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We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the…

Computational Finance · Quantitative Finance 2012-07-26 Bhojnarine R. Rambharat , Anthony E. Brockwell

We present a modification to variational Monte Carlo's linear method optimization scheme that addresses a critical memory bottleneck while maintaining compatibility with both the traditional ground state variational principle and our…

Strongly Correlated Electrons · Physics 2017-02-07 Luning Zhao , Eric Neuscamman

This study explores the use of neural network-based analytic continuation to extract spectra from Monte Carlo data. We apply this technique to both synthetic and Monte Carlo-generated data. The training sets for neural networks are…

Disordered Systems and Neural Networks · Physics 2023-07-18 Kai-Wei Sun , Fa Wang

We present the Monte Carlo with Absorbing Markov Chains (MCAMC) method for extremely long kinetic Monte Carlo simulations. The MCAMC algorithm does not modify the system dynamics. It is extremely useful for models with discrete state spaces…

Materials Science · Physics 2007-05-23 M. A. Novotny , Shannon M. Wheeler

The real-world effectiveness of deep neural networks often depends on their latency, thereby necessitating optimization techniques that can reduce a model's inference time while preserving its performance. One popular approach is to…

Machine Learning · Computer Science 2024-10-10 Jakob Hartmann , Guoliang He , Eiko Yoneki

Hamiltonian Monte Carlo has emerged as a standard tool for posterior computation. In this article, we present an extension that can efficiently explore target distributions with discontinuous densities. Our extension in particular enables…

Computation · Statistics 2020-06-09 Akihiko Nishimura , David Dunson , Jianfeng Lu

Increasing size of sequence databases caused by the development of high throughput sequencing, poses multiple alignment algorithms to face one of the greatest challenges yet. As we show, well-established techniques employed for increasing…

Quantitative Methods · Quantitative Biology 2018-05-28 Adam Gudys , Sebastian Deorowicz

We present a method to generate realistic, three-dimensional networks of crosslinked semiflexible polymers. The free energy of these networks is obtained from the force-extension characteristics of the individual polymers and their…

Soft Condensed Matter · Physics 2009-11-13 E. M. Huisman , C. Storm , G. T. Barkema

Monte Carlo methods, such as Markov chain Monte Carlo (MCMC), remain the most regularly-used approach for implementing Bayesian inference. However, the computational cost of these approaches usually scales worse than linearly with the…

Computation · Statistics 2024-11-12 Leonardo Ripoli , Richard G. Everitt

Monte Carlo methods are widely used importance sampling techniques for studying complex physical systems. Integrating these methods with deep learning has significantly improved efficiency and accuracy in high-dimensional problems and…

Disordered Systems and Neural Networks · Physics 2024-12-24 Yixiong Ren , Jianhui Zhou

Recent studies into the properties of quantum statistical ensembles in high-dimensional Hilbert spaces have encountered difficulties associated with the Monte-Carlo sampling of quantum superpositions constrained by the energy expectation…

Quantum Physics · Physics 2015-05-27 Frank Hantschel , Boris V. Fine

Designing novel proteins with desired functions is crucial in biology and chemistry. However, most existing work focus on protein sequence design, leaving protein sequence and structure co-design underexplored. In this paper, we propose…

Machine Learning · Computer Science 2023-10-05 Zhenqiao Song , Yunlong Zhao , Yufei Song , Wenxian Shi , Yang Yang , Lei Li

A detailed description is provided of a new Worm Algorithm, enabling the accurate computation of thermodynamic properties of quantum many-body systems in continuous space, at finite temperature. The algorithm is formulated within the…

Computational Physics · Physics 2009-11-11 M. Boninsegni , N. V. Prokof'ev , B. V. Svistunov

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…

Computation · Statistics 2022-06-20 Chenguang Dai , Jeremy Heng , Pierre E. Jacob , Nick Whiteley

We propose a Monte Carlo algorithm to sample from high dimensional probability distributions that combines Markov chain Monte Carlo and importance sampling. We provide a careful theoretical analysis, including guarantees on robustness to…

Computation · Statistics 2019-09-18 Giacomo Zanella , Gareth Roberts

Deep learning has transformed protein design, enabling accurate structure prediction, sequence optimization, and de novo protein generation. Advances in single-chain protein structure prediction via AlphaFold2, RoseTTAFold, ESMFold, and…

Machine Learning · Computer Science 2025-02-27 Gregory W. Kyro , Tianyin Qiu , Victor S. Batista

In the last few years, de novo molecular design using machine learning has made great technical progress but its practical deployment has not been as successful. This is mostly owing to the cost and technical difficulty of synthesizing such…

Biomolecules · Quantitative Biology 2022-04-06 Qi Zhang , Chang Liu , Stephen Wu , Ryo Yoshida

Large language models (LLMs) have demonstrated remarkable capabilities in code generation and structured reasoning; however, their performance often degrades on complex tasks that require consistent multi-step planning. Recent work has…

Machine Learning · Computer Science 2025-08-11 Fei Xu Yu , Gina Adam , Nathaniel D. Bastian , Tian Lan

Protein folding is the intricate process by which a linear sequence of amino acids self-assembles into a unique three-dimensional structure. Protein folding kinetics is the study of pathways and time-dependent mechanisms a protein undergoes…

Machine Learning · Computer Science 2023-09-19 Vijay Arvind. R , Haribharathi Sivakumar , Brindha. R

Proteins play a key role in facilitating the infectiousness of the 2019 novel coronavirus. A specific spike protein enables this virus to bind to human cells, and a thorough understanding of its 3-dimensional structure is therefore critical…

Biomolecules · Quantitative Biology 2020-10-28 Samuel W. K. Wong
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