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Atomistic simulations provide valuable insights into the physical processes governing material behavior. However, their applicability is fundamentally constrained by the limited time scales accessible to brute-force simulations. This…

We consider adaptive increasingly rare Markov chain Monte Carlo (MCMC) algorithms, which are adaptive MCMC methods, where the adaptation concerning the "past'' happens less and less frequently over time. Under a contraction assumption with…

Markov Chain Monte Carlo (MCMC) methods for sampling probability density functions (combined with abundant computational resources) have transformed the sciences, especially in performing probabilistic inferences, or fitting models to data.…

Markov chain Monte Carlo (MCMC) sampling is an important and commonly used tool for the analysis of hierarchical models. Nevertheless, practitioners generally have two options for MCMC: utilize existing software that generates a black-box…

The problem of optimising functions with intractable gradients frequently arise in machine learning and statistics, ranging from maximum marginal likelihood estimation procedures to fine-tuning of generative models. Stochastic approximation…

In this paper, an approach to estimating a nonlinear deterministic model is presented. We introduce a stochastic model with extremely small variances so that the deterministic and stochastic models are essentially indistinguishable from…

The Hamiltonian Monte Carlo (HMC) sampling algorithm exploits Hamiltonian dynamics to construct efficient Markov Chain Monte Carlo (MCMC), which has become increasingly popular in machine learning and statistics. Since HMC uses the gradient…

Many problems in the physical sciences, machine learning, and statistical inference necessitate sampling from a high-dimensional, multi-modal probability distribution. Markov Chain Monte Carlo (MCMC) algorithms, the ubiquitous tool for this…

We study recurrence and transience for a particle that moves at constant velocity in the interior of an unbounded planar domain, with random reflections at the boundary governed by a Markov kernel producing outgoing angles from incoming…

We introduce bounds on the finite-time performance of Markov chain Monte Carlo algorithms in approaching the global solution of stochastic optimization problems over continuous domains. A comparison with other state-of-the-art methods…

We propose new Markov Chain Monte Carlo algorithms to sample probability distributions on submanifolds, which generalize previous methods by allowing the use of set-valued maps in the proposal step of the MCMC algorithms. The motivation for…

This article considers stochastic algorithms for efficiently solving a class of large scale non-linear least squares (NLS) problems which frequently arise in applications. We propose eight variants of a practical randomized algorithm where…

Constrained decoding enables Language Models (LMs) to produce samples that provably satisfy hard constraints. However, existing constrained-decoding approaches often distort the underlying model distribution, a limitation that is especially…

Markov chains are an important example for a course on stochastic processes because simple board games can be used to illustrate the fundamental concepts. For example, a looping board game (like Monopoly) consists of all recurrent states,…

The random numbers driving Markov chain Monte Carlo (MCMC) simulation are usually modeled as independent U(0,1) random variables. Tribble [Markov chain Monte Carlo algorithms using completely uniformly distributed driving sequences (2007)…

Stochastic approximation methods play a central role in maximum likelihood estimation problems involving intractable likelihood functions, such as marginal likelihoods arising in problems with missing or incomplete data, and in parametric…

We present a Markov chain Monte Carlo scheme based on merges and splits of groups that is capable of efficiently sampling from the posterior distribution of network partitions, defined according to the stochastic block model (SBM). We…

In this paper we propose a wide class of truncated stochastic approximation procedures with moving random bounds. While we believe that the proposed class of procedures will find its way to a wider range of applications, the main motivation…

In this article we present an algorithm to compute bounds on the marginals of a graphical model. For several small clusters of nodes upper and lower bounds on the marginal values are computed independently of the rest of the network. The…

This paper presents a detailed theoretical analysis of the three stochastic approximation proximal gradient algorithms proposed in our companion paper [49] to set regularization parameters by marginal maximum likelihood estimation. We prove…