Related papers: A Monte Carlo algorithm for efficient large matrix…
Hamiltonian Monte Carlo (HMC) and related algorithms have become routinely used in Bayesian computation. In this article, we present a simple and provably accurate method to improve the efficiency of HMC and related algorithms with…
We combine a generic method for finding fast orthogonal transforms for a given quasi-Monte Carlo integration problem with the multilevel Monte Carlo method. It is shown by example that this combined method can vastly improve the efficiency…
We give an algorithm for reversion of formal power series, based on an efficient way to implement the Lagrange inversion formula. Our algorithm requires $O(n^{1/2}(M(n) + MM(n^{1/2})))$ operations where $M(n)$ and $MM(n)$ are the costs of…
We consider several issues related to the multidimensional integration using a network of heterogeneous computers. Based on these considerations, we develop a new general purpose scheme which can significantly reduce the time needed for…
We propose a general proximal algorithm for the inversion of ill-conditioned matrices. This algorithm is based on a variational characterization of pseudo-inverses. We show that a particular instance of it (with constant regularization…
A boundary-based net-exchange Monte Carlo method was introduced in [1] that allows to bypass the difficulties encountered by standard Monte Carlo algorithms in the limit of optically thick absorption (and/or for quasi-isothermal…
Monte Carlo simulations are widely used in many areas including particle accelerators. In this lecture, after a short introduction and reviewing of some statistical backgrounds, we will discuss methods such as direct inversion, rejection…
Three possibilities to speed up the Hybrid Monte Carlo algorithm are investigated. Changing the step-size adaptively brings no practical gain. On the other hand, substantial improvements result from using an approximate Hamiltonian or a…
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 have developed an efficient Monte Carlo algorithm, which accelerates slow Monte Carlo dynamics in quasi-one-dimensional Ising spin systems. The loop algorithm of the quantum Monte Carlo method is applied to the classical spin models with…
A cumbersome operation in many scientific fields, is inverting large full-rank matrices. In this paper, we propose a coded computing approach for recovering matrix inverse approximations. We first present an approximate matrix inversion…
The rise of artificial intelligence (AI) hinges on the efficient training of modern deep neural networks (DNNs) for non-convex optimization and uncertainty quantification, which boils down to a non-convex Bayesian learning problem. A…
The paper proposes a new Monte-Carlo simulator combining the advantages of Sequential Monte Carlo simulators and Hamiltonian Monte Carlo simulators. The result is a method that is robust to multimodality and complex shapes to use for…
Monte Carlo methods represent the "de facto" standard for approximating complicated integrals involving multidimensional target distributions. In order to generate random realizations from the target distribution, Monte Carlo techniques use…
We present two fast algorithms which apply inclusion-exclusion principle to sum over the bosonic diagrams in bare diagrammatic quantum Monte Carlo (dQMC) and inchworm Monte Carlo method, respectively. In the case of inchworm Monte Carlo,…
A review of the Loop Algorithm, its generalizations, and its relation to some other Monte Carlo techniques is given. The loop algorithm is a Quantum Monte Carlo procedure which employs nonlocal changes of worldline configurations,…
We investigate in this work a recently proposed diagrammatic quantum Monte Carlo method --- the inchworm Monte Carlo method --- for open quantum systems. We establish its validity rigorously based on resummation of Dyson series. Moreover,…
The Wilson fermion determinant can be written as product of the determinants of two hermitian positive definite matrices. This formulation allows to simulate non-degenerate quark flavors by means of the hybrid Monte Carlo algorithm. A major…
Sampling from complicated probability distributions is a hard computational problem arising in many fields, including statistical physics, optimization, and machine learning. Quantum computers have recently been used to sample from…
The main purpose of this paper is to facilitate the communication between the Analytic, Probabilistic and Algorithmic communities. We present a proof of convergence of the Hamiltonian (Hybrid) Monte Carlo algorithm from the point of view of…