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We generalize the Hamiltonian Monte Carlo algorithm with a stack of neural network layers and evaluate its ability to sample from different topologies in a two dimensional lattice gauge theory. We demonstrate that our model is able to…
We study the dynamic critical behavior of the multi-grid Monte Carlo (MGMC) algorithm with piecewise-constant interpolation and a W-cycle, applied to the one-dimensional $O(4)$-symmetric nonlinear $\sigma$-model [= $SU(2)$ principal chiral…
Recently, Stochastic Gradient Markov Chain Monte Carlo (SG-MCMC) methods have been proposed for scaling up Monte Carlo computations to large data problems. Whilst these approaches have proven useful in many applications, vanilla SG-MCMC…
Monte Carlo (MC) methods are widely used for Bayesian inference and optimization in statistics, signal processing and machine learning. A well-known class of MC methods are Markov Chain Monte Carlo (MCMC) algorithms. In order to foster…
We introduce a Monte-Carlo algorithm for the simulation of charged particles moving in the continuum. Electrostatic interactions are not instantaneous as in conventional approaches, but are mediated by a constrained, diffusing electric…
A wide range of problems in computational science and engineering require estimation of sparse eigenvectors for high dimensional systems. Here, we propose two variants of the Truncated Orthogonal Iteration to compute multiple leading…
We perform a high statistics calculation of disconnected fermion loops on Graphics Processing Units for a range of nucleon matrix elements extracted using lattice QCD. The isoscalar electromagnetic and axial vector form factors, the…
We provide an extension to lattice systems of the reptation quantum Monte Carlo algorithm, originally devised for continuous Hamiltonians. For systems affected by the sign problem, a method to systematically improve upon the so-called…
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 eigenvalue spectrum $\rho(\lambda)$ of the Dirac operator is numerically calculated in lattice QCD with 2+1 flavors of dynamical domain-wall fermions. In the high-energy regime, the discretization effects become significant. We subtract…
The increase with time of computer resources devoted to simulations of full QCD is spectacular. Yet the reduction of systematic errors is comparatively slow. This is due to the algorithmic complexity of the problem. I review, in elementary…
This article presents a randomized matrix-free method for approximating the trace of $f({\bf A})$, where ${\bf A}$ is a large symmetric matrix and $f$ is a function analytic in a closed interval containing the eigenvalues of ${\bf A}$. Our…
We propose a modified coupled cluster Monte Carlo algorithm that stochastically samples connected terms within the truncated Baker--Campbell--Hausdorff expansion of the similarity transformed Hamiltonian by construction of coupled cluster…
We propose a fast stochastic Hamilton Monte Carlo (HMC) method, for sampling from a smooth and strongly log-concave distribution. At the core of our proposed method is a variance reduction technique inspired by the recent advance in…
We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, which coefficients are evaluated using Monte Carlo…
In this paper, we consider the implementation of multi-level Monte Carlo method to a stochastic optimal control problem with log-normal coefficients and its surrogate model problem. From the perspective of two optimization problems, i.e.,…
We introduce a new Markov-Chain Monte Carlo (MCMC) approach designed for efficient sampling of highly correlated and multimodal posteriors. Parallel tempering, though effective, is a costly technique for sampling such posteriors. Our…
In this article, we propose a space-time Multi-Index Monte Carlo (MIMC) estimator for a one-dimensional parabolic stochastic partial differential equation (SPDE) of Zakai type. We compare the complexity with the Multilevel Monte Carlo…
Improved staggered fermion formulations are a popular choice for lattice QCD calculations. Historically, the algorithm used for such calculations has been the inexact R algorithm, which has systematic errors that only vanish as the square…
We develop a Monte-Carlo based numerical method for solving discrete-time stochastic optimal control problems with inventory. These are optimal control problems in which the control affects only a deterministically evolving inventory…