Related papers: Adaptive Monte Carlo via Bandit Allocation

Estimating the predictive uncertainty of a Bayesian learning model is critical in various decision-making problems, e.g., reinforcement learning, detecting adversarial attack, self-driving car. As the model posterior is almost always…

We consider a bandit problem which involves sequential sampling from two populations (arms). Each arm produces a noisy reward realization which depends on an observable random covariate. The goal is to maximize cumulative expected reward.…

Approximate Bayesian computation allows for inference of complicated probabilistic models with intractable likelihoods using model simulations. The Markov chain Monte Carlo implementation of approximate Bayesian computation is often…

When dealing with difficult inverse problems such as inverse rendering, using Monte Carlo estimated gradients to optimise parameters can slow down convergence due to variance. Averaging many gradient samples in each iteration reduces this…

The Markov chain Monte Carlo method is a versatile tool in statistical physics to evaluate multi-dimensional integrals numerically. For the method to work effectively, we must consider the following key issues: the choice of ensemble, the…

Motivated by a challenging problem in financial trading we are presented with a mixture of regressions with variable selection problem. In this regard, one is faced with data which possess outliers, skewness and, simultaneously, due to the…

We propose a methodology to parallelize Hamiltonian Monte Carlo estimators. Our approach constructs a pair of Hamiltonian Monte Carlo chains that are coupled in such a way that they meet exactly after some random number of iterations. These…

We consider the combinatorial bandits problem with semi-bandit feedback under finite sampling budget constraints, in which the learner can carry out its action only for a limited number of times specified by an overall budget. The action is…

Algorithm selection is typically based on models of algorithm performance, learned during a separate offline training sequence, which can be prohibitively expensive. In recent work, we adopted an online approach, in which a performance…

The problem of optimally scaling the proposal distribution in a Markov chain Monte Carlo algorithm is critical to the quality of the generated samples. Much work has gone into obtaining such results for various Metropolis-Hastings (MH)…

A Monte Carlo method to optimize cuts on variables is presented and evaluated. The method gives a much higher signal to noise ratio than does a manual choice of cuts.

In several applications such as clinical trials and financial portfolio optimization, the expected value (or the average reward) does not satisfactorily capture the merits of a drug or a portfolio. In such applications, risk plays a crucial…

Many real-world functions are defined over both categorical and category-specific continuous variables and thus cannot be optimized by traditional Bayesian optimization (BO) methods. To optimize such functions, we propose a new method that…

In sampling tasks, it is common for target distributions to be known up to a normalizing constant. However, in many situations, even evaluating the unnormalized distribution can be costly or infeasible. This issue arises in scenarios such…

In many problems, complex non-Gaussian and/or nonlinear models are required to accurately describe a physical system of interest. In such cases, Monte Carlo algorithms are remarkably flexible and extremely powerful approaches to solve such…

We develop a novel and generic algorithm for the adversarial multi-armed bandit problem (or more generally the combinatorial semi-bandit problem). When instantiated differently, our algorithm achieves various new data-dependent regret…

An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously been applied to eliminate pricing bias that arises in applications of the standard discrete-time Monte Carlo method to evaluate options written on…

We study a regret minimization problem with the existence of multiple best/near-optimal arms in the multi-armed bandit setting. We consider the case when the number of arms/actions is comparable or much larger than the time horizon, and…

We study how the regret guarantees of nonstochastic multi-armed bandits can be improved, if the effective range of the losses in each round is small (e.g. the maximal difference between two losses in a given round). Despite a recent…

Recent advances in stochastic gradient variational inference have made it possible to perform variational Bayesian inference with posterior approximations containing auxiliary random variables. This enables us to explore a new synthesis of…