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We introduce simple, efficient algorithms for computing a MinHash of a probability distribution, suitable for both sparse and dense data, with equivalent running times to the state of the art for both cases. The collision probability of…
In this paper we consider convergence rate problems for stochastic strongly-convex optimization in the non-Euclidean sense with a constraint set over a time-varying multi-agent network. We propose two efficient non-Euclidean stochastic…
We provide sufficient conditions for polynomial rate of convergence in the weak law of large numbers for supercritical general indecomposable multi-type branching processes. The main result is derived by investigating the embedded…
Markov chain Monte Carlo (MCMC) algorithms provide a very general recipe for estimating properties of complicated distributions. While their use has become commonplace and there is a large literature on MCMC theory and practice, MCMC users…
Exponential random graph models are extremely difficult models to handle from a statistical viewpoint, since their normalising constant, which depends on model parameters, is available only in very trivial cases. We show how inference can…
Stochastic gradient descent in continuous time (SGDCT) provides a computationally efficient method for the statistical learning of continuous-time models, which are widely used in science, engineering, and finance. The SGDCT algorithm…
The majority of machine learning methods can be regarded as the minimization of an unavailable risk function. To optimize the latter, given samples provided in a streaming fashion, we define a general stochastic Newton algorithm and its…
Traditional MCMC algorithms are computationally intensive and do not scale well to large data. In particular, the Metropolis-Hastings (MH) algorithm requires passing over the entire dataset to evaluate the likelihood ratio in each…
We study the process-level dynamics of Thompson sampling and related sampling-based bandit algorithms in the ``small gap'' regime, where the gaps between the arm means are of order $\sqrt{\gamma}$ or smaller and the time horizon is of order…
We study the block-coordinate forward-backward algorithm in which the blocks are updated in a random and possibly parallel manner, according to arbitrary probabilities. The algorithm allows different stepsizes along the block-coordinates to…
Delayed-acceptance Markov chain Monte Carlo (DA-MCMC) samples from a probability distribution via a two-stages version of the Metropolis-Hastings algorithm, by combining the target distribution with a "surrogate" (i.e. an approximate and…
Stochastic approximation (SA) that involves multiple coupled sequences, known as multiple-sequence SA (MSSA), finds diverse applications in the fields of signal processing and machine learning. However, existing theoretical understandings…
The present article deals with the averaging principle for a two-time-scale system of jump-diffusion stochastic differential equation. Under suitable conditions, the weak error is expanded in powers of timescale parameter. It is proved that…
The problem of sampling constrained continuous distributions has frequently appeared in many machine/statistical learning models. Many Monte Carlo Markov Chain (MCMC) sampling methods have been adapted to handle different types of…
Markov chain Monte Carlo (MCMC) is a powerful methodology for the approximation of posterior distributions. However, the iterative nature of MCMC does not naturally facilitate its use with modern highly parallel computation on HPC and cloud…
We introduce a powerful and flexible MCMC algorithm for stochastic simulation. The method builds on a pseudo-marginal method originally introduced in [Genetics 164 (2003) 1139--1160], showing how algorithms which are approximations to an…
Community detection is the problem of identifying community structure in graphs. Often the graph is modeled as a sample from the Stochastic Block Model, in which each vertex belongs to a community. The probability that two vertices are…
In this article a stochastic particle system approximation to the parametric sensitivity in the Smoluchowski coagulation equation is introduced. The parametric sensitivity is the derivative of the solution to the equation with respect to…
While machine learning algorithms hold promise for personalised medicine, their clinical adoption remains limited, partly due to biases that can compromise the reliability of predictions. In this paper, we focus on sample selection bias…
In this paper, we propose a variance reduction approach for Markov chains based on additive control variates and the minimization of an appropriate estimate for the asymptotic variance. We focus on the particular case when control variates…