Related papers: New approach to Dynamical Monte Carlo Methods: app…
Switching dynamical systems are an expressive model class for the analysis of time-series data. As in many fields within the natural and engineering sciences, the systems under study typically evolve continuously in time, it is natural to…
Understanding the dynamics of the spread of diseases within populations is critical for effective public health interventions. We extend the classical SIR model by incorporating additional complexities such as the introduction of a cure and…
Metropolis Monte Carlo simulation is a powerful tool for studying the equilibrium properties of matter. In complex condensed-phase systems, however, it is difficult to design Monte Carlo moves with high acceptance probabilities that also…
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…
Irreversible and rejection-free Monte Carlo methods, recently developed in Physics under the name Event-Chain and known in Statistics as Piecewise Deterministic Monte Carlo (PDMC), have proven to produce clear acceleration over standard…
We analyse convergence of a micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations with time-scale separation between the (fast) evolution of individual trajectories and the (slow) evolution of…
In this paper, we present a Distributionally Robust Markov Decision Process (DRMDP) approach for addressing the dynamic epidemic control problem. The Susceptible-Exposed-Infectious-Recovered (SEIR) model is widely used to represent the…
Microscopic epidemic models are powerful tools for government policy makers to predict and simulate epidemic outbreaks, which can capture the impact of individual behaviors on the macroscopic phenomenon. However, existing models only…
In this paper we consider fully Bayesian inference in general state space models. Existing particle Markov chain Monte Carlo (MCMC) algorithms use an augmented model that takes into account all the variable sampled in a sequential Monte…
In this work, we introduce a simple modification of the Monte Carlo algorithm, which we call step Monte Carlo (sMC). The sMC approach allows to simulate processes far from equilibrium and obtain information about the dynamic properties of…
Partially observed Markov process (POMP) models, also known as hidden Markov models or state space models, are ubiquitous tools for time series analysis. The R package pomp provides a very flexible framework for Monte Carlo statistical…
The behaviour of the one--dimensional random--forced Burgers equation is investigated in the path integral formalism, using a discrete space--time lattice. We show that by means of Monte Carlo methods one may evaluate observables, such as…
During the first months, the Covid-19 pandemic has required most countries to implement complex sequences of non-pharmaceutical interventions, with the aim of controlling the transmission of the virus in the population. To be able to take…
This paper presents a discrete time probabilistic dynamic for simulating a contact-based epidemic spreading based on discrete time Markov chain process, in particular the attention is addressed to the susceptible-infectious-removed (SIR)…
In this paper we introduce and discuss numerical schemes for the approximation of kinetic equations for flocking behavior with phase transitions that incorporate uncertain quantities. This class of schemes here considered make use of a…
Networks have become an important tool for infectious disease epidemiology. Most previous theoretical studies of transmission network models have either considered simple Markovian dynamics at the individual level, or have focused on the…
It is proposed in the literature that in some complicated problems maximum likelihood estimates (MLE) are not suitable or even do not exist. An alternative to MLE for estimation of the parameters is the Bayesian method. The Markov chain…
We develop a real-time Full Configuration Interaction Quantum Monte Carlo approach for the modeling of driven-dissipative open quantum systems. The method enables stochastic sampling of the Liouville-von-Neumann time evolution of the…
This paper develops a novel sequential Monte Carlo (SMC) approach for joint state and parameter estimation that can deal efficiently with abruptly changing parameters which is a common case when tracking maneuvering targets. The approach…
Self-learning Monte Carlo method [arXiv:1610.03137, 1611.09364] is a powerful general-purpose numerical method recently introduced to simulate many-body systems. In this work, we implement this method in the framework of determinantal…