相关论文: A guided Monte Carlo method for optimization probl…

In recent years dynamical systems (of deterministic and stochastic nature), describing many models in mathematics, physics, engineering and finances, become more and more complex. Numerical analysis narrowed only to deterministic algorithms…

We describe and analyze some Monte Carlo methods for manifolds in Euclidean space defined by equality and inequality constraints. First, we give an MCMC sampler for probability distributions defined by un-normalized densities on such…

We use Monte Carlo techniques to simulate an organized prediction competition between a group of a scientific experts acting under the influence of a ``self-governing'' prediction reward algorithm. Our aim is to illustrate the advantages of…

Can Monte Carlo (MC) solvers be directly used in gradient-based methods for PDE-constrained optimization problems? In these problems, a gradient of the loss function is typically presented as a product of two PDE solutions, one for the…

Although Monte Carlo path tracing is a simple and effective algorithm to synthesize photo-realistic images, it is often very slow to converge to noise-free results when involving complex global illumination. One of the most successful…

The swap Monte Carlo algorithm introduces non-physical dynamic rules to accelerate the exploration of the configuration space of supercooled liquids. Its success raises deep questions regarding the nature and physical origin of the slow…

Monte Carlo Tree Search (MCTS) is a powerful algorithm for solving complex decision-making problems. This paper presents an optimized MCTS implementation applied to the FrozenLake environment, a classic reinforcement learning task…

We propose a unified framework that extends the inference methods for classical hidden Markov models to continuous settings, where both the hidden states and observations occur in continuous time. Two different settings are analyzed: hidden…

If a stochastic system during some periods of its evolution can be divided into non-interacting parts, the kinetics of each part can be simulated independently. We show that this can be used in the development of efficient Monte Carlo…

The generation of decision-theoretic Bayesian optimal designs is complicated by the significant computational challenge of minimising an analytically intractable expected loss function over a, potentially, high-dimensional design space. A…

Monte Carlo sampling techniques have broad applications in machine learning, Bayesian posterior inference, and parameter estimation. Often the target distribution takes the form of a product distribution over a dataset with a large number…

We present a new quantum Monte Carlo algorithm suitable for generically complex problems, such as systems coupled to external magnetic fields or anyons in two spatial dimensions. We find that the choice of gauge plays a nontrivial role, and…

We consider Monte Carlo algorithms for the simulation of charged lattice gases with purely local dynamics. We study the mobility of particles as a function of temperature and show that the poor mobility of particles at low temperatures is…

We present a hybrid method for time-dependent particle transport problems that combines Monte Carlo (MC) estimation with deterministic solutions based on discrete ordinates. For spatial discretizations, the MC algorithm computes a piecewise…

We combine the one-dimensional Monte Carlo simulation and the semi-analytical one-dimensional heat potential method to design an efficient technique for pricing barrier options on assets with correlated stochastic volatility. Our approach…

A recent reformulation [1] of the problem of Coulomb gases in the presence of a dynamical dielectric medium showed that finite temperature simulations of such systems can be accomplished on the basis of completely local Hamiltonians on a…

A new method for sequence optimization in protein models is presented. The approach, which has inherited its basic philosophy from recent work by Deutsch and Kurosky [Phys. Rev. Lett. 76, 323 (1996)] by maximizing conditional probabilities…

Quantum dimer model is a low-energy and efficient model to study quantum spin systems and strong-correlated physics. As a foreseeing step and without loss of generality, we study the classical dimers on square lattice by means of Monte…

The order of convergence of the Monte Carlo method is 1/2 which means that we need quadruple samples to decrease the error in half in the numerical simulation. Multilevel Monte Carlo methods reach the same order of error by spending less…

We propose a minimal generalization of the celebrated Markov-Chain Monte Carlo algorithm which allows for an arbitrary number of configurations to be visited at every Monte Carlo step. This is advantageous when a parallel computing machine…