Variational upper and lower bounds on quantum free energy and energy differences via path integral Monte Carlo

1995 ◽  
Vol 102 (10) ◽  
pp. 4151-4159 ◽  
Author(s):  
Gordon J. Hogenson ◽  
William P. Reinhardt
Keyword(s):  
Monte Carlo ◽  
Free Energy ◽  
Lower Bounds ◽  
Path Integral ◽  
Upper And Lower Bounds ◽  
Path Integral Monte Carlo

scholarly journals Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations

2020 ◽  
Vol 26 (2) ◽  
pp. 131-161
Author(s):  
Florian Bourgey ◽  
Stefano De Marco ◽  
Emmanuel Gobet ◽  
Alexandre Zhou
Keyword(s):  
Monte Carlo ◽  
Lower Bounds ◽  
Asymptotic Optimality ◽  
Upper Bounds ◽  
Upper And Lower Bounds ◽  
Independent Random Variables ◽  
Outer Function ◽  
Control Problems ◽  
Multilevel Monte Carlo ◽  
Primal Dual

AbstractThe multilevel Monte Carlo (MLMC) method developed by M. B. Giles [Multilevel Monte Carlo path simulation, Oper. Res. 56 2008, 3, 607–617] has a natural application to the evaluation of nested expectations {\mathbb{E}[g(\mathbb{E}[f(X,Y)|X])]}, where {f,g} are functions and {(X,Y)} a couple of independent random variables. Apart from the pricing of American-type derivatives, such computations arise in a large variety of risk valuations (VaR or CVaR of a portfolio, CVA), and in the assessment of margin costs for centrally cleared portfolios. In this work, we focus on the computation of initial margin. We analyze the properties of corresponding MLMC estimators, for which we provide results of asymptotic optimality; at the technical level, we have to deal with limited regularity of the outer function g (which might fail to be everywhere differentiable). Parallel to this, we investigate upper and lower bounds for nested expectations as above, in the spirit of primal-dual algorithms for stochastic control problems.

Constructing accurate interaction potentials to describe the microsolvation of protonated methane by helium atoms

2017 ◽  
Vol 19 (12) ◽  
pp. 8307-8321 ◽  
Author(s):  
Dennis Kuchenbecker ◽  
Felix Uhl ◽  
Harald Forbert ◽  
Georg Jansen ◽  
Dominik Marx
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Simulations ◽  
Ab Initio ◽  
Path Integral ◽  
Interaction Potential ◽  
Stationary Point ◽  
Path Integral Monte Carlo ◽  
Interaction Potentials ◽  
Helium Atoms

An ab initio-derived interaction potential is derived and used in path integral Monte Carlo simulations to investigate stationary-point structures of CH5+ microsolvated by up to four helium atoms.

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