相关论文: Monte Carlo errors with less errors
Monte Carlo method is a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. They are often used in physical and mathematical problems and are most useful when it is difficult or…
This paper is a broad and accessible survey of the methods we have at our disposal for Monte Carlo gradient estimation in machine learning and across the statistical sciences: the problem of computing the gradient of an expectation of a…
The performance of Hamiltonian Monte Carlo simulations crucially depends on both the integration timestep and the number of integration steps. We present an adaptive general-purpose framework to automatically tune such parameters, based on…
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…
Simple Monte Carlo is a versatile computational method with a convergence rate of $O(n^{-1/2})$. It can be used to estimate the means of random variables whose distributions are unknown. Bernoulli random variables, $Y$, are widely used to…
Monte Carlo (MC) techniques are often used to estimate integrals of a multivariate function using randomly generated samples of the function. In light of the increasing interest in uncertainty quantification and robust design applications…
Classical algorithms in numerical analysis for numerical integration (quadrature/cubature) follow the principle of approximate and integrate: the integrand is approximated by a simple function (e.g. a polynomial), which is then integrated…
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 general approach to greatly increase at little cost the efficiency of Monte Carlo algorithms. To each observable to be computed we associate a renormalized observable (improved estimator) having the same average but a different…
A method is presented to tackle the sign problem in the simulations of systems having indefinite or complex-valued measures. In general, this new approach is shown to yield statistical errors smaller than the crude Monte Carlo using…
Quasi-Monte Carlo sampling can attain far better accuracy than plain Monte Carlo sampling. However, with plain Monte Carlo sampling it is much easier to estimate the attained accuracy. This article describes methods old and new to quantify…
While the Quasi-Monte Carlo method of numerical integration achieves smaller integration error than standard Monte Carlo, its use in particle physics phenomenology has been hindered by the abscence of a reliable way to estimate that error.…
We construct Monte Carlo methods for the $L^2$-approximation in Hilbert spaces of multivariate functions sampling no more than $n$ function values of the target function. Their errors catch up with the rate of convergence and the…
Monte Carlo simulations are methods for simulating statistical systems. The aim is to generate a representative ensemble of configurations to access thermodynamical quantities without the need to solve the system analytically or to perform…
Extant "fast" algorithms for Monte Carlo confidence sets are limited to univariate shift parameters for the one-sample and two-sample problems using the sample mean as the test statistic; moreover, some do not converge reliably and most do…
We investigate the feasibility of integrating quantum algorithms as subroutines of simulation-based optimisation problems with relevance to and potential applications in mathematical finance. To this end, we conduct a thorough analysis of…
Simulations of QCD suffer from severe critical slowing down towards the continuum limit. This problem is known to be prominent in the topological charge, however, all observables are affected to various degree by these slow modes in the…
A method for the multifidelity Monte Carlo (MFMC) estimation of statistical quantities is proposed which is applicable to computational budgets of any size. Based on a sequence of optimization problems each with a globally minimizing…
We study the sample median of independently generated quasi-Monte Carlo estimators based on randomized digital nets and prove it approximates the target integral value at almost the optimal convergence rate for various function spaces. In…
Importance sampling has been known as a powerful tool to reduce the variance of Monte Carlo estimator for rare event simulation. Based on the criterion of minimizing the variance of Monte Carlo estimator within a parametric family, we…