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
8k 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
715 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 ...
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 ...
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
8k 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?