Related papers: C3: Lightweight Incrementalized MCMC for Probabili…

In order to tackle the problem of sampling from heavy tailed, high dimensional distributions via Markov Chain Monte Carlo (MCMC) methods, Yang, Latuszy\'nski, and Roberts (2022) (arXiv:2205.12112) introduces the stereographic projection as…

A novel class of non-reversible Markov chain Monte Carlo schemes relying on continuous-time piecewise-deterministic Markov Processes has recently emerged. In these algorithms, the state of the Markov process evolves according to a…

Probabilistic programs are key to deal with uncertainty in e.g. controller synthesis. They are typically small but intricate. Their development is complex and error prone requiring quantitative reasoning over a myriad of alternative…

Light and Widely Applicable (LWA-) MCMC is a novel approximation of the Metropolis-Hastings kernel targeting a posterior distribution defined on a large number of observations. Inspired by Approximate Bayesian Computation, we design a…

Modern cosmological analyses constrain physical parameters using Markov Chain Monte Carlo (MCMC) or similar sampling techniques. Oftentimes, these techniques are computationally expensive to run and require up to thousands of CPU hours to…

Modern implementations of Hamiltonian Monte Carlo and related MCMC algorithms support sampling of probability functions that embed numerical root-finding algorithms, thereby allowing fitting of statistical models involving analytically…

Probabilistic models based on continuous latent spaces, such as variational autoencoders, can be understood as uncountable mixture models where components depend continuously on the latent code. They have proven to be expressive tools for…

The notion of program sensitivity (aka Lipschitz continuity) specifies that changes in the program input result in proportional changes to the program output. For probabilistic programs the notion is naturally extended to expected…

We compare convergence rates of Metropolis--Hastings chains to multi-modal target distributions when the proposal distributions can be of ``local'' and ``small world'' type. In particular, we show that by adding occasional long-range jumps…

Model Predictive Control (MPC) has established itself as the primary methodology for constrained control, enabling autonomy across diverse applications. While model fidelity is crucial in MPC, solving the corresponding optimization problem…

We propose Subsampling MCMC, a Markov Chain Monte Carlo (MCMC) framework where the likelihood function for $n$ observations is estimated from a random subset of $m$ observations. We introduce a highly efficient unbiased estimator of the…

By adopting a Multilevel Monte Carlo (MLMC) framework, we show that only a handful of costly fine scale computations are needed to accurately estimate statistics of the failure of a composite structure, as opposed to the thousands typically…

Monte Carlo methods represent the "de facto" standard for approximating complicated integrals involving multidimensional target distributions. In order to generate random realizations from the target distribution, Monte Carlo techniques use…

Probabilistic programming uses programs to express generative models whose posterior probability is then computed by built-in inference engines. A challenging goal is to develop general purpose inference algorithms that work out-of-the-box…

We present SmartChoices, an approach to making machine learning (ML) a first class citizen in programming languages which we see as one way to lower the entrance cost to applying ML to problems in new domains. There is a growing divide in…

Sequential Monte Carlo (SMC), or particle filtering, is a popular class of methods for sampling from an intractable target distribution using a sequence of simpler intermediate distributions. Like other importance sampling-based methods,…

Programs with control are usually modeled using lambda calculus extended with control operators. Instead of modifying lambda calculus, we consider a different model of computation. We introduce continuation calculus, or CC, a deterministic…

To balance effectiveness and efficiency in recommender systems, multi-stage pipelines employ lightweight two-tower models for large-scale candidate retrieval. However, their isolated architecture inherently hampers representation capacity,…

Approximate Bayesian Computation (ABC) methods are increasingly used for inference in situations in which the likelihood function is either computationally costly or intractable to evaluate. Extensions of the basic ABC rejection algorithm…

In this paper we present a framework for risk-sensitive model predictive control (MPC) of linear systems affected by stochastic multiplicative uncertainty. Our key innovation is to consider a time-consistent, dynamic risk evaluation of the…