Related papers: Experiences with the multi-level algorithm
Monte Carlo simulations are based on the manipulation of random numbers to evaluate probable outcomes, with applicability in a variety of different fields. By assigning probabilities, which can be determined a priori, to various events, it…
Weighted least squares polynomial approximation uses random samples to determine projections of functions onto spaces of polynomials. It has been shown that, using an optimal distribution of sample locations, the number of samples required…
We consider the problem of numerically estimating expectations of solutions to stochastic differential equations driven by Brownian motions in the commonly occurring small noise regime. We consider (i) standard Monte Carlo methods combined…
We propose a methodology to parallelize Hamiltonian Monte Carlo estimators. Our approach constructs a pair of Hamiltonian Monte Carlo chains that are coupled in such a way that they meet exactly after some random number of iterations. These…
A key quantity of interest in Bayesian inference are expectations of functions with respect to a posterior distribution. Markov Chain Monte Carlo is a fundamental tool to consistently compute these expectations via averaging samples drawn…
Reinforcement learning constantly deals with hard integrals, for example when computing expectations in policy evaluation and policy iteration. These integrals are rarely analytically solvable and typically estimated with the Monte Carlo…
Standard quantum amplitude estimation algorithms provide quadratic speedup to Monte-Carlo simulations but require a circuit depth that scales as inverse of the estimation error. In view of the shallow depth in near-term devices, the…
Langevin algorithms are popular Markov chain Monte Carlo (MCMC) methods for large-scale sampling problems that often arise in data science. We propose Monte Carlo algorithms based on the discretizations of $P$-th order Langevin dynamics for…
The paper presents an investigation of estimating treatment effect using different matching methods. The study proposed a new method which is computationally efficient and convenient in implication-'largest caliper matching' and compared…
Large deviation theory has provided important clues for the choice of importance sampling measures for Monte Carlo evaluation of exceedance probabilities. However, Glasserman and Wang [Ann. Appl. Probab. 7 (1997) 731--746] have given…
Monte-Carlo simulations are routinely used for estimating the scaling exponents of complex systems. However, due to finite-size effects, determining the exponent values is often difficult and not reliable. Here we present a novel technique…
Current reporting of results based on Markov chain Monte Carlo computations could be improved. In particular, a measure of the accuracy of the resulting estimates is rarely reported. Thus we have little ability to objectively assess the…
When we are interested in high-dimensional system and focus on classification performance, the $\ell_{1}$-penalized logistic regression is becoming important and popular. However, the Lasso estimates could be problematic when penalties of…
Computing the variance of a conditional expectation has often been of importance in uncertainty quantification. Sun et al. has introduced an unbiased nested Monte Carlo estimator, which they call $1\frac{1}{2}$-level simulation since the…
We generalize the multilevel Monte Carlo (MLMC) method of Giles to the simulation of systems of particles that interact via a mean field. When the number of particles is large, these systems are described by a McKean-Vlasov process - a…
The objective of Bayesian inference is often to infer, from data, a probability measure for a random variable that can be used as input for Monte Carlo simulation. When datasets for Bayesian inference are small, a principle challenge is…
Continuous level Monte Carlo is an unbiased, continuous version of the celebrated multilevel Monte Carlo method. The approximation level is assumed to be continuous resulting in a stochastic process describing the quantity of interest.…
Multivariate normal (MVN) probabilities arise in myriad applications, but they are analytically intractable and need to be evaluated via Monte-Carlo-based numerical integration. For the state-of-the-art minimax exponential tilting (MET)…
Monte Carlo methods are widely used to estimate observables in many-body quantum systems. However, conventional sampling schemes often require a large number of samples to achieve sufficient accuracy. In this work we propose the…
Complex scientific models where the likelihood cannot be evaluated present a challenge for statistical inference. Over the past two decades, a wide range of algorithms have been proposed for learning parameters in computationally feasible…