Related papers: Preconditioning Hamiltonian Monte Carlo by minimiz…

Diffusion generative models have excelled at diverse image generation and reconstruction tasks across fields. A less explored avenue is their application to discriminative tasks involving regression or classification problems. The…

Hamiltonian Monte Carlo is a widely used algorithm for sampling from posterior distributions of complex Bayesian models. It can efficiently explore high-dimensional parameter spaces guided by simulated Hamiltonian flows. However, the…

In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an…

We consider the application of multilevel Monte Carlo methods to steady state Darcy flow in a random porous medium, described mathematically by elliptic partial differential equations with random coefficients. The levels in the multilevel…

The need to calibrate increasingly complex statistical models requires a persistent effort for further advances on available, computationally intensive Monte Carlo methods. We study here an advanced version of familiar Markov Chain Monte…

Hamiltonian Monte Carlo (HMC) is an efficient Bayesian sampling method that can make distant proposals in the parameter space by simulating a Hamiltonian dynamical system. Despite its popularity in machine learning and data science, HMC is…

We study a conservative 5-point cell-centered finite volume discretization of the high-contrast diffusion equation. We aim to construct preconditioners that are robust with respect to the magnitude of the coefficient contrast and the mesh…

Precise measurements of $b\to c\tau\bar\nu$ decays require large resource-intensive Monte Carlo (MC) samples, which incorporate detailed simulations of detector responses and physics backgrounds. Extracted parameters may be highly sensitive…

A resampling scheme provides a way to switch low-weight particles for sequential Monte Carlo with higher-weight particles representing the objective distribution. The less the variance of the weight distribution is, the more concentrated…

A hybrid Monte Carlo (HMC) approach is employed to quantify the influence of inelastic deformation on the microstructural evolution of polycrystalline materials. This approach couples a time explicit material point method (MPM) for…

This paper studies a non-random-walk Markov Chain Monte Carlo method, namely the Hamiltonian Monte Carlo (HMC) method in the context of Subset Simulation used for structural reliability analysis. The HMC method relies on a deterministic…

We have simulated the three-dimensional Heisenberg model on simple cubic lattices, using the single-cluster Monte Carlo update algorithm. The expected pronounced reduction of critical slowing down at the phase transition is verified. This…

There has been considerable interest in designing Markov chain Monte Carlo algorithms by exploiting numerical methods for Langevin dynamics, which includes Hamiltonian dynamics as a deterministic case. A prominent approach is Hamiltonian…

In this article we propose a novel MCMC method based on deterministic transformations T: X x D --> X where X is the state-space and D is some set which may or may not be a subset of X. We refer to our new methodology as Transformation-based…

Three possibilities to speed up the Hybrid Monte Carlo algorithm are investigated. Changing the step-size adaptively brings no practical gain. On the other hand, substantial improvements result from using an approximate Hamiltonian or a…

We study the problem of multifidelity uncertainty propagation for computationally expensive models. In particular, we consider the general setting where the high-fidelity and low-fidelity models have a dissimilar parameterization both in…

The sampling of the configuration space in diffusion Monte Carlo (DMC) is done using walkers moving randomly. In a previous work on the Hubbard model [\href{https://doi.org/10.1103/PhysRevB.60.2299}{Assaraf et al.~Phys.~Rev.~B \textbf{60},…

Hamiltonian Monte Carlo (HMC) is a popular Markov Chain Monte Carlo (MCMC) algorithm to sample from an unnormalized probability distribution. A leapfrog integrator is commonly used to implement HMC in practice, but its performance can be…

We present a practical strategy to optimize a set of Hybrid Monte Carlo parameters in simulations of QCD and QCD-like theories. We specialize to the case of mass-preconditioning, with multiple time-step Omelyan integrators. Starting from…

In the first part of this paper we study approximations of trajectories of Piecewise Deter-ministic Processes (PDP) when the flow is not explicit by the thinning method. We also establish a strong error estimate for PDPs as well as a weak…