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We consider the constrained sampling problem where the goal is to sample from a target distribution on a constrained domain. We propose skew-reflected non-reversible Langevin dynamics (SRNLD), a continuous-time stochastic differential…
Energy-Based Models (EBMs) allow for extremely flexible specifications of probability distributions. However, they do not provide a mechanism for obtaining exact samples from these distributions. Monte Carlo techniques can aid us in…
We analyze the convergence rate of the randomized Newton-like method introduced by Qu et. al. (2016) for smooth and convex objectives, which uses random coordinate blocks of a Hessian-over-approximation matrix $\bM$ instead of the true…
In Bayesian inference, we seek to compute information about random variables such as moments or quantiles on the basis of {available data} and prior information. When the distribution of random variables is {intractable}, Monte Carlo (MC)…
Many machine learning problems involve Monte Carlo gradient estimators. As a prominent example, we focus on Monte Carlo variational inference (MCVI) in this paper. The performance of MCVI crucially depends on the variance of its stochastic…
The Markov Chain Monte Carlo (MCMC) methods are popular when considering sampling from a high-dimensional random variable $\mathbf{x}$ with possibly unnormalised probability density $p$ and observed data $\mathbf{d}$. However, MCMC requires…
Recently, iterative Quasi-Monte Carlo (iQMC) was introduced as a new method of neutron transport which combines deterministic iterative methods and quasi-Monte Carlo simulation for more efficient solutions to the neutron transport equation.…
This work considers the problem of sampling from a probability distribution known up to a normalization constant while satisfying a set of statistical constraints specified by the expected values of general nonlinear functions. This problem…
Markov chain Monte Carlo methods have become standard tools in statistics to sample from complex probability measures. Many available techniques rely on discrete-time reversible Markov chains whose transition kernels build up over the…
This thesis presents Regenerative Rejection Sampling (RRS), a novel approximate sampling algorithm inspired by classical Rejection Sampling and Markov Chain Monte Carlo methods. The method constructs a continuous-time regenerative process…
Kernel discrepancies are a powerful tool for analyzing worst-case errors in quasi-Monte Carlo (QMC) methods. Building on recent advances in optimizing such discrepancy measures, we extend the subset selection problem to the setting of…
Quantum annealing (QA) with a transverse field often fails to sample degenerate ground states fairly, limiting applicability to problems requiring diverse optimal solutions. Although Quantum Monte Carlo (QMC) is widely used to simulate QA,…
We investigate the stability of a Sequential Monte Carlo (SMC) method applied to the problem of sampling from a target distribution on $\mathbb{R}^d$ for large $d$. It is well known that using a single importance sampling step one produces…
The framework of distribution testing is currently ubiquitous in the field of property testing. In this model, the input is a probability distribution accessible via independently drawn samples from an oracle. The testing task is to…
Slice sampling is a well-established Markov chain Monte Carlo method for (approximate) sampling of target distributions which are only known up to a normalizing constant. The method is based on choosing a new state on a slice, i.e., a…
We introduce Reflective Hamiltonian Monte Carlo (ReHMC), an HMC-based algorithm, to sample from a log-concave distribution restricted to a convex body. We prove that, starting from a warm start, the walk mixes to a log-concave target…
Importance sampling (IS) is valuable in reducing the variance of Monte Carlo sampling for many areas, including finance, rare event simulation, and Bayesian inference. It is natural and obvious to combine quasi-Monte Carlo (QMC) methods…
A new method, based on a Reverse Monte Carlo technique and aimed at the inverse problem in the analysis of interstellar (intergalactic) absorption lines is presented. We consider the process of line formation in media with a stochastic…
We investigate the application of randomized quasi-Monte Carlo (RQMC) methods in random feature approximations for kernel-based learning. Compared to the classical Monte Carlo (MC) approach \citep{rahimi2007random}, RQMC improves the…
The Robbins-Monro stochastic approximation algorithm is a foundation of many algorithmic frameworks for reinforcement learning (RL), and often an efficient approach to solving (or approximating the solution to) complex optimal control…