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In dynamic Monte Carlo simulations, using for example the Metropolis dynamic, it is often required to simulate for long times and to simulate large systems. We present an overview of advanced algorithms to simulate for larger times and to…
We introduce the Hamming Ball Sampler, a novel Markov Chain Monte Carlo algorithm, for efficient inference in statistical models involving high-dimensional discrete state spaces. The sampling scheme uses an auxiliary variable construction…
Sequential Monte Carlo (SMC) samplers form an attractive alternative to MCMC for Bayesian computation. However, their performance depends strongly on the Markov kernels used to rejuvenate particles. We discuss how to calibrate automatically…
Geometric numerical integration has recently been exploited to design symplectic accelerated optimization algorithms by simulating the Lagrangian and Hamiltonian systems from the variational framework introduced in Wibisono et al. In this…
Markov Chain Monte Carlo (MCMC) is an invaluable means of inference with complicated models, and Hamiltonian Monte Carlo, in particular Riemannian Manifold Hamiltonian Monte Carlo (RMHMC), has demonstrated impressive success in many…
We propose a hybrid Monte Carlo (HMC) technique applicable to high-dimensional multivariate normal distributions that effectively samples along chaotic trajectories. The method is predicated on the freedom of choice of the HMC momentum…
There is a lack of methodological results to design efficient Markov chain Monte Carlo (MCMC) algorithms for statistical models with discrete-valued high-dimensional parameters. Motivated by this consideration, we propose a simple framework…
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…
An implicit mass-matrix penalization (IMMP) of Hamiltonian dynamics is proposed, and associated dynamical integrators, as well as sampling Monte-Carlo schemes, are analyzed for systems with multiple time scales. The penalization is based on…
Monte Carlo simulations are a powerful tool to investigate the thermodynamic properties of atomic systems. In practice however, sampling of the complete configuration space is often hindered by high energy barriers between different regions…
Bayesian inference in the presence of an intractable likelihood function is computationally challenging. When following a Markov chain Monte Carlo (MCMC) approach to approximate the posterior distribution in this context, one typically…
Hamiltonian Monte Carlo (HMC) is a powerful Markov chain Monte Carlo (MCMC) algorithm for estimating expectations with respect to continuous un-normalized probability distributions. MCMC estimators typically have higher variance than…
Hamiltonian dynamics can be used to produce distant proposals for the Metropolis algorithm, thereby avoiding the slow exploration of the state space that results from the diffusive behaviour of simple random-walk proposals. Though…
We introduce a new Monte Carlo method for pure gauge theories. It is not intended for use with dynamical fermions. It belongs to the class of Local Hybrid Monte Carlo (LHMC) algorithms, which make use of the locality of the action by…
Latent variable models are increasingly used in economics for high-dimensional categorical data like text and surveys. We demonstrate the effectiveness of Hamiltonian Monte Carlo (HMC) with parallelized automatic differentiation for…
Markov chain Monte Carlo (MCMC) methods are ubiquitous tools for simulation-based inference in many fields but designing and identifying good MCMC samplers is still an open question. This paper introduces a novel MCMC algorithm, namely,…
The hybrid Monte Carlo (HMC) algorithm is a ubiquitous method in computational physics with applications ranging from condensed matter to lattice QCD and beyond. However, HMC simulations often suffer from long autocorrelation times,…
We discuss Hamiltonian Monte Carlo (HMC) and event-chain Monte Carlo (ECMC) for the one-dimensional chain of particles with harmonic interactions and benchmark them against local reversible Metropolis algorithms. While HMC achieves…
We present a scalable Bayesian framework for the analysis of confocal fluorescence spectroscopy data, addressing key limitations in traditional fluorescence correlation spectroscopy methods. Our framework captures molecular motion,…
Markov Chain Monte Carlo (MCMC) algorithms are often used for approximate inference inside learning, but their slow mixing can be difficult to diagnose and the approximations can seriously degrade learning. To alleviate these issues, we…