Monte Carlo Accelerated Methods

  1. "Importance sampling for stochastic reaction-diffusion equations in the moderate deviation regime", (with Ioannis Gasteratos and Mickey Salins), Stochastics and Partial Differential Equations: Analysis and Computations, (2023), [ArXiv preprint], to appear.
  2. "Geometry-informed irreversible perturbations for accelerated convergence of Langevin dynamics", (with Benjamin J. Zhang, Youssef M. Marzouk), 2022, Statistics and Computing, 32, Article number: 78 (2022), [ArXiv preprint].
  3. "Disentangling positive and negative partisanship in affective polarization using a coevolving latent space network with attractors model", (with Xiaojing Zhu, Cantay Caliskan, Dino P. Christenson, Dylan Walker, Eric D. Kolaczyk), 2023, Journal of the Royal Statistical Society: Series A, [ArXiv preprint], [CODE], to appear.
  4. "Information geometry for approximate Bayesian computation", 2020, SIAM/ASA Journal on Uncertainty Quantification, Vol. 8, Issue 1, pp. 229--260 [ArXiv preprint].
  5. "Optimal scaling of the MALA algorithm with irreversible proposals for Gaussian targets", (with Michela Ottobre and Natesh S. Pillai), 2020, Stochastics and Partial Differential Equations: Analysis and Computations, Vol. 8, pp. 311--361 [ArXiv preprint]
  6. "Analysis of multiscale integrators for multiple attractors and irreversible Langevin samplers", (with Jianfeng Lu), 2018, SIAM Multiscale Modeling and simulation , Vol. 16, Issue 4, pp. 1859--1883. [ArXiv preprint].
  7. "Sequential Monte Carlo for fractional Stochastic Volatility Models", (with Alexandra Chronopoulou), 2018, Quantitative Finance , Vol. 18, Issue 3, pp. 507--517, [ArXiv preprint].
  8. "Rare event simulation via importance sampling for linear SPDE's", (with Michael Salins), 2017, Stochastics and Partial Differential Equations: Analysis and Computations, Vol. 5, Issue 4, pp. 652-690, [ArXiv preprint].
  9. "Improving the convergence of reversible samplers", (with Luc Rey-Bellet), 2016, Journal of Statistical Physics , August 2016, Vol. 164, Issue 3, pp. 472-494, [ArXiv preprint].
  10. "Rare event simulation for multiscale diffusions in random environments", 2015, SIAM Multiscale Modeling and Simulation , Vol. 13, No. 4, pp. 1290--1311 [ArXiv preprint].
  11. "Escaping from an Attractor: Importance Sampling and Rest Points I", (with Paul Dupuis and Xiang Zhou), 2015, Annals of Applied Probability , Vol. 25, No. 5, pp. 2909-2958, [ArXiv preprint]
  12. "Irreversible Langevin samplers and variance reduction: a large deviation approach", (with Luc Rey-Bellet), 2015, Nonlinearity , Vol. 28, pp. 2081-2103, [ArXiv preprint]
  13. "Variance reduction for irreversible Langevin samplers and diffusion on graphs", (with Luc Rey-Bellet), 2015, Electronic Communications in Probability, Vol. 20, (2015), no. 15, pp. 1-16, [ArXiv preprint].
  14. "Non-asymptotic performance analysis of importance sampling schemes for small noise diffusions", 2015, Journal of Applied Probability , Vol. 52, pp. 1-14, [ArXiv preprint]
  15. "Rare event simulation in the neighborhood of a rest point", (with Paul Dupuis), 2014, Winter Simulation Conference, article in pdf , (IEEE, 2014), pp. 564-573 .
  16. "Large Deviations and Importance Sampling for Systems of Slow-Fast Motion", 2013, Applied Mathematics and Optimization, Vol. 67, pp. 123-161, [ArXiv preprint]
  17. "Importance Sampling for Multiscale Diffusions", (with Paul Dupuis and Hui Wang), 2012, SIAM Multiscale Modeling and Simulation , Vol. 12, No. 1, pp. 1-27, [ArXiv preprint].
  18. "Rare Event Simulation in Rough Energy Landscapes", (with Paul Dupuis and Hui Wang), 2011, Winter Simulation Conference, article in pdf , (IEEE, 2011), pp. 504-515.