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A novel adaptive Markov chain Monte Carlo algorithm is presented. The algorithm utilizes sparsity in the partial correlation structure of a density to efficiently estimate the covariance matrix through the Cholesky factor of the precision…

We introduce a gradient-based learning method to automatically adapt Markov chain Monte Carlo (MCMC) proposal distributions to intractable targets. We define a maximum entropy regularised objective function, referred to as generalised speed…

The Metropolis algorithm is arguably the most fundamental Markov chain Monte Carlo (MCMC) method. But the algorithm is not guaranteed to converge to the desired distribution in the case of multivariate binary distributions (e.g., Ising…

Monte Carlo methods use random sampling to estimate numerical quantities which are hard to compute deterministically. One important example is the use in statistical physics of rapidly mixing Markov chains to approximately compute partition…

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…

The dual tasks of quantum Hamiltonian learning and quantum Gibbs sampling are relevant to many important problems in physics and chemistry. In the low temperature regime, algorithms for these tasks often suffer from intractabilities, for…

We investigate in this work a recently proposed diagrammatic quantum Monte Carlo method --- the inchworm Monte Carlo method --- for open quantum systems. We establish its validity rigorously based on resummation of Dyson series. Moreover,…

Importance sampling is a Monte Carlo method which designs estimators of expectations under a target distribution using weighted samples from a proposal distribution. When the target distribution is complex, such as multimodal distributions…

We report on the development of two dual worm constructions that lead to cluster algorithms for efficient and ergodic Monte Carlo simulations of frustrated Ising models with arbitrary two-spin interactions that extend up to third-neighbours…

Quantum computing offers an alternative paradigm for addressing combinatorial optimization problems compared to classical computing. Despite recent hardware improvements, the execution of empirical quantum optimization experiments at scales…

We propose a new class of interacting Markov chain Monte Carlo (MCMC) algorithms designed for increasing the efficiency of a modified multiple-try Metropolis (MTM) algorithm. The extension with respect to the existing MCMC literature is…

We introduce a new Monte Carlo method by incorporating a guided distribution function to the conventional Monte Carlo method. In this way, the efficiency of Monte Carlo methods is drastically improved. To further speed up the algorithm, we…

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…

Flower pollination algorithm is a recent metaheuristic algorithm for solving nonlinear global optimization problems. The algorithm has also been extended to solve multiobjective optimization with promising results. In this work, we analyze…

We propose Adaptive Incremental Mixture Markov chain Monte Carlo (AIMM), a novel approach to sample from challenging probability distributions defined on a general state-space. While adaptive MCMC methods usually update a parametric…

Markov Chain Monte Carlo (MCMC) algorithms are widely used for stochastic optimization, sampling, and integration of mathematical objective functions, in particular, in the context of Bayesian inverse problems and parameter estimation. For…

It is common practice in Markov chain Monte Carlo to update the simulation one variable (or sub-block of variables) at a time, rather than conduct a single full-dimensional update. When it is possible to draw from each full-conditional…

In simulation-based inferences for partially observed Markov process models (POMP), the by-product of the Monte Carlo filtering is an approximation of the log likelihood function. Recently, iterated filtering [14, 13] has originally been…

From basic considerations of the Lie group that preserves a target probability measure, we derive the Barker, Metropolis, and ensemble Markov chain Monte Carlo (MCMC) algorithms, as well as variants of waste-recycling Metropolis-Hastings…

Many problems in the physical sciences, machine learning, and statistical inference necessitate sampling from a high-dimensional, multi-modal probability distribution. Markov Chain Monte Carlo (MCMC) algorithms, the ubiquitous tool for this…