train_PGD_MC_complex.py: training PGD-MC algorithm for recovering speckle-free real-valued reflectivity image from complex-valued holographic measurements with speckle. PGD_MC_complex.py: ...

Monte Carlo-based pricing and Greek estimation toolkit for European, Asian arithmetic, and barrier options under geometric Brownian motion. Includes analytic Black-Scholes benchmarks, ...

Hamiltonian Monte Carlo has proven a remarkable empirical success, but only recently have we begun to develop a rigorous under- standing of why it performs so well on difficult problems and how it is ...