Related papers: Efficient Monte Carlo Simulation Methods in Statis…
The Markov Chain Monte Carlo method is at the heart of efficient approximation schemes for a wide range of problems in combinatorial enumeration and statistical physics. It is therefore very natural and important to determine whether…
Monte Carlo simulations are methods for simulating statistical systems. The aim is to generate a representative ensemble of configurations to access thermodynamical quantities without the need to solve the system analytically or to perform…
Monte Carlo methods use random sampling to estimate numerical quantities which are hard to compute deterministically. One important example is the use in statistical physics of rapidly mixing Markov chains to approximately compute partition…
I propose a new algorithm, a free energy Monte Carlo algorithm, for calculations where conventional Monte Carlo simulations struggle with ergodicity problems. The simplest version of the proposed algorithm allows for the determination of…
This article reviews the basic computational techniques for carrying out multi-scale simulations using statistical methods, with the focus on simulations of epitaxial growth. First, the statistical-physics background behind Monte Carlo…
Monte Carlo sampling of any system may be analyzed in terms of an associated glass model -- a variant of the Random Energy Model -- with, whenever there is a sign problem, complex fields. This model has three types of phases (liquid, frozen…
The principle and the efficiency of the Monte Carlo transfer-matrix algorithm are discussed. Enhancements of this algorithm are illustrated by applications to several phase transitions in lattice spin models. We demonstrate how the…
Although histogram methods have been extremely effective for analyzing data from Monte Carlo simulations, they do have certain limitations, including the range over which they are valid and the difficulties of combining data from…
Competing phases or interactions in complex many-particle systems can result in free energy barriers that strongly suppress thermal equilibration. Here we discuss how extended ensemble Monte Carlo simulations can be used to study the…
Nonlinear non-Gaussian state-space models are ubiquitous in statistics, econometrics, information engineering and signal processing. Particle methods, also known as Sequential Monte Carlo (SMC) methods, provide reliable numerical…
Applications that require substantial computational resources today cannot avoid the use of heavily parallel machines. Embracing the opportunities of parallel computing and especially the possibilities provided by a new generation of…
We propose sequential Monte Carlo (SMC) methods for sampling the posterior distribution of state-space models under highly informative observation regimes, a situation in which standard SMC methods can perform poorly. A special case is…
Statisticians often use Monte Carlo methods to approximate probability distributions, primarily with Markov chain Monte Carlo and importance sampling. Sequential Monte Carlo samplers are a class of algorithms that combine both techniques to…
The histogram reweighting technique, widely used to analyze Monte Carlo data, is shown to be applicable to dynamic properties obtained from Molecular Dynamics simulations. The theory presented here is based on the fact that the correlation…
The aim of this paper is to introduce a new Monte Carlo method based on importance sampling techniques for the simulation of stochastic differential equations. The main idea is to combine random walk on squares or rectangles methods with…
Markov chains are fundamental models for stochastic dynamics, with applications in a wide range of areas such as population dynamics, queueing systems, reinforcement learning, and Monte Carlo methods. Estimating the transition matrix and…
State-space models are commonly used to describe different forms of ecological data. We consider the case of count data with observation errors. For such data the system process is typically multi-dimensional consisting of coupled Markov…
In this paper, I investigate more closely the recently proposed Free Energy Monte Carlo algorithm that is devised in particular for calculations where conventional Monte Carlo simulations struggle with ergodicity problems. The simplest…
Recently, Velazquez and Curilef have proposed a methodology to extend Monte Carlo algorithms based on canonical ensemble, which is aimed to overcome slow sampling problems associated with temperature-driven discontinuous phase transitions.…
The stochastic-gauge representation is a method of mapping the equation of motion for the quantum mechanical density operator onto a set of equivalent stochastic differential equations. One of the stochastic variables is termed the…