Related papers: Tools for RHIC: Review of Models
Based on the principles of importance sampling and resampling, sequential Monte Carlo (SMC) encompasses a large set of powerful techniques dealing with complex stochastic dynamic systems. Many of these systems possess strong memory, with…
The hybrid Monte Carlo (HMC) algorithm is used for Bayesian analysis of the generalized autoregressive conditional heteroscedasticity (GARCH) model. The HMC algorithm is one of Markov chain Monte Carlo (MCMC) algorithms and it updates all…
Inspired by the latest developments in multilevel Monte Carlo (MLMC) methods and randomised sketching for linear algebra problems we propose a MLMC estimator for real-time processing of matrix structured random data. Our algorithm is…
This book aims to provide a graduate-level introduction to advanced topics in Markov chain Monte Carlo (MCMC) algorithms, as applied broadly in the Bayesian computational context. Most, if not all of these topics (stochastic gradient MCMC,…
This article presents the motivation for developing a comprehensive modeling framework in which different models and parameter inputs can be compared and evaluated for a large range of jet-quenching observables measured in relativistic…
Traditional gradient-based sampling methods, like standard Hamiltonian Monte Carlo, require that the desired target distribution is continuous and differentiable. This limits the types of models one can define, although the presented models…
Sequential Monte Carlo methods are a powerful framework for approximating the posterior distribution of a state variable in a sequential manner. They provide an attractive way of analyzing dynamic systems in real-time, taking into account…
Hierarchical modeling provides a framework for modeling the complex interactions typical of problems in applied statistics. By capturing these relationships, however, hierarchical models also introduce distinctive pathologies that quickly…
Recursive Monte Carlo filters, also called particle filters, are a powerful tool to perform computations in general state space models. We discuss and compare the accept--reject version with the more common sampling importance resampling…
As the size of engineered systems grows, problems in reliability theory can become computationally challenging, often due to the combinatorial growth in the cut sets. In this paper we demonstrate how Multilevel Monte Carlo (MLMC) - a…
A simple, yet reasonably accurate, analytical technique is proposed for multi-factor structural credit portfolio models. The accuracy of the technique is demonstrated by benchmarking against Monte Carlo simulations. The approach presented…
In the field of structural reliability, the Monte-Carlo estimator is considered as the reference probability estimator. However, it is still untractable for real engineering cases since it requires a high number of runs of the model. In…
Today, electrical energy plays a significant and conspicuous role in contemporary economies; as a result, governments should place a high priority on maintaining the supply of electrical energy. In order to assess various topologies and…
Monte Carlo methods, Variational Inference, and their combinations play a pivotal role in sampling from intractable probability distributions. However, current studies lack a unified evaluation framework, relying on disparate performance…
I discuss the various available tools for the study of the properties of the new particles predicted in the Minimal Supersymmetric extension of the Standard Model. Emphasis will be put on the codes for the determination of the sparticle and…
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…
Monte Carlo algorithms are a foundational pillar of modern computational science, yet their effective application hinges on a deep understanding of their performance trade offs. This paper presents a critical analysis of the evolution of…
The numerically exact path integral Monte Carlo approach for the real-time evolution of dissipative quantum systems (PIMC), particularly suited for systems with discrete configuration space (tight-binding systems), is extended to treat…
The status of the multi-purpose event generator HELAC is briefly presented. The aim of this tool is the full simulation of events within the Standard Model at current and future high energy experiments, in particular the LHC. Some results…
Revisions are almost entirely in the introduction and conclusion. Results are unchanged, however the comments and recommendations on different generators were changed, and more references were added.