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Sequential Monte Carlo algorithms, or Particle Filters, are Bayesian filtering algorithms which propagate in time a discrete and random approximation of the a posteriori distribution of interest. Such algorithms are based on Importance…
This chapter is devoted to the computation of equilibrium (thermodynamic) properties of quantum systems. In particular, we will be interested in the situation where the interaction between particles is so strong that it cannot be treated as…
We introduce a Diagrammatic Monte Carlo (DiagMC) approach to angular momentum properties of quantum many-particle systems possessing a macroscopic number of degrees of freedom. The treatment is based on a diagrammatic expansion that merges…
The Feynman-Kac equations are a type of partial differential equations describing the distribution of functionals of diffusive motion. The probability density function (PDF) of Brownian functionals satisfies the Feynman-Kac formula, being a…
We report on a Monte Carlo method that generates one-dimensional trajectories for Bohm's formulation of quantum mechanics that doesn't involve differentiation or integration of any equations of motion. At each time, t=n\delta t…
In nuclear fusion and fission, fluctuation and dissipation arise due to the coupling of collective degrees of freedom with internal excitations. Close to the barrier, both quantum, statistical and non-Markovian effects are expected to be…
In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.
We introduce a new family of numerical algorithms for approximating solutions of general high-dimensional semilinear parabolic partial differential equations at single space-time points. The algorithm is obtained through a delicate…
In the theory and practice of inverse problems for partial differential equations (PDEs) much attention is paid to the problem of the identification of coefficients from some additional information. This work deals with the problem of…
In recent years efficient algorithms have been developed for the numerical computation of relativistic single-particle path integrals in quantum field theory. Here, we adapt this "worldline Monte Carlo" approach to the standard problem of…
Quantum Monte Carlo (QMC) methods are the gold standard for studying equilibrium properties of quantum many-body systems -- their phase transitions, ground and thermal state properties. However, in many interesting situations QMC methods…
We introduce a Monte-Carlo algorithm for the simulation of charged particles moving in the continuum. Electrostatic interactions are not instantaneous as in conventional approaches, but are mediated by a constrained, diffusing electric…
For the description of thermally activated dynamics in systems of classical magnetic moments numerical methods are desirable. We consider a simple model for isolated magnetic particles in a uniform field with an oblique angle to the easy…
We introduce a Monte Carlo method for computing derivatives of the solution to a partial differential equation (PDE) with respect to problem parameters (such as domain geometry or boundary conditions). Derivatives can be evaluated at…
This article analyzes and develops a method to solve fractional ordinary differential equations using the Monte Carlo Method. A numerical simulation is performed for some differential equations, comparing the results with what exists in the…
Stochastic domain decomposition is proposed as a novel method for solving the two-dimensional Maxwell's equations as used in the magnetotelluric method. The stochastic form of the exact solution of Maxwell's equations is evaluated using…
In this paper we develop a numerical method for efficiently approximating solutions of certain Zakai equations in high dimensions. The key idea is to transform a given Zakai SPDE into a PDE with random coefficients. We show that under…
This paper presents a novel approach to numerically solve stochastic differential games for nonlinear systems. The proposed approach relies on the nonlinear Feynman-Kac theorem that establishes a connection between parabolic deterministic…
Optimizing highly complex cost/energy functions over discrete variables is at the heart of many open problems across different scientific disciplines and industries. A major obstacle is the emergence of many-body effects among certain…
With Wendelstein 7-X now up and running, and the construction of ITER proceeding, predicting fast-ion losses to sensitive plasma-facing components and detectors is gaining significant interest. A common recipe to perform such studies is to…