Related papers: Entropic effects in large-scale Monte Carlo simula…
Sequential Monte Carlo Samplers are a class of stochastic algorithms for Monte Carlo integral estimation w.r.t. probability distributions, which combine elements of Markov chain Monte Carlo methods and importance sampling/resampling…
The Effective Sample Size (ESS) is an important measure of efficiency of Monte Carlo methods such as Markov Chain Monte Carlo (MCMC) and Importance Sampling (IS) techniques. In the IS context, an approximation $\widehat{ESS}$ of the…
Hamiltonian Monte Carlo (HMC) samples efficiently from high-dimensional posterior distributions with proposed parameter draws obtained by iterating on a discretized version of the Hamiltonian dynamics. The iterations make HMC…
We have developed a technique to accelerate the acquisition of effectively uncorrelated configurations for off-lattice models of dense polymer melts which makes use of both parallel tempering and large scale Monte Carlo moves. The method is…
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…
Event-Chain Monte Carlo (ECMC) methods generate continuous-time and non-reversible Markov processes which often display significant accelerations compared to reversible counterparts. However their generalization to any system may appear…
Adaptive Monte Carlo methods are very efficient techniques designed to tune simulation estimators on-line. In this work, we present an alternative to stochastic approximation to tune the optimal change of measure in the context of…
We show several results on convergence of the Monte Carlo method applied to consistent approximations of the isentropic Euler system of gas dynamics with uncertain initial data. Our method is based on combination of several new concepts. We…
The identification of parameters in mathematical models using noisy observations is a common task in uncertainty quantification. We employ the framework of Bayesian inversion: we combine monitoring and observational data with prior…
We report multipronged progress on the stochastic averaging approach to numerical analytic continuation of quantum Monte Carlo data. With the sampled spectrum parametrized with delta-functions in continuous frequency space, a calculation of…
Among random sampling methods, Markov Chain Monte Carlo algorithms are foremost. Using a combination of analytical and numerical approaches, we study their convergence properties towards the steady state, within a random walk Metropolis…
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…
Quantum mechanics for many-body systems may be reduced to the evaluation of integrals in 3N dimensions using Monte-Carlo, providing the Quantum Monte Carlo ab initio methods. Here we limit ourselves to expectation values for trial…
Markov Chain Monte Carlo (MCMC) methods such as Gibbs sampling are finding widespread use in applied statistics and machine learning. These often lead to difficult computational problems, which are increasingly being solved on parallel and…
The inefficiency of using an unbiased estimator in a Monte Carlo procedure can be quantified using an inefficiency constant, equal to the product of the variance of the estimator and its mean computational cost. We develop methods for…
We consider Monte Carlo approximations to the maximum likelihood estimator in models with intractable norming constants. This paper deals with adaptive Monte Carlo algorithms, which adjust control parameters in the course of simulation. We…
Recursive Monte Carlo filters, also called particle filters, are a powerful tool to perform computations in general state space models. We discuss and compare the accept--reject version with the more common sampling importance resampling…
One of the most demanding calculations is to generate random samples from a specified probability distribution (usually with an unknown normalizing prefactor) in a high-dimensional configuration space. One often has to resort to using a…
Scaling of proposals for Metropolis algorithms is an important practical problem in MCMC implementation. Criteria for scaling based on empirical acceptance rates of algorithms have been found to work consistently well across a broad range…
We introduce a general form of sequential Monte Carlo algorithm defined in terms of a parameterized resampling mechanism. We find that a suitably generalized notion of the Effective Sample Size (ESS), widely used to monitor algorithm…