Related papers: Delayed Rejection Variational Monte Carlo
The directed-loop quantum Monte Carlo method is generalized to the case of retarded interactions. Using the path integral, fermion-boson or spin-boson models are mapped to actions with retarded interactions by analytically integrating out…
A Monte Carlo method to sample the classical configurational canonical ensemble is introduced. In contrast to the Metropolis algorithm, where trial moves can be rejected, in this approach collisions take place. The implementation is…
The simulation of diffusion-based molecular communication systems with absorbing receivers often requires a high computational complexity to produce accurate results. In this work, a new a priori Monte Carlo (APMC) algorithm is proposed to…
We experiment with a massively parallel implementation of an algorithm for simulating the dynamics of metastable decay in kinetic Ising models. The parallel scheme is directly applicable to a wide range of stochastic cellular automata where…
We present a rigorous efficient event-chain Monte Carlo algorithm for long-range interacting particle systems. Using a cell-veto scheme within the factorized Metropolis algorithm, we compute each single-particle move with a fixed number of…
We are concerned with a situation in which we would like to test multiple hypotheses with tests whose p-values cannot be computed explicitly but can be approximated using Monte Carlo simulation. This scenario occurs widely in practice. We…
A first-order, Monte Carlo ensemble method has been recently introduced for solving parabolic equations with random coefficients in [26], which is a natural synthesis of the ensemble-based, Monte Carlo sampling algorithm and the…
We describe a number of strategies for minimizing and calculating accurately the statistical uncertainty in quantum Monte Carlo calculations. We investigate the impact of the sampling algorithm on the efficiency of the variational Monte…
Sequential techniques can enhance the efficiency of the approximate Bayesian computation algorithm, as in Sisson et al.'s (2007) partial rejection control version. While this method is based upon the theoretical works of Del Moral et al.…
Monte Carlo methods are widely used for neutron transport simulations at least partly because of the accuracy they bring to the modeling of these problems. However, the computational burden associated with the slow convergence rate of Monte…
We present and analyze a micro/macro acceleration technique for the Monte Carlo simulation of stochastic differential equations (SDEs) in which there is a separation between the (fast) time-scale on which individual trajectories of the SDE…
This paper introduces a new Monte Carlo algorithm to invert large matrices. It is based on simultaneous coupled draws from two random vectors whose covariance is the required inverse. It can be considered a generalization of a previously…
The multilevel Monte Carlo method is applied to an academic example in the field of electromagnetism. The method exhibits a reduced variance by assigning the samples to multiple models with a varying spatial resolution. For the given…
In dynamic Monte Carlo simulations, using for example the Metropolis dynamic, it is often required to simulate for long times and to simulate large systems. We present an overview of advanced algorithms to simulate for larger times and to…
With the goal to provide absolute lower bounds for the best possible running times that can be achieved by $(1+\lambda)$-type search heuristics on common benchmark problems, we recently suggested a dynamic programming approach that computes…
First of all, this paper presents some improvements of DSMC method in the form of new schemes and approaches, that, for a wide class of problems, increase performance and reduce the demands on computer resources. The most important…
Markov chain Monte Carlo is an inherently serial algorithm. Although likelihood calculations for individual steps can sometimes be parallelized, the serial evolution of the process is widely viewed as incompatible with parallelization,…
We describe collective-move Monte Carlo algorithms designed to approximate the overdamped dynamics of self-assembling nanoscale components equipped with strong, short-ranged and anisotropic interactions. Conventional Monte Carlo simulations…
It has become increasingly easy nowadays to collect approximate posterior samples via fast algorithms such as variational Bayes, but concerns exist about the estimation accuracy. It is tempting to build solutions that exploit approximate…
The simulation of the expectation of a stochastic quantity E[Y] by Monte Carlo methods is known to be computationally expensive especially if the stochastic quantity or its approximation Y_n is expensive to simulate, e.g., the solution of a…