accelerate…
Hamiltonian Monte Carlo (HMC) has been widely adopted in the statistics community because of its ability to sample high-dimensional distributions much more efficiently than other Metropolis-based methods. Despite this, HMC often performs…
A numerical algorithm for solving mantle convection problems with strongly variable viscosity is presented. Equations for conservation of mass and momentum for highly viscous and incompressible fluids are solved iteratively by a multigrid…
When combined with highly expressive ansatz functions such as neural quantum states, variational Monte Carlo (VMC) constitutes a versatile numerical approach to tackle the quantum many-body problem in and out of equilibrium. However, its…
Markov Chain Monte Carlo (MCMC) algorithms play an important role in statistical inference problems dealing with intractable probability distributions. Recently, many MCMC algorithms such as Hamiltonian Monte Carlo (HMC) and Riemannian…
Recently, it has been shown that the hybrid Monte Carlo (HMC) algorithm is guaranteed to converge exponentially to a given target probability distribution $p(x)\propto e^{-V(x)}$ on non-compact spaces if augmented by an appropriate radial…
This paper proposes a novel branch-and-bound(BMWVC) algorithm to exactly solve the minimum weight vertex cover problem (MWVC) in large graphs. The original contribution is several new graph reduction rules, allowing to reduce a graph G and…
Estimating the eigenvalue or energy gap of a Hamiltonian H is vital for studying quantum many-body systems. Particularly, many of the problems in quantum chemistry, condensed matter physics, and nuclear physics investigate the energy gap…
We propose a novel heuristic quantum algorithm for the Minimum Vertex Cover (MVC) problem based on continuous-time quantum walks (CTQWs). In this framework, the coherent propagation of a quantum walker over a graph encodes its structural…
Recent studies into the properties of quantum statistical ensembles in high-dimensional Hilbert spaces have encountered difficulties associated with the Monte-Carlo sampling of quantum superpositions constrained by the energy expectation…
The Ising model is a simple statistical model for ferromagnetism. There are analytic solutions for low dimensions and very efficient Monte Carlo methods, such as cluster algorithms, for simulating this model in special cases. However most…
We study random compressible viscous magnetohydrodynamic flows. Combining the Monte Carlo method with a deterministic finite volume method we solve the random system numerically. Quantitative error estimates including statistical and…
We show that the standard Lanczos algorithm can be efficiently implemented statistically and self consistently improved, using the stochastic reconfigurat ion method, which has been recently introduced to stabilize the Monte Carlo sign…