Related papers: A Complete Recipe for Stochastic Gradient MCMC

Markov chain Monte Carlo (MCMC) is a sampling-based method for estimating features of probability distributions. MCMC methods produce a serially correlated, yet representative, sample from the desired distribution. As such it can be…

Performing Bayesian inference via Markov chain Monte Carlo (MCMC) can be exceedingly expensive when posterior evaluations invoke the evaluation of a computationally expensive model, such as a system of partial differential equations. In…

This paper explores the application of methods from information geometry to the sequential Monte Carlo (SMC) sampler. In particular the Riemannian manifold Metropolis-adjusted Langevin algorithm (mMALA) is adapted for the transition kernels…

Using Markov chain Monte Carlo to sample from posterior distributions was the key innovation which made Bayesian data analysis practical. Notoriously, however, MCMC is hard to tune, hard to diagnose, and hard to parallelize. This…

Markov chain Monte Carlo (MCMC) is a simulation method commonly used for estimating expectations with respect to a given distribution. We consider estimating the covariance matrix of the asymptotic multivariate normal distribution of a…

Parallel Markov Chain Monte Carlo (pMCMC) algorithms generate clouds of proposals at each step to efficiently resolve a target probability distribution. We build a rigorous foundational framework for pMCMC algorithms that situates these…

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.…

We develop a novel class of MCMC algorithms based on a stochastized Nesterov scheme. With an appropriate addition of noise, the result is a time-inhomogeneous underdamped Langevin equation, which we prove emits a specified target…

Sampling from high-dimensional distributions has wide applications in data science and machine learning but poses significant computational challenges. We introduce Subspace Langevin Monte Carlo (SLMC), a novel and efficient sampling method…

Sequential Monte Carlo (SMC) methods represent a classical set of techniques to simulate a sequence of probability measures through a simple selection/mutation mechanism. However, the associated selection functions and mutation kernels…

Markov Chain Monte Carlo (MCMC) methods are employed to sample from a given distribution of interest, whenever either the distribution does not exist in closed form, or, if it does, no efficient method to simulate an independent sample from…

As it has become common to use many computer cores in routine applications, finding good ways to parallelize popular algorithms has become increasingly important. In this paper, we present a parallelization scheme for Markov chain Monte…

We study statistical model checking of continuous-time stochastic hybrid systems. The challenge in applying statistical model checking to these systems is that one cannot simulate such systems exactly. We employ the multilevel Monte Carlo…

We show how to speed up Sequential Monte Carlo (SMC) for Bayesian inference in large data problems by data subsampling. SMC sequentially updates a cloud of particles through a sequence of distributions, beginning with a distribution that is…

One of the open challenges in quantum computing is to find meaningful and practical methods to leverage quantum computation to accelerate classical machine learning workflows. A ubiquitous problem in machine learning workflows is sampling…

We introduce the energy-stepping Monte Carlo (ESMC) method, a Markov chain Monte Carlo (MCMC) algorithm based on the conventional dynamical interpretation of the proposal stage but employing an energy-stepping integrator. The…

Understanding stochastic gradient descent (SGD) and its variants is essential for machine learning. However, most of the preceding analyses are conducted under amenable conditions such as unbiased gradient estimator and bounded objective…

Monte Carlo (MC) methods are widely used for Bayesian inference and optimization in statistics, signal processing and machine learning. A well-known class of MC methods are Markov Chain Monte Carlo (MCMC) algorithms. In order to foster…

Manifold Markov chain Monte Carlo algorithms have been introduced to sample more effectively from challenging target densities exhibiting multiple modes or strong correlations. Such algorithms exploit the local geometry of the parameter…

Sampling-based inference has seen a surge of interest in recent years. Hamiltonian Monte Carlo (HMC) has emerged as a powerful algorithm that leverages concepts from Hamiltonian dynamics to efficiently explore complex target distributions.…