Related papers: Variational Inference with Hamiltonian Monte Carlo

Recently, it has been shown that the hybrid Monte Carlo (HMC) algorithm is guaranteed to converge exponentially to a given target probability distribution $p(x)\propto e^{-V(x)}$ on non-compact spaces if augmented by an appropriate radial…

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 propose a novel Continuation Multi Level Monte Carlo (CMLMC) algorithm for weak approximation of stochastic models. The CMLMC algorithm solves the given approximation problem for a sequence of decreasing tolerances, ending when the…

Gradient-based Monte Carlo sampling algorithms, like Langevin dynamics and Hamiltonian Monte Carlo, are important methods for Bayesian inference. In large-scale settings, full-gradients are not affordable and thus stochastic gradients…

Recent advances in stochastic gradient techniques have made it possible to estimate posterior distributions from large datasets via Markov Chain Monte Carlo (MCMC). However, when the target posterior is multimodal, mixing performance is…

Hamiltonian Monte Carlo (HMC) algorithms which combine numerical approximation of Hamiltonian dynamics on finite intervals with stochastic refreshment and Metropolis correction are popular sampling schemes, but it is known that they may…

We examine the application of the Variational Monte Carlo (VMC) method to a cluster model for halo nuclei. Particular attention is paid to the error estimate in the presence of correlations in the underlying random walk. We analyse the…

Varying coefficient models (VCMs) are widely used for estimating nonlinear regression functions for functional data. Their Bayesian variants using Gaussian process priors on the functional coefficients, however, have received limited…

Bayesian inference allows us to define a posterior distribution over the weights of a generic neural network (NN). Exact posteriors are usually intractable, in which case approximations can be employed. One such approximation - variational…

Hamiltonian Monte Carlo (HMC) is a premier Markov Chain Monte Carlo (MCMC) algorithm for continuous target distributions. Its full potential can only be unleashed when its problem-dependent hyperparameters are tuned well. The adaptation of…

The leapfrog integrator is routinely used within the Hamiltonian Monte Carlo method and its variants. We give strong numerical evidence that alternative, easy to implement algorithms yield fewer rejections with a given computational effort.…

In this article, we describe a {\tt R} package for sampling from an empirical likelihood-based posterior using a Hamiltonian Monte Carlo method. Empirical likelihood-based methodologies have been used in Bayesian modeling of many problems…

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…

In this paper we propose to evaluate and compare Markov chain Monte Carlo (MCMC) methods to estimate the parameters in a generalized extreme value model. We employed the Bayesian approach using traditional Metropolis-Hastings methods,…

Bayesian inference is useful to obtain a predictive distribution with a small generalization error. However, since posterior distributions are rarely evaluated analytically, we employ the variational Bayesian inference or sampling method to…

We propose a sequential Markov chain Monte Carlo (SMCMC) algorithm to sample from a sequence of probability distributions, corresponding to posterior distributions at different times in on-line applications. SMCMC proceeds as in usual MCMC…

The past decades have seen enormous improvements in computational inference based on statistical models, with continual enhancement in a wide range of computational tools, in competition. In Bayesian inference, first and foremost, MCMC…

We present a new Subset Simulation approach using Hamiltonian neural network-based Monte Carlo sampling for reliability analysis. The proposed strategy combines the superior sampling of the Hamiltonian Monte Carlo method with…

Hamiltonian Monte Carlo (HMC) is widely used for sampling from high dimensional target distributions with densities known up to proportionality. While HMC exhibits favorable scaling properties in high dimensions, it struggles with strongly…

Variational Bayes (VB) is a popular tool for Bayesian inference in statistical modeling. Recently, some VB algorithms are proposed to handle intractable likelihoods with applications such as approximate Bayesian computation. In this paper,…