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We consider the application of multilevel Monte Carlo methods to elliptic PDEs with random coefficients. We focus on models of the random coefficient that lack uniform ellipticity and boundedness with respect to the random parameter, and…
This paper proposes a Sequential Monte Carlo approach for the Bayesian estimation of mixed causal and noncausal models. Unlike previous Bayesian estimation methods developed for these models, Sequential Monte Carlo offers extensive…
We develop a scalable multi-step Monte Carlo algorithm for inference under a large class of nonparametric Bayesian models for clustering and classification. Each step is "embarrassingly parallel" and can be implemented using the same Markov…
This paper presents a counterexample to the conjecture that the semi-explicit Lie-Newmark algorithm is variational. As a consequence the Lie-Newmark method is not well-suited for long-time simulation of rigid body-type mechanical systems.…
Variational algorithms for strongly correlated chemical and materials systems are one of the most promising applications of near-term quantum computers. We present an extension to the variational quantum eigensolver that approximates the…
Quasi-Monte Carlo methods have become the industry standard in computer graphics. For that purpose, efficient algorithms for low discrepancy sequences are discussed. In addition, numerical pitfalls encountered in practice are revealed. We…
In this paper, we develop variational integrators for the nonequilibrium thermodynamics of simple closed systems. These integrators are obtained by a discretization of the Lagrangian variational formulation of nonequilibrium thermodynamics…
We develop a method for systematically constructing Lagrangian functions for dissipative mechanical, electrical and, mechatronic systems. We derive the equations of motion for some typical mechatronic systems using deterministic principles…
Novel constructions of empirical controllability and observability gramians for nonlinear systems for subsequent use in a balanced truncation style of model reduction are proposed. The new gramians are based on a generalisation of the…
This paper extends the Multilevel Monte Carlo variance reduction technique to nonlinear filtering. In particular, Multilevel Monte Carlo is applied to a certain variant of the particle filter, the Ensemble Transform Particle Filter. A key…
We consider a class of finite time horizon nonlinear stochastic optimal control problem, where the control acts additively on the dynamics and the control cost is quadratic. This framework is flexible and has found applications in many…
We discuss modern ideas in Monte Carlo algorithms in the simplified setting of the one-dimensional anharmonic oscillator. After reviewing the connection between molecular dynamics and Monte Carlo, we introduce to the Metropolis and the…
A moderate deviation principle for nonlinear functions of Gaussian processes is established. The nonlinear functions need not be locally bounded. Especially, the logarithm is allowed. (Thus, small deviations of the process are relevant.)…
An approximate treatment of exchange in finite-temperature path integral Monte Carlo simulations for fermions has been proposed. In this method, some of the fine details of density matrix due to permutations have been smoothed over or…
A numerical technique is introduced that reduces exponentially the time required for Monte Carlo simulations of non-equilibrium systems. Results for the quasi-stationary probability distribution in two model systems are compared with the…
We generalize the Hamiltonian Monte Carlo algorithm with a stack of neural network layers and evaluate its ability to sample from different topologies in a two dimensional lattice gauge theory. We demonstrate that our model is able to…
In this notes we describe an algorithm for non-linear fitting which incorporates some of the features of linear least squares into a general minimum $\chi^2$ fit and provide a pure Python implementation of the algorithm. It consists of the…
Large-scale variational quantum algorithms are widely recognized as a potential pathway to achieve practical quantum advantages. However, the presence of quantum noise might suppress and undermine these advantages, which blurs the…
This paper presents a deep machine learning architecture, the "polyharmonic cascade" -- a sequence of packages of polyharmonic splines, where each layer is rigorously derived from the theory of random functions and the principles of…
Numerical methods that preserve geometric invariants of the system, such as energy, momentum or the symplectic form, are called geometric integrators. Variational integrators are an important class of geometric integrators. The general idea…