相关论文: Implementing Quasi-Monte Carlo Simulations with Li…

This study introduces a computationally efficient algorithm, delayed acceptance Markov chain Monte Carlo (DA-MCMC), designed to improve posterior simulation in quasi-Bayesian inference. Quasi-Bayesian methods, which do not require fully…

Array-RQMC has been proposed as a way to effectively apply randomized quasi-Monte Carlo (RQMC) when simulating a Markov chain over a large number of steps to estimate an expected cost or reward. The method can be very effective when the…

We study the approximation of $\mathbb{E}f(X_T)$ by a Monte Carlo algorithm, where $X$ is the solution of a stochastic differential equation and $f$ is a given function. We introduce a new variance reduction method, which can be viewed as a…

We present a new Subset Simulation approach using Hamiltonian neural network-based Monte Carlo sampling for reliability analysis. The proposed strategy combines the superior sampling of the Hamiltonian Monte Carlo method with…

The paper proposes a Riemannian Manifold Hamiltonian Monte Carlo sampler to resolve the shortcomings of existing Monte Carlo algorithms when sampling from target densities that may be high dimensional and exhibit strong correlations. The…

Sampling from complicated probability distributions is a hard computational problem arising in many fields, including statistical physics, optimization, and machine learning. Quantum computers have recently been used to sample from…

A compression algorithm is introduced for multi-determinant wave functions which can greatly reduce the number of determinants that need to be evaluated in quantum Monte Carlo calculations. We have devised an algorithm with three levels of…

We propose a variant of the Simulated Annealing method for optimization in the multivariate analysis of differentiable functions. The method uses global actualizations via the Hybrid Monte Carlo algorithm in their generalized version for…

We introduce a Monte Carlo method, as a modification of existing cluster algorithms, which allows simulations directly on systems of infinite size, and for quantum models also at beta=infinity. All two-point functions can be obtained,…

We propose a methodology for computing single and multi-asset European option prices, and more generally expectations of scalar functions of (multivariate) random variables. This new approach combines the ability of Monte Carlo simulation…

Quasi-Monte Carlo (QMC) methods are being adopted in statistical applications due to the increasingly challenging nature of numerical integrals that are now routinely encountered. For integrands with $d$-dimensions and derivatives of order…

High order perturbation theory has seen an unexpected recent revival for controlled calculations of quantum many-body systems, even at strong coupling. We adapt integration methods using low-discrepancy sequences to this problem. They…

We present a universal quantum Monte Carlo algorithm for simulating arbitrary high-spin (spin greater than 1/2) Hamiltonians, based on the recently developed permutation matrix representation (PMR) framework. Our approach extends a…

We propose a parallel version of the cross interpolation algorithm and apply it to calculate high-dimensional integrals motivated by Ising model in quantum physics. In contrast to mainstream approaches, such as Monte Carlo and quasi Monte…

Monte Carlo algorithms, such as Markov chain Monte Carlo (MCMC) and Hamiltonian Monte Carlo (HMC), are routinely used for Bayesian inference in generalized linear models; however, these algorithms are prohibitively slow in massive data…

In this paper, we evaluate the performance of the multilevel Monte Carlo method (MLMC) for deterministic and uncertain hyperbolic systems, where randomness is introduced either in the modeling parameters or in the approximation algorithms.…

We extend a recently developed method to solve semi-linear PDEs to the case of a degenerated diffusion. Being a pure Monte Carlo method it does not suffer from the so called curse of dimensionality and it can be used to solve problems that…

In this work, we introduce a Monte Carlo method for the dynamic hedging of general European-type contingent claims in a multidimensional Brownian arbitrage-free market. Based on bounded variation martingale approximations for…

Recently, Stochastic Gradient Markov Chain Monte Carlo (SG-MCMC) methods have been proposed for scaling up Monte Carlo computations to large data problems. Whilst these approaches have proven useful in many applications, vanilla SG-MCMC…

Multivariate normal (MVN) probabilities arise in myriad applications, but they are analytically intractable and need to be evaluated via Monte-Carlo-based numerical integration. For the state-of-the-art minimax exponential tilting (MET)…