相关论文: Error analysis of coarse-grained kinetic Monte Car…

We analyze and compare the computational complexity of different simulation strategies for Monte Carlo in the setting of classically scaled population processes. This allows a range of widely used competing strategies to be judged…

Multilevel sampling methods, such as multilevel and multifidelity Monte Carlo, multilevel stochastic collocation, or delayed acceptance Markov chain Monte Carlo, have become standard uncertainty quantification (UQ) tools for a wide class of…

A coarse grid correction (CGC) approach is proposed to enhance the efficiency of the matrix exponential and $\varphi$ matrix function evaluations. The approach is intended for iterative methods computing the matrix-vector products with…

We propose a universal approach for analysis and fast simulations of stiff stochastic biochemical kinetics networks, which rests on elimination of fast chemical species without a loss of information about mesoscopic, non-Poissonian…

This project investigates the applicability of quasi-Monte Carlo methods to Euclidean lattice systems in order to improve the asymptotic error scaling of observables for such theories. The error of an observable calculated by averaging over…

Efficient quantum Monte Carlo update schemes called directed loops have recently been proposed, which improve the efficiency of simulations of quantum lattice models. We propose to generalize the detailed balance equations at the local…

In this article we study examples of systematic biases that can occur in quantum Monte Carlo methods due to the accumulation of non-linear expectation values, and approaches by which these errors can be corrected. We begin with a study of…

Recent advances in stochastic gradient techniques have made it possible to estimate posterior distributions from large datasets via Markov Chain Monte Carlo (MCMC). However, when the target posterior is multimodal, mixing performance is…

The low-variance direct simulation Monte Carlo (LVDSMC) is a powerful method to simulate low-speed rarefied gas flows. However, in the near-continuum flow regime, due to limitations on the time step and spatial cell size, it takes plenty of…

An extension of the synchronous parallel kinetic Monte Carlo (pkMC) algorithm developed by Martinez {\it et al} [{\it J.\ Comp.\ Phys.} {\bf 227} (2008) 3804] to discrete lattices is presented. The method solves the master equation…

In this paper, we aim to compute numerical approximation integral by using an adaptive Monte Carlo algorithm. We propose a stratified sampling algorithm based on an iterative method which splits the strata following some quantities called…

Quasi-Monte Carlo methods have become the industry standard in computer graphics. For that purpose, efficient algorithms for low discrepancy sequences are discussed. In addition, numerical pitfalls encountered in practice are revealed. We…

A Markov chain update scheme using a machine-learned flow-based generative model is proposed for Monte Carlo sampling in lattice field theories. The generative model may be optimized (trained) to produce samples from a distribution…

The stochastic simulation algorithm (SSA) and the corresponding Monte Carlo (MC) method are among the most common approaches for studying stochastic processes. They rely on knowledge of interevent probability density functions (PDFs) and on…

Stochastic gradient Markov Chain Monte Carlo (SG-MCMC) has been developed as a flexible family of scalable Bayesian sampling algorithms. However, there has been little theoretical analysis of the impact of minibatch size to the algorithm's…

A new method for the stabilization of the sign problem in the Green Function Monte Carlo technique is proposed. The method is devised for real lattice Hamiltonians and is based on an iterative ''stochastic reconfiguration'' scheme which…

Large deviations for additive path functionals of stochastic dynamics and related numerical approaches have attracted significant recent research interest. We focus on the question of convergence properties for cloning algorithms in…

Monte Carlo simulation is an unbiased numerical tool for studying classical and quantum many-body systems. One of its bottlenecks is the lack of general and efficient update algorithm for large size systems close to phase transition or with…

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…

In this work we propose a new approach for the numerical simulation of kinetic equations through Monte Carlo schemes. We introduce a new technique which permits to reduce the variance of particle methods through a matching with a set of…