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math.PR2024
On the Particle Approximation of Lagged Feynman-Kac Formulae
Elsiddig Awadelkarim, Michel Caffarel, Pierre Del Moral +1
In this paper we examine the numerical approximation of the limiting invariant measure associated with Feynman-Kac formulae. These are expressed in a discrete time formulation and…
math.ST2024
On the Mathematical foundations of Diffusion Monte Carlo
Michel Caffarel, Pierre del Moral, Luc de Montella
The Diffusion Monte Carlo method with constant number of walkers, also called Stochastic Reconfiguration as well as Sequential Monte Carlo, is a widely used Monte Carlo methodology…