Related papers: A Hamiltonian Monte Carlo Method for Non-Smooth En…
In this work, we examine sampling problems with non-smooth potentials. We propose a novel Markov chain Monte Carlo algorithm for sampling from non-smooth potentials. We provide a non-asymptotical analysis of our algorithm and establish a…
High-quality random samples of quantum states are needed for a variety of tasks in quantum information and quantum computation. Searching the high-dimensional quantum state space for a global maximum of an objective function with many local…
We study the problem of approximate sampling from non-log-concave distributions, e.g., Gaussian mixtures, which is often challenging even in low dimensions due to their multimodality. We focus on performing this task via Markov chain Monte…
Leveraging the coherent exploration of Hamiltonian flow, Hamiltonian Monte Carlo produces computationally efficient Monte Carlo estimators, even with respect to complex and high-dimensional target distributions. When confronted with…
Hamiltonian Monte Carlo is typically based on the assumption of an underlying canonical symplectic structure. Numerical integrators designed for the canonical structure are incompatible with motion generated by non-canonical dynamics. These…
Sampling from high dimensional distributions is a computational bottleneck in many scientific applications. Hamiltonian Monte Carlo (HMC), and in particular the No-U-Turn Sampler (NUTS), are widely used, yet they struggle on problems with a…
Hamiltonian Monte Carlo (HMC) is a powerful Markov Chain Monte Carlo (MCMC) method for sampling from complex high-dimensional continuous distributions. However, in many situations it is necessary or desirable to combine HMC with other…
Hamiltonian Monte Carlo (HMC) is a Markov chain Monte Carlo (MCMC) algorithm that avoids the random walk behavior and sensitivity to correlated parameters that plague many MCMC methods by taking a series of steps informed by first-order…
In this paper, we discuss an extension of the Split Hamiltonian Monte Carlo (Split HMC) method for Gaussian process model (GPM). This method is based on splitting the Hamiltonian in a way that allows much of the movement around the state…
Hamiltonian dynamics can be used to produce distant proposals for the Metropolis algorithm, thereby avoiding the slow exploration of the state space that results from the diffusive behaviour of simple random-walk proposals. Though…
Monte Carlo sampling techniques have broad applications in machine learning, Bayesian posterior inference, and parameter estimation. Often the target distribution takes the form of a product distribution over a dataset with a large number…
The AMIAS/RISE framework formulates emission tomography as a probabilistic inverse problem in which reconstructed images are sampled from a distribution defined by the measurement model and counting statistics. In this work we present a…
Hamiltonian Monte Carlo is a popular sampling technique for smooth target densities. The scale lengths of the target have long been known to influence integration error and sampling efficiency. However, quantitative measures intrinsic to…
We introduce a variant of the Hybrid Monte Carlo (HMC) algorithm to address large-deviation statistics in stochastic hydrodynamics. Based on the path-integral approach to stochastic (partial) differential equations, our HMC algorithm…
Value function based reinforcement learning (RL) algorithms, for example, $Q$-learning, learn optimal policies from datasets of actions, rewards, and state transitions. However, when the underlying state transition dynamics are stochastic…
We describe an MCMC method for sampling distributions with soft constraints, which are constraints that are almost but not exactly satisfied. We sample a total distribution that is a convex combination of the target soft distribution with…
State space models (SSM) have been widely applied for the analysis and visualization of large sequential datasets. Sequential Monte Carlo (SMC) is a very popular particle-based method to sample latent states from intractable posteriors.…
With its systematic exploration of probability distributions, Hamiltonian Monte Carlo is a potent Markov Chain Monte Carlo technique; it is an approach, however, ultimately contingent on the choice of a suitable Hamiltonian function. By…
Hybrid Monte Carlo (HMC) generates samples from a prescribed probability distribution in a configuration space by simulating Hamiltonian dynamics, followed by the Metropolis (-Hastings) acceptance/rejection step. Compressible HMC (CHMC)…
Hamiltonian Monte Carlo (HMC) is a powerful Markov chain Monte Carlo (MCMC) algorithm for estimating expectations with respect to continuous un-normalized probability distributions. MCMC estimators typically have higher variance than…