Related papers: A guided Monte Carlo method for optimization probl…
We present two Monte Carlo sampling algorithms for probabilistic inference that guarantee polynomial-time convergence for a larger class of network than current sampling algorithms provide. These new methods are variants of the known…
We describe an efficient Monte Carlo algorithm for a restricted class of scattering problems in radiation transfer. This class includes many astrophysically interesting problems, including the scattering of ultraviolet and visible light by…
We discuss the improvement in the accuracy of a Monte Carlo integration that can be obtained by optimization of the `a-priori weights' of the various channels. These channels may be either the strata in a stratified-sampling approach, or…
Bayesian parameter inference for complex stochastic simulators is challenging due to intractable likelihood functions. Existing simulation-based inference methods often require large number of simulations and become costly to use in…
In this paper, we present a very fast Monte Carlo scheme for additive processes: the computational time is of the same order of magnitude of standard algorithms for Brownian motions. We analyze in detail numerical error sources and propose…
We present a new Monte Carlo Tree Search (MCTS) algorithm to solve the stochastic orienteering problem with chance constraints, i.e., a version of the problem where travel costs are random, and one is assigned a bound on the tolerable…
The Self-Learning Monte Carlo (SLMC) method is a Monte Carlo approach that has emerged in recent years by integrating concepts from machine learning with conventional Monte Carlo techniques. Designed to accelerate the numerical study of…
It is often necessary to make sampling-based statistical inference about many probability distributions in parallel. Given a finite computational resource, this article addresses how to optimally divide sampling effort between the samplers…
We introduce an efficient numerical implementation of a Markov Chain Monte Carlo method to sample a probability distribution on a manifold (introduced theoretically in Zappa, Holmes-Cerfon, Goodman (2018)), where the manifold is defined by…
The self-organized Monte Carlo simulations of 2D Ising ferromagnet on the square lattice are performed. The essence of devised simulation method is the artificial dynamics consisting of the single-spin-flip algorithm of Metropolis…
In this article we propose a heuristic algorithm to explore search space trees associated with instances of combinatorial optimization problems. The algorithm is based on Monte Carlo tree search, a popular algorithm in game playing that is…
Population Monte Carlo (PMC) sampling methods are powerful tools for approximating distributions of static unknowns given a set of observations. These methods are iterative in nature: at each step they generate samples from a proposal…
Multifidelity Monte Carlo methods rely on a hierarchy of possibly less accurate but statistically correlated simplified or reduced models, in order to accelerate the estimation of statistics of high-fidelity models without compromising the…
We introduce a stacking version of the Monte Carlo algorithm in the context of option pricing. Introduced recently for aeronautic computations, this simple technique, in the spirit of current machine learning ideas, learns control variates…
This paper covers a massive acceleration of Monte-Carlo based pricing method for financial products and financial derivatives. The method is applicable in risk management settings, where a financial product has to be priced under a number…
We develop a parallel rejection algorithm to tackle the problem of low acceptance in Monte Carlo methods, and apply it to the simulation of the hopping conduction in Coulomb glasses using Graphics Processing Units, for which we also…
The results of numerical simulation using a modified Monte Carlo method with a heat bath algorithm for the pseudospin model of cuprates are presented. The temperature phase diagrams are constructed for various degrees of doping and for…
Quantum Monte Carlo algorithms based on a world-line representation such as the worm algorithm and the directed loop algorithm are among the most powerful numerical techniques for the simulation of non-frustrated spin models and of bosonic…
We present a method which extends Monte Carlo studies to situations that require a large dynamic range in particle number. The underlying idea is that, in order to calculate the collisional evolution of a system, some particle interactions…
We design and implement a novel algorithm for computing a multilevel Monte Carlo (MLMC) estimator of the cumulative distribution function of a quantity of interest in problems with random input parameters or initial conditions. Our approach…