Related papers: Monte Carlo Methods for X-ray Dispersive Spectrome…
Computing risk measures of a financial portfolio comprising thousands of derivatives is a challenging problem because (a) it involves a nested expectation requiring multiple evaluations of the loss of the financial portfolio for different…
Sequential Monte Carlo (SMC), or particle filtering, is widely used in nonlinear state-space systems, but its performance often suffers from poorly approximated proposal and state-transition distributions. This work introduces a…
The computational cost of a Monte Carlo algorithm can only be meaningfully discussed when taking into account the magnitude of the resulting statistical error. Aiming for a fixed error per particle, we study the scaling behavior of the…
We investigate Monte Carlo simulation strategies for determining the effective ("depletion") potential between a pair of hard spheres immersed in a dense sea of much smaller hard spheres. Two routes to the depletion potential are…
Spectrographs take snapshots of photon spectra with array detectors by dispersing photons of different energies into distinct directions and spacial locations. Spectrographs require optics with a large angular dispersion rate as the key…
We present a Monte Carlo radiative transfer technique for calculating synthetic spectropolarimetry for multi-dimensional supernova explosion models. The approach utilises "virtual-packets" that are generated during the propagation of the…
Comptonization is the process in which photon spectrum changes due to multiple Compton scatterings in the electronic plasma. It plays an important role in the spectral formation of astrophysical X-ray and gamma-ray sources. There are…
We develop exact Markov chain Monte Carlo methods for discretely-sampled, directly and indirectly observed diffusions. The qualification "exact" refers to the fact that the invariant and limiting distribution of the Markov chains is the…
We present a Monte Carlo simulation for the scattering of light in the case of an isotropic light source. The scattering phase functions are studied particularly in detail to understand how they can affect the multiple light scattering in…
We propose a Multi-level Monte Carlo technique to accelerate Monte Carlo sampling for approximation of properties of materials with random defects. The computational efficiency is investigated on test problems given by tight-binding models…
On the base of Diffusion Monte-Carlo method it is developed a new Complex Diffusion Monte-Carlo (CDMC) method allowing to simulate the quantum systems with complex wave function. There are no approximations on the calculation of modulus and…
We propose an ambitious new method that models the intracluster medium in clusters of galaxies as a set of X-ray emitting smoothed particles of plasma. Each smoothed particle is described by a handful of parameters including temperature,…
In this work we develop an effective Monte Carlo method for estimating sensitivities, or gradients of expectations of sufficiently smooth functionals, of a reflected diffusion in a convex polyhedral domain with respect to its defining…
A Monte Carlo algorithm is said to be adaptive if it automatically calibrates its current proposal distribution using past simulations. The choice of the parametric family that defines the set of proposal distributions is critical for good…
Graphs with large spectral gap are important in various fields such as biology, sociology and computer science. In designing such graphs, an important question is how the probability of graphs with large spectral gap behaves. A method based…
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…
We report on Monte Carlo studies of the hard X-ray polarimeter X-Calibur. The polarimeter will be used in the focal plane of a grazing incidence hard X-ray telescope. It combines a low-Z Compton scatterer with a high-Z Cadmium Zinc…
Sequential Monte Carlo (SMC) methods are a class of Monte Carlo methods that are used to obtain random samples of a high dimensional random variable in a sequential fashion. Many problems encountered in applications often involve different…
A new Monte Carlo method has been implemented to describe the angular and polarization distributions of anisotropic liquids, like water and linear alkylbenzene, by considering orientational fluctuations of polarizability tensors. The…
(abbreviated version of the abstract) We study the physics of cyclotron line formation in the high-energy spectra of accreting X-ray pulsars using Monte Carlo methods, assuming that the line-forming region is a low-density electron plasma…