Related papers: Charted Metropolis Light Transport
We develop an algorithm for automatic differentiation of Metropolis-Hastings samplers, allowing us to differentiate through probabilistic inference, even if the model has discrete components within it. Our approach fuses recent advances in…
Motivated by applications of distributed linear estimation, distributed control and distributed optimization, we consider the question of designing linear iterative algorithms for computing the average of numbers in a network. Specifically,…
The Metropolis-Hastings (MH) algorithm is the prototype for a class of Markov chain Monte Carlo methods that propose transitions between states and then accept or reject the proposal. These methods generate a correlated sequence of random…
Sampling from distributions of implicitly defined shapes enables analysis of various energy functionals used for image segmentation. Recent work describes a computationally efficient Metropolis-Hastings method for accomplishing this task.…
A key goal in the design of probabilistic inference algorithms is identifying and exploiting properties of the distribution that make inference tractable. Lifted inference algorithms identify symmetry as a property that enables efficient…
This paper introduces a new Markov Chain Monte Carlo method for Bayesian variable selection in high dimensional settings. The algorithm is a Hastings-Metropolis sampler with a proposal mechanism which combines a Metropolis Adjusted Langevin…
Markov Chain Monte Carlo (MCMC) algorithms are routinely used to draw samples from distributions with intractable normalization constants. However, standard MCMC algorithms do not apply to doubly-intractable distributions in which there are…
Couplings play a central role in the analysis of Markov chain convergence and in the construction of novel Markov chain Monte Carlo estimators, diagnostics, and variance reduction techniques. The set of possible couplings is often…
This work develops a powerful and versatile framework for determining acceptance ratios in Metropolis-Hastings type Markov kernels widely used in statistical sampling problems. Our approach allows us to derive new classes of kernels which…
We present an algorithm to sample stochastic differential equations conditioned on rather general constraints, including integral constraints, endpoint constraints, and stochastic integral constraints. The algorithm is a pathspace…
We introduce new Gaussian proposals to improve the efficiency of the standard Hastings-Metropolis algorithm in Markov chain Monte Carlo (MCMC) methods, used for the sampling from a target distribution in large dimension $d$. The improved…
Markov Chain Monte Carlo (MCMC) algorithms are commonly used for their versatility in sampling from complicated probability distributions. However, as the dimension of the distribution gets larger, the computational costs for a satisfactory…
In recent years, various interacting particle samplers have been developed to sample from complex target distributions, such as those found in Bayesian inverse problems. These samplers are motivated by the mean-field limit perspective and…
We present here two irreversible Markov chain Monte Carlo algorithms for general discrete state systems, one of the algorithms is based on the random-scan Gibbs sampler for discrete states and the other on its improved version, the…
We analyse computational efficiency of Metropolis-Hastings algorithms with stochastic AR(1) process proposals. These proposals include, as a subclass, discretized Langevin diffusion (e.g. MALA) and discretized Hamiltonian dynamics (e.g.…
Sampling from high dimensional distributions is a computational bottleneck in many scientific applications. Hamiltonian Monte Carlo (HMC), and in particular the No-U-Turn Sampler (NUTS), are widely used, yet they struggle on problems with a…
Hybrid Monte Carlo is a powerful Markov Chain Monte Carlo method for sampling from complex continuous distributions. However, a major limitation of HMC is its inability to be applied to discrete domains due to the lack of gradient signal.…
This work introduces progressive spatio-temporal filtering, an efficient method to build all-frequency approximations to the light transport distribution into a scene by filtering individual samples produced by an underlying path sampler,…
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…
In this paper, we suggest a novel sampling method for Monte Carlo molecular simulations. In order to perform efficient sampling of molecular systems, it is advantageous to avoid extremely high energy configurations while also retaining the…