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Monte Carlo Methods and Applications最新文献

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Estimating drift and minorization coefficients for Gibbs sampling algorithms 吉布斯采样算法的漂移系数和二次化系数估计
IF 0.9
Monte Carlo Methods and Applications Pub Date : 2021-08-08 DOI: 10.1515/mcma-2021-2093
David A. Spade
{"title":"Estimating drift and minorization coefficients for Gibbs sampling algorithms","authors":"David A. Spade","doi":"10.1515/mcma-2021-2093","DOIUrl":"https://doi.org/10.1515/mcma-2021-2093","url":null,"abstract":"Abstract Gibbs samplers are common Markov chain Monte Carlo (MCMC) algorithms that are used to sample from intractable probability distributions when sampling directly from full conditional distributions is possible. These types of MCMC algorithms come up frequently in many applications, and because of their popularity it is important to have a sense of how long it takes for the Gibbs sampler to become close to its stationary distribution. To this end, it is common to rely on the values of drift and minorization coefficients to bound the mixing time of the Gibbs sampler. This manuscript provides a computational method for estimating these coefficients. Herein, we detail the several advantages of the proposed methods, as well as the limitations of this approach. These limitations are primarily related to the “curse of dimensionality”, which for these methods is caused by necessary increases in the numbers of initial states from which chains need be run and the need for an exponentially increasing number of grid points for estimation of minorization coefficients.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"27 1","pages":"195 - 209"},"PeriodicalIF":0.9,"publicationDate":"2021-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45923882","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A global random walk on grid algorithm for second order elliptic equations 二阶椭圆型方程的一种全局随机游走网格算法
IF 0.9
Monte Carlo Methods and Applications Pub Date : 2021-08-08 DOI: 10.1515/mcma-2021-2092
K. Sabelfeld, D. Smirnov
{"title":"A global random walk on grid algorithm for second order elliptic equations","authors":"K. Sabelfeld, D. Smirnov","doi":"10.1515/mcma-2021-2092","DOIUrl":"https://doi.org/10.1515/mcma-2021-2092","url":null,"abstract":"Abstract We suggest in this paper a global random walk on grid (GRWG) method for solving second order elliptic equations. The equation may have constant or variable coefficients. The GRWS method calculates the solution in any desired family of m prescribed points of the gird in contrast to the classical stochastic differential equation based Feynman–Kac formula, and the conventional random walk on spheres (RWS) algorithm as well. The method uses only N trajectories instead of mN trajectories in the RWS algorithm and the Feynman–Kac formula. The idea is based on the symmetry property of the Green function and a double randomization approach.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"27 1","pages":"211 - 225"},"PeriodicalIF":0.9,"publicationDate":"2021-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47239139","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Optimising Poisson bridge constructions for variance reduction methods 方差减少方法的泊松桥结构优化
IF 0.9
Monte Carlo Methods and Applications Pub Date : 2021-06-01 DOI: 10.1515/mcma-2021-2090
C. Beentjes
{"title":"Optimising Poisson bridge constructions for variance reduction methods","authors":"C. Beentjes","doi":"10.1515/mcma-2021-2090","DOIUrl":"https://doi.org/10.1515/mcma-2021-2090","url":null,"abstract":"Abstract In this paper we discuss different Monte Carlo (MC) approaches to generate unit-rate Poisson processes and provide an analysis of Poisson bridge constructions, which form the discrete analogue of the well-known Brownian bridge construction for a Wiener process. One of the main advantages of these Poisson bridge constructions is that they, like the Brownian bridge, can be effectively combined with variance reduction techniques. In particular, we show here, in practice and proof, how we can achieve orders of magnitude efficiency improvement over standard MC approaches when generating unit-rate Poisson processes via a synthesis of antithetic sampling and Poisson bridge constructions. At the same time we provide practical guidance as to how to implement and tune Poisson bridge methods to achieve, in a mean sense, (near) optimal performance.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"119 35","pages":"249 - 275"},"PeriodicalIF":0.9,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/mcma-2021-2090","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41248319","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models 一类连续时间状态空间模型对数似然梯度的无偏估计
IF 0.9
Monte Carlo Methods and Applications Pub Date : 2021-05-24 DOI: 10.1515/mcma-2022-2105
M. Ballesio, A. Jasra
{"title":"Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models","authors":"M. Ballesio, A. Jasra","doi":"10.1515/mcma-2022-2105","DOIUrl":"https://doi.org/10.1515/mcma-2022-2105","url":null,"abstract":"Abstract In this paper, we consider static parameter estimation for a class of continuous-time state-space models. Our goal is to obtain an unbiased estimate of the gradient of the log-likelihood (score function), which is an estimate that is unbiased even if the stochastic processes involved in the model must be discretized in time. To achieve this goal, we apply a doubly randomized scheme, that involves a novel coupled conditional particle filter (CCPF) on the second level of randomization. Our novel estimate helps facilitate the application of gradient-based estimation algorithms, such as stochastic-gradient Langevin descent. We illustrate our methodology in the context of stochastic gradient descent (SGD) in several numerical examples and compare with the Rhee–Glynn estimator.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"28 1","pages":"61 - 83"},"PeriodicalIF":0.9,"publicationDate":"2021-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44224639","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
On the existence of posterior mean for Bayesian logistic regression 关于贝叶斯逻辑回归的后验均值的存在性
IF 0.9
Monte Carlo Methods and Applications Pub Date : 2021-05-18 DOI: 10.1515/mcma-2021-2089
Huong T. T. Pham, Hoa Pham
{"title":"On the existence of posterior mean for Bayesian logistic regression","authors":"Huong T. T. Pham, Hoa Pham","doi":"10.1515/mcma-2021-2089","DOIUrl":"https://doi.org/10.1515/mcma-2021-2089","url":null,"abstract":"Abstract Existence conditions for posterior mean of Bayesian logistic regression depend on both chosen prior distributions and a likelihood function. In logistic regression, different patterns of data points can lead to finite maximum likelihood estimates (MLE) or infinite MLE of the regression coefficients. Albert and Anderson [On the existence of maximum likelihood estimates in logistic regression models, Biometrika 71 1984, 1, 1–10] gave definitions of different types of data points, which are complete separation, quasicomplete separation and overlap. Conditions for the existence of the MLE for logistic regression models were proposed under different types of data points. Based on these conditions, we propose the necessary and sufficient conditions for the existence of posterior mean under different choices of prior distributions. In this paper, a general wide class of priors, which are informative priors and non-informative priors having proper distributions and improper distributions, are considered for the existence of posterior mean. In addition, necessary and sufficient conditions for the existence of posterior mean for an individual coefficient is also proposed.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"27 1","pages":"277 - 288"},"PeriodicalIF":0.9,"publicationDate":"2021-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42211627","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Optimal potential functions for the interacting particle system method 相互作用粒子系统方法的最优势函数
IF 0.9
Monte Carlo Methods and Applications Pub Date : 2021-04-30 DOI: 10.1515/mcma-2021-2086
H. Chraibi, A. Dutfoy, T. Galtier, J. Garnier
{"title":"Optimal potential functions for the interacting particle system method","authors":"H. Chraibi, A. Dutfoy, T. Galtier, J. Garnier","doi":"10.1515/mcma-2021-2086","DOIUrl":"https://doi.org/10.1515/mcma-2021-2086","url":null,"abstract":"Abstract The assessment of the probability of a rare event with a naive Monte Carlo method is computationally intensive, so faster estimation or variance reduction methods are needed. We focus on one of these methods which is the interacting particle system (IPS) method. The method is not intrusive in the sense that the random Markov system under consideration is simulated with its original distribution, but selection steps are introduced that favor trajectories (particles) with high potential values. An unbiased estimator with reduced variance can then be proposed. The method requires to specify a set of potential functions. The choice of these functions is crucial because it determines the magnitude of the variance reduction. So far, little information was available on how to choose the potential functions. This paper provides the expressions of the optimal potential functions minimizing the asymptotic variance of the estimator of the IPS method and it proposes recommendations for the practical design of the potential functions.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"27 1","pages":"137 - 152"},"PeriodicalIF":0.9,"publicationDate":"2021-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/mcma-2021-2086","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47215554","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
On intersection volumes of confidence hyper-ellipsoids and two geometric Monte Carlo methods 置信超椭球的交体积与两种几何蒙特卡罗方法
IF 0.9
Monte Carlo Methods and Applications Pub Date : 2021-04-30 DOI: 10.1515/mcma-2021-2087
Nima Rabiei, E. Saleeby
{"title":"On intersection volumes of confidence hyper-ellipsoids and two geometric Monte Carlo methods","authors":"Nima Rabiei, E. Saleeby","doi":"10.1515/mcma-2021-2087","DOIUrl":"https://doi.org/10.1515/mcma-2021-2087","url":null,"abstract":"Abstract The intersection or the overlap region of two n-dimensional ellipsoids plays an important role in statistical decision making in a number of applications. For instance, the intersection volume of two n-dimensional ellipsoids has been employed to define dissimilarity measures in time series clustering (see [M. Bakoben, T. Bellotti and N. M. Adams, Improving clustering performance by incorporating uncertainty, Pattern Recognit. Lett. 77 2016, 28–34]). Formulas for the intersection volumes of two n-dimensional ellipsoids are not known. In this article, we first derive exact formulas to determine the intersection volume of two hyper-ellipsoids satisfying a certain condition. Then we adapt and extend two geometric type Monte Carlo methods that in principle allow us to compute the intersection volume of any two generalized convex hyper-ellipsoids. Using the exact formulas, we evaluate the performance of the two Monte Carlo methods. Our numerical experiments show that sufficiently accurate estimates can be obtained for a reasonably wide range of n, and that the sample-mean method is more efficient. Finally, we develop an elementary fast Monte Carlo method to determine, with high probability, if two n-ellipsoids are separated or overlap.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"27 1","pages":"153 - 167"},"PeriodicalIF":0.9,"publicationDate":"2021-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/mcma-2021-2087","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42105827","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems 应用于电力系统恒温负荷控制的半线性偏微分方程的完全倒向表示
IF 0.9
Monte Carlo Methods and Applications Pub Date : 2021-04-28 DOI: 10.1515/mcma-2021-2095
Lucas Izydorczyk, N. Oudjane, F. Russo
{"title":"A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems","authors":"Lucas Izydorczyk, N. Oudjane, F. Russo","doi":"10.1515/mcma-2021-2095","DOIUrl":"https://doi.org/10.1515/mcma-2021-2095","url":null,"abstract":"Abstract We propose a fully backward representation of semilinear PDEs with application to stochastic control. Based on this, we develop a fully backward Monte-Carlo scheme allowing to generate the regression grid, backwardly in time, as the value function is computed. This offers two key advantages in terms of computational efficiency and memory. First, the grid is generated adaptively in the areas of interest, and second, there is no need to store the entire grid. The performances of this technique are compared in simulations to the traditional Monte-Carlo forward-backward approach on a control problem of thermostatic loads.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"27 1","pages":"347 - 371"},"PeriodicalIF":0.9,"publicationDate":"2021-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46562974","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
On a Monte Carlo scheme for some linear stochastic partial differential equations 一类线性随机偏微分方程的蒙特卡罗格式
IF 0.9
Monte Carlo Methods and Applications Pub Date : 2021-04-24 DOI: 10.1515/mcma-2021-2088
Takuya Nakagawa, Akihiro Tanaka
{"title":"On a Monte Carlo scheme for some linear stochastic partial differential equations","authors":"Takuya Nakagawa, Akihiro Tanaka","doi":"10.1515/mcma-2021-2088","DOIUrl":"https://doi.org/10.1515/mcma-2021-2088","url":null,"abstract":"Abstract The aim of this paper is to study the simulation of the expectation for the solution of linear stochastic partial differential equation driven by the space-time white noise with the bounded measurable coefficient and different boundary conditions. We first propose a Monte Carlo type method for the expectation of the solution of a linear stochastic partial differential equation and prove an upper bound for its weak rate error. In addition, we prove the central limit theorem for the proposed method in order to obtain confidence intervals for it. As an application, the Monte Carlo scheme applies to the stochastic heat equation with various boundary conditions, and we provide the result of numerical experiments which confirm the theoretical results in this paper.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"27 1","pages":"169 - 193"},"PeriodicalIF":0.9,"publicationDate":"2021-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/mcma-2021-2088","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48351135","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Density Estimation by Monte Carlo and Quasi-Monte Carlo 蒙特卡罗和拟蒙特卡罗密度估计
IF 0.9
Monte Carlo Methods and Applications Pub Date : 2021-03-29 DOI: 10.1007/978-3-030-98319-2_1
P. L'Ecuyer, F. Puchhammer
{"title":"Density Estimation by Monte Carlo and Quasi-Monte Carlo","authors":"P. L'Ecuyer, F. Puchhammer","doi":"10.1007/978-3-030-98319-2_1","DOIUrl":"https://doi.org/10.1007/978-3-030-98319-2_1","url":null,"abstract":"","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"1 1","pages":"3-21"},"PeriodicalIF":0.9,"publicationDate":"2021-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78816726","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
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