Related papers: Dirichlet forms in simulation
We derive the conjugate prior of the Dirichlet and beta distributions and explore it with numerical examples to gain an intuitive understanding of the distribution itself, its hyperparameters, and conditions concerning its convergence. Due…
This study presents new closed-form estimators for the Dirichlet and the Multivariate Gamma distribution families, whose maximum likelihood estimator cannot be explicitly derived. The methodology builds upon the score-adjusted estimators…
Simulating samples from arbitrary probability distributions is a major research program of statistical computing. Recent work has shown promise in an old idea, that sampling from a discrete distribution can be accomplished by perturbing and…
The aim of this paper is to introduce a new Monte Carlo method based on importance sampling techniques for the simulation of stochastic differential equations. The main idea is to combine random walk on squares or rectangles methods with…
We present a new quantum Monte Carlo algorithm suitable for generically complex problems, such as systems coupled to external magnetic fields or anyons in two spatial dimensions. We find that the choice of gauge plays a nontrivial role, and…
We study the simulation of charged systems in the presence of general boundary conditions in a local Monte Carlo algorithm based on a constrained electric field. We firstly show how to implement constant-potential, Dirichlet, boundary…
We present results of an extensive test program of a group of pseudorandom number generators which are commonly used in the applications of physics, in particular in Monte Carlo simulations. The generators include public domain programs,…
Random non-commutative geometries are introduced by integrating over the space of Dirac operators that form a spectral triple with a fixed algebra and Hilbert space. The cases with the simplest types of Clifford algebra are investigated…
Parameter estimation in HEP experiments often involves Monte-Carlo simulation to model the experimental response function. A typical application are forward-folding likelihood analyses with re-weighting, or time-consuming minimization…
We develop Monte Carlo methods for sampling random states and corresponding bit strings in qubit systems. To this end, we derive exact probability density functions that yield the Porter-Thomas distribution in the limit of large systems. We…
Monte Carlo simulations of diffusion processes often introduce bias in the final result, due to time discretization. Using an auxiliary Poisson process, it is possible to run simulations which are unbiased. In this article, we propose such…
In this paper we will give a Monte Carlo algorithm by which the moments of a functions of Dirichlet probability distributions can be estimated. This algorithm is called Inner Nested Sampling and is an implementation of Skilling's general…
First of all, this paper presents some improvements of DSMC method in the form of new schemes and approaches, that, for a wide class of problems, increase performance and reduce the demands on computer resources. The most important…
We construct a self-similar local regular Dirichlet form on the Sierpi\'nski gasket using $\Gamma$-convergence of stable-like non-local closed forms. As a continuation of a recent paper by Grigor'yan and the author, we give the first…
We consider systems of stochastic differential equations with multiple scales and small noise and assume that the coefficients of the equations are ergodic and stationary random fields. Our goal is to construct provably-efficient importance…
We study global properties of Dirichlet forms such as uniqueness of the Dirichlet extension, stochastic completeness and recurrence. We characterize these properties by means of vanishing of a boundary term in Green's formula for functions…
Because the stochastic calculus yields rarely random variables with laws defined by explicit closed formulas, probabilistic numerical computations are done most often by simulation. The simulation by the shift, whose field of application is…
The Dirichlet form associated with the intrinsic gradient on Poisson space is known to be quasi-regular on the complete metric space $\ddot\Gamma=$ $\{Z_+$-valued Radon measures on $\IR^d\}$. We show that under mild conditions, the set…
An important line of research is the investigation of the laws of random variables known as Dirichlet means as discussed in Cifarelli and Regazzini(1990). However there is not much information on inter-relationships between different…
We study the regularity of the law of a quadratic form $Q(X,X)$, evaluated in a sequence $X = (X_{i})$ of independent and identically distributed random variables, when $X_{1}$ can be expressed as a sufficiently smooth function of a…