Questions tagged [monte-carlo]

Questions on Monte Carlo methods, methods that require the repeated generation of (pseudo-, quasi-)random numbers for computing their results.

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25
votes
4answers
7k views

How to add large exponential terms reliably without overflow errors?

A very common problem in Markov Chain Monte Carlo involves computing probabilities that are sum of large exponential terms, $ e^{a_1} + e^{a_2} + ... $ where the components of $a$ can range from ...
14
votes
3answers
701 views

PDEs in Many Dimensions

I know that most methods of finding approximate solutions to PDEs scale poorly with the number of dimensions, and that Monte Carlo is used for situations that call for ~100 dimensions. What are good ...
13
votes
5answers
5k views

How can I approximate an improper integral?

I have a function $f(x,y,z)$ such that $\int_{R^3} f(x,y,z)dV$ is finite, and I want to approximate this integral. I'm familiar with quadrature rules and monte carlo approximations of integrals, ...
7
votes
6answers
7k views

Python implementations of Gillespie's direct method

I'm looking for a decent implementation of Gillespie's Direct Method in Python, as if I code the algorithm myself I'm nigh positive I'll do it inefficiently. Anyone have a favorite?
7
votes
2answers
2k views

Minimum image convention for triclinic unit cell

The minimum image convention (MIC), see for example a short note of W. Smith, is often used in molecular dynamics or monte carlo simulations of periodic systems with an orthorhombic unit cell. For ...