Monte Carlo method and sensitivity estimations

Denoising Monte Carlo sensitivity estimates

Monte Carlo methods are in widespread use both in academia and industry. We are, in particular, interested in improving sensitivity estimates obtained from Monte Carlo experiments with respect to given parameter values, motivated by, but not restricted to, financial applications. Denoising and interpolation methods, which have been used for a long time in many different areas, are proposed in a...

The Monte-Carlo Method

The Monte Carlo Method

The Monte Carlo method is often referred to as a ‘computer experiment’. One might think of this as a way of conveying the fact that the output of simulations is not an equation, as in conventional theory. Instead, numbers appear on the computer screen in somewhat the same way that numbers appear on a measuring device in the laboratory. Thus there is the implication that somehow simulations are ...

Monte Carlo Simulation Method

Quantum Monte Carlo (QMC) methods such as Variational Monte Carlo, Diffusion Monte Carlo or Path Integral Monte Carlo are the most accurate and general methods for computing total electronic energies. We will review methods we have developed to perform QMC for the electrons coupled to another MC simulation for the ions. In this method, one estimates the Born-Oppenheimer energy E(Z) where Z repr...

The Monte Carlo Method

The Monte Carlo method is often referred to as a ‘computer experiment’. One might think of this as a way of conveying the fact that the output of simulations is not an equation, as in conventional theory. Instead, numbers appear on the computer screen in somewhat the same way that numbers appear on a measuring device in the laboratory. Thus there is the implication that somehow simulations are ...