相关论文: An Efficient Modified "Walk On Spheres" Algorithm …
Markov chain Monte Carlo methods such as Gibbs sampling and simple forms of the Metropolis algorithm typically move about the distribution being sampled via a random walk. For the complex, high-dimensional distributions commonly encountered…
In this work, we develop a probabilistic estimator for the voltage-to-current map arising in electrical impedance tomography. This novel so-called partially reflecting random walk on spheres estimator enables Monte Carlo methods to compute…
Grid-free Monte Carlo methods such as walk on spheres can be used to solve elliptic partial differential equations without mesh generation or global solves. However, such methods independently estimate the solution at every point, and hence…
Particle swarm optimization comes under lot of changes after James Kennedy and Russell Eberhart first proposes the idea in 1995. The changes has been done mainly on Inertia parameters in velocity updating equation so that the convergence…
In this paper, we present a stochastic method for the simulation of Laplace's equation with a mixed boundary condition in planar domains that are polygonal or bounded by circular arcs. We call this method the Reflected Walk-on-Spheres…
We introduce a lattice random walk discretisation scheme for stochastic differential equations (SDEs) that samples binary or ternary increments at each step, suppressing complex drift and diffusion computations to simple 1 or 2 bit random…
The random walk Metropolis (RWM) is one of the most common Markov chain Monte Carlo algorithms in practical use today. Its theoretical properties have been extensively explored for certain classes of target, and a number of results with…
In this paper we study the asymptotic behavior of the Random-Walk Metropolis algorithm on probability densities with two different `scales', where most of the probability mass is distributed along certain key directions with the…
Motivated by variational inference methods, we propose a zeroth-order algorithm for solving optimization problems in the space of Gaussian probability measures. The algorithm is based on an interacting system of Gaussian particles that…
A review of the Loop Algorithm, its generalizations, and its relation to some other Monte Carlo techniques is given. The loop algorithm is a Quantum Monte Carlo procedure which employs nonlocal changes of worldline configurations,…
We describe a novel algorithm for rounding packing integer programs based on multidimensional Brownian motion in $\mathbb{R}^n$. Starting from an optimal fractional feasible solution $\bar{x}$, the procedure converges in polynomial time to…
The recently developed bag-of-paths (BoP) framework consists in setting a Gibbs-Boltzmann distribution on all feasible paths of a graph. This probability distribution favors short paths over long ones, with a free parameter (the temperature…
The paper analyzes a specific class of random walks on quotients of $X:=\text{SL}(k,{\Bbb R})/ \Gamma$ for a lattice $\Gamma$. Consider a one parameter diagonal subgroup, $\{g_t\}$, with an associated abelian expanding horosphere, $U\cong…
We focus on the problem of performing random walks efficiently in a distributed network. Given bandwidth constraints, the goal is to minimize the number of rounds required to obtain a random walk sample. We first present a fast sublinear…
Performing random walks in networks is a fundamental primitive that has found applications in many areas of computer science, including distributed computing. In this paper, we focus on the problem of sampling random walks efficiently in a…
This paper presents a simple model that mimics quantum mechanics (QM) results in terms of probability fields of free particles subject to self-interference, without using Schr\"{o}dinger equation or wavefunctions. Unlike the standard QM…
A variational approach is used to develop a robust numerical procedure for solving the nonlinear Poisson-Boltzmann equation. Following Maggs et al., we construct an appropriate constrained free energy functional, such that its…
We introduce a discrete time reflected scheme to solve doubly reflected Backward Stochastic Differential Equations with jumps (in short DRBSDEs), driven by a Brownian motion and an independent compensated Poisson process. As in…
The movement of many organisms can be described as a random walk at either or both the individual and population level. The rules for this random walk are based on complex biological processes and it may be difficult to develop a tractable,…
We present an efficient general method for realizing a quantum walk operator corresponding to an arbitrary sparse classical random walk. Our approach is based on Grover and Rudolph's method for preparing coherent versions of efficiently…