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Markov chain Monte Carlo algorithms have important applications in counting problems and in machine learning problems, settings that involve estimating quantities that are difficult to compute exactly. How much can quantum computers speed…

We perform Markov chain Monte Carlo simulations for a Bayesian inference of the GJR-GARCH model which is one of asymmetric GARCH models. The adaptive construction scheme is used for the construction of the proposal density in the…

The availability of data sets with large numbers of variables is rapidly increasing. The effective application of Bayesian variable selection methods for regression with these data sets has proved difficult since available Markov chain…

Dense Associative Memory (DAM) generalizes Hopfield networks through higher-order interactions and achieves storage capacity that scales as $O(N^{n-1})$ under suitable pattern separation conditions. Existing dynamical analyses primarily…

In many modern applications, there is interest in analyzing enormous data sets that cannot be easily moved across computers or loaded into memory on a single computer. In such settings, it is very common to be interested in clustering.…

We study a class of Metropolis-Hastings algorithms for target measures that are absolutely continuous with respect to a large class of non-Gaussian prior measures on Banach spaces. The algorithm is shown to have a spectral gap in a…

The Metropolis-Hastings algorithm is a fundamental Markov chain Monte Carlo (MCMC) method for sampling and inference. With the advent of Big Data, distributed and parallel variants of MCMC methods are attracting increased attention. In this…

In this paper, we introduce the Adaptive Inertial Method (AIM), a novel framework for accelerated first-order methods through a customizable inertial term. We provide a rigorous convergence analysis establishing a global convergence rate of…

One main limitation of the existing optimal scaling results for Metropolis--Hastings algorithms is that the assumptions on the target distribution are unrealistic. In this paper, we consider optimal scaling of random-walk Metropolis…

We consider versions of the Metropolis algorithm which avoid the inefficiency of rejections. We first illustrate that a natural Uniform Selection Algorithm might not converge to the correct distribution. We then analyse the use of Markov…

We design efficient distance approximation algorithms for several classes of structured high-dimensional distributions. Specifically, we show algorithms for the following problems: - Given sample access to two Bayesian networks $P_1$ and…

Adaptive importance sampling (AIS) algorithms are a rising methodology in signal processing, statistics, and machine learning. An effective adaptation of the proposals is key for the success of AIS. Recent works have shown that gradient…

There is an ongoing effort to develop tools that apply distributed computational resources to tackle large problems or reduce the time to solve them. In this context, the Alternating Direction Method of Multipliers (ADMM) arises as a method…

Bayesian optimization is an effective methodology for the global optimization of functions with expensive evaluations. It relies on querying a distribution over functions defined by a relatively cheap surrogate model. An accurate model for…

The posterior probability distribution for a set of model parameters encodes all that the data have to tell us in the context of a given model; it is the fundamental quantity for Bayesian parameter estimation. In order to infer the…

We consider nonparametric Bayesian estimation inference using a rescaled smooth Gaussian field as a prior for a multidimensional function. The rescaling is achieved using a Gamma variable and the procedure can be viewed as choosing an…

We propose a new randomized optimization method for high-dimensional problems which can be seen as a generalization of coordinate descent to random subspaces. We show that an adaptive sampling strategy for the random subspace significantly…

Multiple-try Metropolis (MTM) is a popular Markov chain Monte Carlo method with the appealing feature of being amenable to parallel computing. At each iteration, it samples several candidates for the next state of the Markov chain and…

The paper proposes a Riemannian Manifold Hamiltonian Monte Carlo sampler to resolve the shortcomings of existing Monte Carlo algorithms when sampling from target densities that may be high dimensional and exhibit strong correlations. The…

Poisson log-linear models are ubiquitous in many applications, and one of the most popular approaches for parametric count regression. In the Bayesian context, however, there are no sufficient specific computational tools for efficient…