Related papers: Multigrid Method versus Staging Algorithm for PIMC…
We consider multistage stochastic optimization problems involving multiple units. Each unit is a (small) control system. Static constraints couple units at each stage. We present a mix of spatial and temporal decompositions to tackle such…
In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve non-stationary optimal multiple switching problems in infinite horizon. We provide the…
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…
Growing heterogeneity and configurability in HPC architectures has made auto-tuning applications and runtime parameters on these systems very complex. Users are presented with a multitude of options to configure parameters. In addition to…
This paper presents a new algorithm for the parallel in time (PiT) numerical simulation of time dependent partial/ordinary differential equations. We propose a reliable alternative to the well know parareal in time algorithm, by formulating…
The Dynamic Monte Carlo (DMC) method is an established molecular simulation technique for the analysis of the dynamics in colloidal suspensions. An excellent alternative to Brownian Dynamics or Molecular Dynamics simulation, DMC is…
We propose a weighting scheme for the proposals within Markov chain Monte Carlo algorithms and show how this can improve statistical efficiency at no extra computational cost. These methods are most powerful when combined with…
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…
Mixed-integer convex programming (MICP) has seen significant algorithmic and hardware improvements with several orders of magnitude solve time speedups compared to 25 years ago. Despite these advances, MICP has been rarely applied to…
The Hybrid Monte Carlo (HMC) algorithm currently is the favorite scheme to simulate quantum chromodynamics including dynamical fermions. In this talk-which is intended for a non-expert audience--I want to bring together methodical and…
We implemented a GPU based parallel code to perform Monte Carlo simulations of the two dimensional q-state Potts model. The algorithm is based on a checkerboard update scheme and assigns independent random numbers generators to each thread.…
The Particle-In-Cell (PIC) and Monte Carlo Collisions (MCC) methods are workhorses of many numerical simulations of physical systems. Recently, it was pointed out that, while the two methods can be exactly - or nearly - energy-conserving…
This paper considers an optimal energy management problem for a network of interconnected microgrids. A model predictive control (MPC) approach is used to avoid capacity constraint violation and to cope with uncertainties of forecasted…
In this paper we propose an Alternating Direction Method of Multipliers (ADMM) algorithm for solving a Model Predictive Control (MPC) optimization problem, in which the system has state and input constraints and a nonlinear input map. The…
We give an introduction to the calculation of path integrals on a lattice, with the quantum harmonic oscillator as an example. In addition to providing an explicit computational setup and corresponding pseudocode, we pay particular…
In combinatorial optimization, probabilistic Ising machines (PIMs) have gained significant attention for their acceleration of Monte Carlo sampling with the potential to reduce time-to-solution in finding approximate ground states. However,…
Implementation of basic local Monte-Carlo algorithms on ATI Graphics Processing Units (GPU) is investigated. The Ising model and pure SU(2) gluodynamics simulations are realized with the Compute Abstraction Layer (CAL) of ATI Stream…
Modified Hamiltonian Monte Carlo (MHMC) methods combine the ideas behind two popular sampling approaches: Hamiltonian Monte Carlo (HMC) and importance sampling. As in the HMC case, the bulk of the computational cost of MHMC algorithms lies…
We propose a new Monte Carlo method for sampling from multimodal distributions. The idea of this technique is based on splitting the task into two: finding the modes of a target distribution $\pi$ and sampling, given the knowledge of the…
Sequential Monte Carlo Samplers are a class of stochastic algorithms for Monte Carlo integral estimation w.r.t. probability distributions, which combine elements of Markov chain Monte Carlo methods and importance sampling/resampling…