Related papers: Relativistic Monte Carlo
We introduce the Hamiltonian Monte Carlo Particle Swarm Optimizer (HMC-PSO), an optimization algorithm that reaps the benefits of both Exponentially Averaged Momentum PSO and HMC sampling. The coupling of the position and velocity of each…
Monte Carlo (MC) simulations are essential computational approaches with widespread use throughout all areas of science. We present a method for accelerating lattice MC simulations using fully connected and convolutional artificial neural…
Markov Chain Monte Carlo methods have revolutionised mathematical computation and enabled statistical inference within many previously intractable models. In this context, Hamiltonian dynamics have been proposed as an efficient way of…
Hamiltonian Monte Carlo (HMC) is arguably the dominant statistical inference algorithm used in most popular "first-order differentiable" Probabilistic Programming Languages (PPLs). However, the fact that HMC uses derivative information…
The Markov chain Monte Carlo method (MCMC), especially the Metropolis-Hastings (MH) algorithm, is a widely used technique for sampling from a target probability distribution $P$ on a state space $\Omega$ and applied to various problems such…
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.…
Bayesian modelling and computational inference by Markov chain Monte Carlo (MCMC) is a principled framework for large-scale uncertainty quantification, though is limited in practice by computational cost when implemented in the simplest…
We introduce a Monte Carlo algorithm to efficiently compute transport properties of chaotic dynamical systems. Our method exploits the importance sampling technique that favors trajectories in the tail of the distribution of displacements,…
From its inception in the 1950s to the modern frontiers of applied statistics, Markov chain Monte Carlo has been one of the most ubiquitous and successful methods in statistical computing. In that time its development has been fueled by…
Multimodality of the likelihood in Gaussian mixtures is a well-known problem. The choice of the initial parameter vector for the numerical optimizer may affect whether the optimizer finds the global maximum, or gets trapped in a local…
Traditional MCMC algorithms are computationally intensive and do not scale well to large data. In particular, the Metropolis-Hastings (MH) algorithm requires passing over the entire dataset to evaluate the likelihood ratio in each…
Although deep convolutional neural networks (CNNs) have demonstrated remarkable performance on multiple computer vision tasks, researches on adversarial learning have shown that deep models are vulnerable to adversarial examples, which are…
Markov Chain Monte Carlo (MCMC) is a class of algorithms to sample complex and high-dimensional probability distributions. The Metropolis-Hastings (MH) algorithm, the workhorse of MCMC, provides a simple recipe to construct reversible…
The problem of optimally scaling the proposal distribution in a Markov chain Monte Carlo algorithm is critical to the quality of the generated samples. Much work has gone into obtaining such results for various Metropolis-Hastings (MH)…
Probabilistic modeling provides the capability to represent and manipulate uncertainty in data, models, predictions and decisions. We are concerned with the problem of learning probabilistic models of dynamical systems from measured data.…
Hamiltonian Monte Carlo is typically based on the assumption of an underlying canonical symplectic structure. Numerical integrators designed for the canonical structure are incompatible with motion generated by non-canonical dynamics. These…
The past few years have seen considerable progress in algorithmic development for the generation of gauge fields including the effects of dynamical fermions. The Rational Hybrid Monte Carlo (RHMC) algorithm, where Hybrid Monte Carlo is…
We study the performance of an automated hybrid Monte Carlo (HMC) approach for conditional simulation of a recently proposed, single-parameter Gibbs Markov random field (Gibbs MRF). The MRF is based on a modified version of the planar…
This paper surveys in detail the relations between numerical integration and the Hamiltonian (or hybrid) Monte Carlo method (HMC). Since the computational cost of HMC mainly lies in the numerical integrations, these should be performed as…
We explore the use of Hamiltonian Monte Carlo (HMC) sampling as a probabilistic last layer approach for deep neural networks (DNNs). While HMC is widely regarded as a gold standard for uncertainty estimation, the computational demands limit…