相关论文: Dynamical Monte Carlo method for stochastic epidem…

We introduce a powerful and flexible MCMC algorithm for stochastic simulation. The method builds on a pseudo-marginal method originally introduced in [Genetics 164 (2003) 1139--1160], showing how algorithms which are approximations to an…

We develop a diagrammatic Monte Carlo method for the real-time dynamics of dissipative quantum impurity models. These are small open quantum systems with interaction and local Markovian dissipation, coupled to a large quantum bath. Our…

We introduce a new method for inference in stochastic epidemic models which uses recursive multinomial approximations to integrate over unobserved variables and thus circumvent likelihood intractability. The method is applicable to a class…

This paper concerns the numerical approximation for the invariant distribution of Markovian switching L\'evy-driven stochastic differential equations. By combining the tamed-adaptive Euler-Maruyama scheme with the Multi-level Monte Carlo…

We propose that a combination of the semiclassical approximation with Monte Carlo simulations can be an efficient and reliable impurity solver for dynamical mean field theory equations and their cluster extensions with large cluster sizes.…

We consider a continuous-time Markov chain model of SIR disease dynamics with two levels of mixing. For this so-called stochastic households model, we provide two methods for inferring the model parameters---governing within-household…

The Dynamic Monte Carlo (DMC) method is an established molecular simulation technique for the analysis of the dynamics in colloidal suspensions. An excellent alternative to Brownian Dynamics or Molecular Dynamics simulation, DMC is…

We study Runge-Kutta methods for rough differential equations which can be used to calculate solutions to stochastic differential equations driven by processes that are rougher than a Brownian motion. We use a Taylor series representation…

Quasi-Monte Carlo methods have proven to be effective extensions of traditional Monte Carlo methods in, amongst others, problems of quadrature and the sample path simulation of stochastic differential equations. By replacing the random…

We introduce an exact Monte Carlo approach to the statistics of discrete quantum systems which does not rely on the standard fragmentation of the imaginary time, or any small parameter. The method deals with discrete objects, kinks,…

We introduce a new Monte Carlo method by incorporating a guided distribution function to the conventional Monte Carlo method. In this way, the efficiency of Monte Carlo methods is drastically improved. To further speed up the algorithm, we…

Here we propose and implement a generalized mathematical model to find the time evolution of population in infectious diseases and apply the model to study the recent COVID-19 pandemic. Our model at the core is a non-local generalization of…

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…

We present a new method for simulating Markovian jump processes with time-dependent transitions rates, which avoids the transformation of random numbers by inverting time integrals over the rates. It relies on constructing a sequence of…

The problem of optimising functions with intractable gradients frequently arise in machine learning and statistics, ranging from maximum marginal likelihood estimation procedures to fine-tuning of generative models. Stochastic approximation…

In this paper, we address technical difficulties that arise when applying Markov chain Monte Carlo (MCMC) to hierarchical models designed to perform clustering in the space of latent parameters of subject-wise generative models.…

We develop a stochastic two-patch epidemic model with nonlinear recidivism to investigate infectious disease dynamics in heterogeneous populations. Extending a deterministic framework, we introduce stochasticity to account for random…

Quantum algorithms offer the potential for significant computational advantages; however, in many cases, it remains unclear how these advantages can be practically realized. Causal Set Theory is a discrete, Lorentz-invariant approach to…

Estimating failure probabilities of engineering systems is an important problem in many engineering fields. In this work we consider such problems where the failure probability is extremely small (e.g $\leq10^{-10}$). In this case, standard…

We introduce a novel Multi-Order Monte Carlo approach for uncertainty quantification in the context of multiscale time-dependent partial differential equations. The new framework leverages Implicit-Explicit Runge-Kutta time integrators to…