Related papers: High-Dimensional Quasi-Monte Carlo via Combinatori…
We propose numerical integration methods for Choquet integrals where the capacities are given by distortion functions of an underlying probability measure. It relies on the explicit representation of the integrals for step functions and can…
This paper considers the problem of optimizing the average tracking error for an elliptic partial differential equation with an uncertain lognormal diffusion coefficient. In particular, the application of the multilevel quasi-Monte Carlo…
We combine a generic method for finding fast orthogonal transforms for a given quasi-Monte Carlo integration problem with the multilevel Monte Carlo method. It is shown by example that this combined method can vastly improve the efficiency…
This article presents a novel and practically useful link between geometric integration, low-discrepancy sampling and code coupling for Lagrangian and Eulerian Vlasov-Poisson solvers. Low-discrepancy sequences, also called quasi-random…
Bayesian inverse problems often involve sampling posterior distributions on infinite-dimensional function spaces. Traditional Markov chain Monte Carlo (MCMC) algorithms are characterized by deteriorating mixing times upon mesh-refinement,…
Bayesian inverse problems highly rely on efficient and effective inference methods for uncertainty quantification (UQ). Infinite-dimensional MCMC algorithms, directly defined on function spaces, are robust under refinement of physical…
As the size of engineered systems grows, problems in reliability theory can become computationally challenging, often due to the combinatorial growth in the cut sets. In this paper we demonstrate how Multilevel Monte Carlo (MLMC) - a…
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…
We consider the one-dimensional quantum-statistical problem of interacting spin-less particles in an infinite deep potential valley and on a ring. Several limits for the applicability of the Quantum Monte Carlo (QMC) methods were revealed…
Nested integration problems arise in various scientific and engineering applications, including Bayesian experimental design, financial risk assessment, and uncertainty quantification. These nested integrals take the form $\int f\left(\int…
We apply diffusion quantum Monte Carlo (DMC) to a broad set of solids, benchmarking the method by comparing bulk structural properties (equilibrium volume and bulk modulus) to experiment and DFT based theories. The test set includes…
Conditional Monte Carlo or pre-integration is a powerful tool for reducing variance and improving the regularity of integrands when using Monte Carlo and quasi-Monte Carlo (QMC) methods. To select the variable to pre-integrate, one must…
Quantum Monte Carlo (QMC) methods are one of the most important tools for studying interacting quantum many-body systems. The vast majority of QMC calculations in interacting fermion systems require a constraint to control the sign problem.…
We evaluate numerically-precise Monte Carlo (MC), Quasi-Monte Carlo (QMC) and Randomised Quasi-Monte Carlo (RQMC) methods for computing probabilistic reachability in hybrid systems with random parameters. Computing reachability probability…
We study the application of a tailored quasi-Monte Carlo (QMC) method to a class of optimal control problems subject to parabolic partial differential equation (PDE) constraints under uncertainty: the state in our setting is the solution of…
We have reformulated the quantum Monte Carlo (QMC) technique so that a large part of the calculation scales linearly with the number of atoms. The reformulation is related to a recent alternative proposal for achieving linear-scaling QMC,…
Quantum Monte Carlo (QMC) methods are some of the most accurate methods for simulating correlated electronic systems. We investigate the compatibility, strengths and weaknesses of two such methods, namely, diffusion Monte Carlo (DMC) and…
Quantum Monte Carlo (QMC) methods are powerful approaches for solving electronic structure problems. Although they often provide high-accuracy solutions, the precision of most QMC methods is ultimately limited by a trial wave function that…
This topical review describes the methodology of continuum variational and diffusion quantum Monte Carlo calculations. These stochastic methods are based on many-body wave functions and are capable of achieving very high accuracy. The…
In numerical integration, cubature methods are effective, especially when the integrands can be well-approximated by known test functions, such as polynomials. However, the construction of cubature formulas has not generally been known, and…