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This 3 hour course provides a detailed overview of grid-free Monte Carlo methods for solving partial differential equations (PDEs) based on the walk on spheres (WoS) algorithm, with a special emphasis on problems with high geometric complexity. PDEs are a basic building block of models and algorithms used throughout science, engineering and visual computing. Yet despite decades of research, conventional PDE solvers struggle to capture the immense geometric complexity of the natural world. A perennial challenge is spatial discretization: traditionally, one must partition the domain into a high-quality volumetric mesh—a process that can be brittle, memory intensive, and difficult to parallelize. WoS makes a radical departure from this approach, by reformulating the problem in terms of recursive integral equations that can be estimated using the Monte Carlo method, eliminating the need for spatial discretization. Since these equations strongly resemble those found in light transport theory, one can leverage deep knowledge from Monte Carlo rendering to develop new PDE solvers that share many of its advantages: no meshing, trivial parallelism, and the ability to evaluate the solution at any point without solving a global system of equations. The course is divided into two parts. Part I will cover the basics of using WoS to solve fundamental PDEs like the Poisson equation. Topics include formulating the solution as an integral equation, generating samples via recursive random walks, and employing accelerated distance and ray intersection queries to efficiently handle complex geometries. Participants will also gain experience setting up demo applications involving data interpolation, heat transfer, and geometric optimization using the open-source “Zombie” library, which implements various grid-free Monte Carlo PDE solvers. Part II will feature a mini-panel of academic and industry contributors covering advanced topics including variance reduction, differentiable and multi-physics simulation, and applications in industrial design and robust geometry processing. 

We introduce a Monte Carlo method for computing derivatives of the solution to a partial differential equation (PDE) with respect to problem parameters (such as domain geometry or boundary conditions). Derivatives can be evaluated at arbitrary points, without performing a global solve or constructing a volumetric grid or mesh. The method is hence well suited to inverse problems with complex geometry, such as PDE-constrained shape optimization. Like other walk on spheres (WoS) algorithms, our method is trivial to parallelize, and is agnostic to boundary representation (meshes, splines, implicit surfaces, etc.), supporting large topological changes. We focus in particular on screened Poisson equations, which model diverse problems from scientific and geometric computing. As in differentiable rendering, we jointly estimate derivatives with respect to all parameters—hence, cost does not grow significantly with parameter count. In practice, even noisy derivative estimates exhibit fast, stable convergence for stochastic gradient-based optimization, as we show through examples from thermal design, shape from diffusion, and computer graphics. 

We introduce a suite of path sampling methods for differentiable rendering of scene parameters that do not induce visibility-driven discontinuities, such as BRDF parameters. We begin by deriving a path integral formulation for differentiable rendering of such parameters, which we then use to derive methods that importance sample paths according to this formulation. Our methods are analogous to path tracing and path tracing with next event estimation for primal rendering, have linear complexity, and can be implemented efficiently using path replay backpropagation. Our methods readily benefit from differential BRDF sampling routines, and can be further enhanced using multiple importance sampling and a loss-aware pixel-space adaptive sampling procedure tailored to our path integral formulation. We show experimentally that our methods reduce variance in rendered gradients by potentially orders of magnitude, and thus help accelerate inverse rendering optimization of BRDF parameters. 

We introduce a method for high-quality 3D reconstruction from multi-view images. Our method uses a new point-based representation, the regularized dipole sum, which generalizes the winding number to allow for interpolation of per-point attributes in point clouds with noisy or outlier points. Using regularized dipole sums, we represent implicit geometry and radiance fields as per-point attributes of a dense point cloud, which we initialize from structure from motion. We additionally derive Barnes-Hut fast summation schemes for accelerated forward and adjoint dipole sum queries. These queries facilitate the use of ray tracing to efficiently and differentiably render images with our point-based representations, and thus update their point attributes to optimize scene geometry and appearance. We evaluate our method in inverse rendering applications against state-of-the-art alternatives, based on ray tracing of neural representations or rasterization of Gaussian point-based representations. Our method significantly improves 3D reconstruction quality and robustness at equal runtimes, while also supporting more general rendering methods such as shadow rays for direct illumination. 

We introduce Doppler time-of-flight (D-ToF) rendering, an extension of ToF rendering for dynamic scenes, with applications in simulating D-ToF cameras. D-ToF cameras use high-frequency modulation of illumination and exposure, and measure the Doppler frequency shift to compute the radial velocity of dynamic objects. The time-varying scene geometry and high-frequency modulation functions used in such cameras make it challenging to accurately and efficiently simulate their measurements with existing ToF rendering algorithms. We overcome these challenges in a twofold manner: To achieve accuracy, we derive path integral expressions for D-ToF measurements under global illumination and form unbiased Monte Carlo estimates of these integrals. To achieve efficiency, we develop a tailored time-path sampling technique that combines antithetic time sampling with correlated path sampling. We show experimentally that our sampling technique achieves up to two orders of magnitude lower variance compared to naive time-path sampling. We provide an open-source simulator that serves as a digital twin for D-ToF imaging systems, allowing imaging researchers, for the first time, to investigate the impact of modulation functions, material properties, and global illumination on D-ToF imaging performance. 

We introduce a Monte Carlo method for computing derivatives of the solution to a partial differential equation (PDE) with respect to problem parameters (such as domain geometry or boundary conditions). Derivatives can be evaluated at arbitrary points, without performing a global solve or constructing a volumetric grid or mesh. The method is hence well suited to inverse problems with complex geometry, such as PDE-constrained shape optimization. Like otherwalk on spheres (WoS)algorithms, our method is trivial to parallelize, and is agnostic to boundary representation (meshes, splines, implicit surfaces,etc.), supporting large topological changes. We focus in particular on screened Poisson equations, which model diverse problems from scientific and geometric computing. As in differentiable rendering, we jointly estimate derivatives with respect to all parameters---hence, cost does not grow significantly with parameter count. In practice, even noisy derivative estimates exhibit fast, stable convergence for stochastic gradient-based optimization, as we show through examples from thermal design, shape from diffusion, and computer graphics. 

Abstract Ultrasonically-sculpted gradient-index optical waveguides enable non-invasive light confinement inside scattering media. The confinement level strongly depends on ultrasound parameters (e.g., amplitude, frequency), and medium optical properties (e.g., extinction coefficient). We develop a physically-accurate simulator, and use it to quantify these dependencies for a radially-symmetric virtual optical waveguide. Our analysis provides insights for optimizing virtual optical waveguides for given applications. We leverage these insights to configure virtual optical waveguides that improve light confinement fourfold compared to previous configurations at five mean free paths. We show that virtual optical waveguides enhance light throughput by 50% compared to an ideal external lens, in a medium with bladder-like optical properties at one transport mean free path. We corroborate these simulation findings with real experiments: we demonstrate, for the first time, that virtual optical waveguides recycle scattered light, and enhance light throughput by 15% compared to an external lens at five transport mean free paths.