Bayesian Inference for partially observed SDEs Driven by Fractional Brownian Motion

We consider continuous-time diffusion models driven by fractional Brownian motion. Observations are assumed to possess a non-trivial likelihood given the latent path. Due to the non-Markovianity and high-dimensionality of the latent paths, estimating posterior expectations is a computationally challenging undertaking. We present a reparameterization framework based on the Davies and Harte method for sampling stationary Gaussian processes and use this framework to construct a Markov chain Monte Carlo algorithm that allows computationally efficient Bayesian inference. The Markov chain Monte Carlo algorithm is based on a version of hybrid Monte Carlo that delivers increased efficiency when applied on the high-dimensional latent variables arising in this context. We specify the methodology on a stochastic volatility model allowing for memory in the volatility increments through a fractional specification. The methodology is illustrated on simulated data and on the S&P500/VIX time series and is shown to be effective. Contrary to a long range dependence attribute of such models often assumed in the literature, with Hurst parameter larger than 1/2, the posterior distribution favours values smaller than 1/2, pointing towards medium range dependence

Neural-Network Quantum States, String-Bond States, and Chiral Topological States

Neural-Network Quantum States have been recently introduced as an Ansatz for describing the wave function of quantum many-body systems. We show that there are strong connections between Neural-Network Quantum States in the form of Restricted Boltzmann Machines and some classes of Tensor-Network states in arbitrary dimensions. In particular we demonstrate that short-range Restricted Boltzmann Machines are Entangled Plaquette States, while fully connected Restricted Boltzmann Machines are String-Bond States with a nonlocal geometry and low bond dimension. These results shed light on the underlying architecture of Restricted Boltzmann Machines and their efficiency at representing many-body quantum states. String-Bond States also provide a generic way of enhancing the power of Neural-Network Quantum States and a natural generalization to systems with larger local Hilbert space. We compare the advantages and drawbacks of these different classes of states and present a method to combine them together. This allows us to benefit from both the entanglement structure of Tensor Networks and the efficiency of Neural-Network Quantum States into a single Ansatz capable of targeting the wave function of strongly correlated systems. While it remains a challenge to describe states with chiral topological order using traditional Tensor Networks, we show that Neural-Network Quantum States and their String-Bond States extension can describe a lattice Fractional Quantum Hall state exactly. In addition, we provide numerical evidence that Neural-Network Quantum States can approximate a chiral spin liquid with better accuracy than Entangled Plaquette States and local String-Bond States. Our results demonstrate the efficiency of neural networks to describe complex quantum wave functions and pave the way towards the use of String-Bond States as a tool in more traditional machine-learning applications.Comment: 15 pages, 7 figure

Hierarchical fractional-step approximations and parallel kinetic Monte Carlo algorithms

We present a mathematical framework for constructing and analyzing parallel algorithms for lattice Kinetic Monte Carlo (KMC) simulations. The resulting algorithms have the capacity to simulate a wide range of spatio-temporal scales in spatially distributed, non-equilibrium physiochemical processes with complex chemistry and transport micro-mechanisms. The algorithms can be tailored to specific hierarchical parallel architectures such as multi-core processors or clusters of Graphical Processing Units (GPUs). The proposed parallel algorithms are controlled-error approximations of kinetic Monte Carlo algorithms, departing from the predominant paradigm of creating parallel KMC algorithms with exactly the same master equation as the serial one. Our methodology relies on a spatial decomposition of the Markov operator underlying the KMC algorithm into a hierarchy of operators corresponding to the processors' structure in the parallel architecture. Based on this operator decomposition, we formulate Fractional Step Approximation schemes by employing the Trotter Theorem and its random variants; these schemes, (a) determine the communication schedule} between processors, and (b) are run independently on each processor through a serial KMC simulation, called a kernel, on each fractional step time-window. Furthermore, the proposed mathematical framework allows us to rigorously justify the numerical and statistical consistency of the proposed algorithms, showing the convergence of our approximating schemes to the original serial KMC. The approach also provides a systematic evaluation of different processor communicating schedules.Comment: 34 pages, 9 figure

Variational Hilbert space truncation approach to quantum Heisenberg antiferromagnets on frustrated clusters

We study the spin-$\frac{1}{2}$ Heisenberg antiferromagnet on a series of finite-size clusters with features inspired by the fullerenes. Frustration due to the presence of pentagonal rings makes such structures challenging in the context of quantum Monte-Carlo methods. We use an exact diagonalization approach combined with a truncation method in which only the most important basis states of the Hilbert space are retained. We describe an efficient variational method for finding an optimal truncation of a given size which minimizes the error in the ground state energy. Ground state energies and spin-spin correlations are obtained for clusters with up to thirty-two sites without the need to restrict the symmetry of the structures. The results are compared to full-space calculations and to unfrustrated structures based on the honeycomb lattice.Comment: 22 pages and 12 Postscript figure