Related papers: Asymptotics of Fixed Point Distributions for Inexa…
Hamiltonian Monte Carlo (HMC) is a Markov chain algorithm for sampling from a high-dimensional distribution with density $e^{-f(x)}$, given access to the gradient of $f$. A particular case of interest is that of a $d$-dimensional Gaussian…
Model uncertainty sets are required in many robust optimization problems, such as robust control and prediction with uncertainty, but there is no definite methodology to generate uncertainty sets for nonlinear dynamical systems. In this…
We study convergence rates of Hamiltonian Monte Carlo (HMC) algorithms with leapfrog integration under mild conditions on stochastic gradient oracle for the target distribution (SGHMC). Our method extends standard HMC by allowing the use of…
We propose a unified framework that extends the inference methods for classical hidden Markov models to continuous settings, where both the hidden states and observations occur in continuous time. Two different settings are analyzed: hidden…
The theoretical justification of the Hybrid Monte Carlo algorithm depends upon the molecular dynamics trajectories within it being exactly reversible. If computations were carried out with exact arithmetic then it would be easy to ensure…
We present a Hamiltonian Monte Carlo algorithm to sample from multivariate Gaussian distributions in which the target space is constrained by linear and quadratic inequalities or products thereof. The Hamiltonian equations of motion can be…
Due to its constrained support, the Dirichlet distribution is uniquely suited to many applications. The constraints that make it powerful, however, can also hinder practical implementations, particularly those utilizing Markov Chain Monte…
We investigate the properties of the Hybrid Monte-Carlo algorithm (HMC) in high dimensions. HMC develops a Markov chain reversible w.r.t. a given target distribution $\Pi$ by using separable Hamiltonian dynamics with potential $-\log\Pi$.…
We consider the problem of Bayesian inference for changepoints where the number and position of the changepoints are both unknown. In particular, we consider product partition models where it is possible to integrate out model parameters…
A diffusion Monte Carlo algorithm is introduced that can determine the correct nodal structure of the wave function of a few-fermion system and its ground-state energy without an uncontrolled bias. This is achieved by confining signed…
Simulation Based Calibration (SBC) is applied to analyse two commonly used, competing Markov chain Monte Carlo algorithms for estimating the posterior distribution of a stochastic volatility model. In particular, the bespoke 'off-set…
We introduce a Hamiltonian Monte Carlo (HMC) methodology based on a randomized selection of integration times, referred to as eHMC, where "e" stands for empirical. The approach relies on an offline calibration phase that leverages…
We present a modification of the Hybrid Monte Carlo algorithm for tackling the critical slowing down of generating Markov chains of lattice gauge configurations towards the continuum limit. We propose a new method to exchange information…
Based on a new coupling approach, we prove that the transition step of the Hamiltonian Monte Carlo algorithm is contractive w.r.t. a carefully designed Kantorovich (L1 Wasserstein) distance. The lower bound for the contraction rate is…
The maximum entropy principle is a powerful tool for solving underdetermined inverse problems. This paper considers the problem of discretizing a continuous distribution, which arises in various applied fields. We obtain the approximating…
The behavior of a Lattice Monte Carlo algorithm (if it is designed correctly) must approach that of the continuum system that it is designed to simulate as the time step and the mesh step tend to zero. However, we show for an algorithm for…
We investigate the performance of the hybrid Monte Carlo algorithm, the standard algorithm used for lattice QCD simulations involving fermions, in updating non-trivial global topological structures. We find that the hybrid Monte Carlo…
One of the open challenges in quantum computing is to find meaningful and practical methods to leverage quantum computation to accelerate classical machine learning workflows. A ubiquitous problem in machine learning workflows is sampling…
We provide an extension to lattice systems of the reptation quantum Monte Carlo algorithm, originally devised for continuous Hamiltonians. For systems affected by the sign problem, a method to systematically improve upon the so-called…
Performing numerical integration when the integrand itself cannot be evaluated point-wise is a challenging task that arises in statistical analysis, notably in Bayesian inference for models with intractable likelihood functions. Markov…