Related papers: Practical Guide to Monte Carlo
We present an implementation of a Monte Carlo algorithm that generates points randomly and uniformly on a set of arbitrary surfaces. The algorithm is completely general and only requires the geometry modeling software to provide the…
We present a modular analysis program written in Python devoted to the estimation of autocorrelation times for Monte Carlo simulations by means of the $\Gamma$-method algorithm. We give a brief review of this method and describe the main…
Based on the principles of importance sampling and resampling, sequential Monte Carlo (SMC) encompasses a large set of powerful techniques dealing with complex stochastic dynamic systems. Many of these systems possess strong memory, with…
The Metropolis algorithm is a Markov chain Monte Carlo (MCMC) algorithm used to simulate from parameter distributions of interest, such as generalized linear model parameters. The "Metropolis step" is a keystone concept that underlies…
We consider several patchy particle models that have been proposed in literature and we investigate their candidate crystal structures in a systematic way. We compare two different algorithms for predicting crystal structures: (i) an…
Algorithms which sort lists of real numbers into ascending order have been studied for decades. They are typically based on a series of pairwise comparisons and run entirely on chip. However people routinely sort lists which depend on…
In parallelized Monte-Carlo simulations, the order of summation is not always the same. When the mean is calculated in running fashion, this may create an artificial randomness in results which ought to be reproducible. This note takes a…
We describe an embarrassingly parallel, anytime Monte Carlo method for likelihood-free models. The algorithm starts with the view that the stochasticity of the pseudo-samples generated by the simulator can be controlled externally by a…
We introduce a new Monte Carlo method by incorporating a guided distribution function to the conventional Monte Carlo method. In this way, the efficiency of Monte Carlo methods is drastically improved. To further speed up the algorithm, we…
This paper describes a suite of algorithms for constructing low-rank approximations of an input matrix from a random linear image of the matrix, called a sketch. These methods can preserve structural properties of the input matrix, such as…
This chapter is devoted to the computation of equilibrium (thermodynamic) properties of quantum systems. In particular, we will be interested in the situation where the interaction between particles is so strong that it cannot be treated as…
We consider the problem of estimating the expected outcomes of Monte Carlo processes whose outputs are described by multidimensional random variables. We tightly characterize the quantum query complexity of this problem for various choices…
The use of sequential Monte Carlo within simulation for path-dependent option pricing is proposed and evaluated. Recently, it was shown that explicit solutions and importance sampling are valuable for efficient simulation of spot price and…
Markov Chain Monte Carlo (MCMC) algorithms are often used for approximate inference inside learning, but their slow mixing can be difficult to diagnose and the approximations can seriously degrade learning. To alleviate these issues, we…
Present quantum Monte Carlo codes use statistical techniques adapted to find the amplitude of a quantum system or the associated eigenvalues. Thus, they do not use a true physical random source. It is demonstrated that, in fact, quantum…
We describe an efficient algorithm to compute forces in quantum Monte Carlo using adjoint algorithmic differentiation. This allows us to apply the space warp coordinate transformation in differential form, and compute all the 3M force…
A general-purpose, self-adapting Monte Carlo (MC) algorithm implemented in the program {\tt Foam} is described. The high efficiency of the MC, that is small maximum weight or variance of the MC weight is achieved by means of dividing the…
We use a Monte Carlo method to assemble finite element matrices for polynomial Chaos approximations of elliptic equations with random coefficients. In this approach, all required expectations are approximated by a Monte Carlo method. The…
We present a Monte Carlo simulation framework for analysing the risk involved in deploying real-time control systems in safety-critical applications, as well as an algorithm design technique allowing one (in certain situations) to robustify…
A brief introduction to the technique of Monte Carlo simulations in statistical physics is presented. The topics covered include statistical ensembles random and pseudo random numbers, random sampling techniques, importance sampling, Markov…