Related papers: Optimizing the eigenvector computation algorithm w…
In this paper we present new ideas to accelerate the computation of the eigenvector of the transition matrix associated to the PageRank algorithm. New ideas are based on the decomposition of the matrix-vector product that can be seen as a…
Markov chain Monte Carlo samplers based on discretizations of (overdamped) Langevin dynamics are commonly used in the Bayesian inference and computational statistical physics literature to estimate high-dimensional integrals. One can…
In this paper we consider a new probability sampling methods based on Langevin diffusion dynamics to resolve the problem of existing Monte Carlo algorithms when draw samples from high dimensional target densities. We extent…
In this paper, we propose a new ranking method inspired from previous results on the diffusion approach to solve linear equation. We describe new mathematical equations corresponding to this method and show through experimental results the…
This paper presents a diffusion based probabilistic interpretation of spectral clustering and dimensionality reduction algorithms that use the eigenvectors of the normalized graph Laplacian. Given the pairwise adjacency matrix of all…
Computational procedures for the stationary probability distribution, the group inverse of the Markovian kernel and the mean first passage times of an irreducible Markov chain, are developed using perturbations. The derivation of these…
Adaptive networks are suitable for decentralized inference tasks, e.g., to monitor complex natural phenomena. Recent research works have intensively studied distributed optimization problems in the case where the nodes have to estimate a…
We derive and analyze new diffusion approximations of stationary distributions of Markov chains that are based on second- and higher-order terms in the expansion of the Markov chain generator. Our approximations achieve a higher degree of…
We develop exact Markov chain Monte Carlo methods for discretely-sampled, directly and indirectly observed diffusions. The qualification "exact" refers to the fact that the invariant and limiting distribution of the Markov chains is the…
The objective of this paper is to investigate a new numerical method for the approximation of the self-diffusion matrix of a tagged particle process defined on a grid. While standard numerical methods make use of long-time averages of…
We present a new algorithm to optimize distributions defined implicitly by parameterized stochastic diffusions. Doing so allows us to modify the outcome distribution of sampling processes by optimizing over their parameters. We introduce a…
In this paper, we study a Markov chain-based stochastic gradient algorithm in general Hilbert spaces, aiming at approximating the optimal solution of a quadratic loss function. We establish probabilistic upper bounds on its convergence. We…
Bayesian inference for nonlinear diffusions, observed at discrete times, is a challenging task that has prompted the development of a number of algorithms, mainly within the computational statistics community. We propose a new direction,…
Diffusions are a fundamental class of models in many fields, including finance, engineering, and biology. Simulating diffusions is challenging as their sample paths are infinite-dimensional and their transition functions are typically…
We address the problem of identifying the dynamical law governing the evolution of a population of indistinguishable particles, when only aggregate distributions at successive times are observed. Assuming a Markovian evolution on a discrete…
Eigenvectors of matrices on a network have been used for understanding spectral clustering and influence of a vertex. For matrices with small geodesic-width, we propose a distributed iterative algorithm in this letter to find eigenvectors…
The aim of this paper is to propose diffusion strategies for distributed estimation over adaptive networks, assuming the presence of spatially correlated measurements distributed according to a Gaussian Markov random field (GMRF) model. The…
A Monte Carlo method for computing the action of a matrix exponential for a certain class of matrices on a vector is proposed. The method is based on generating random paths, which evolve through the indices of the matrix, governed by a…
Often computational models are too expensive to be solved in the entire domain of simulation, and a cheaper model would suffice away from the main zone of interest. We present for the concrete example of an evolution problem of advection…
Recent work incorporating geometric ideas in Markov chain Monte Carlo is reviewed in order to highlight these advances and their possible application in a range of domains beyond Statistics. A full exposition of Markov chains and their use…