Related papers: A-NICE-MC: Adversarial Training for MCMC

Markov chain Monte Carlo methods have become popular in statistics as versatile techniques to sample from complicated probability distributions. In this work, we propose a method to parameterize and train transition kernels of Markov chains…

Markov chain Monte Carlo (MCMC) methods are widely used in machine learning. One of the major problems with MCMC is the question of how to design chains that mix fast over the whole state space; in particular, how to select the parameters…

Cyclical MCMC is a novel MCMC framework recently proposed by Zhang et al. (2019) to address the challenge posed by high-dimensional multimodal posterior distributions like those arising in deep learning. The algorithm works by generating a…

Markov Chain Monte Carlo (MCMC) methods are a powerful tool for computation with complex probability distributions. However the performance of such methods is critically dependant on properly tuned parameters, most of which are difficult if…

Markov Chain Monte Carlo (MCMC) methods sample from unnormalized probability distributions and offer guarantees of exact sampling. However, in the continuous case, unfavorable geometry of the target distribution can greatly limit the…

In many situations it is important to be able to propose $N$ independent realizations of a given distribution law. We propose a strategy for making $N$ parallel Monte Carlo Markov Chains (MCMC) interact in order to get an approximation of…

We examine the zero-temperature Metropolis Monte Carlo algorithm as a tool for training a neural network by minimizing a loss function. We find that, as expected on theoretical grounds and shown empirically by other authors, Metropolis…

We introduce a stable, well tested Python implementation of the affine-invariant ensemble sampler for Markov chain Monte Carlo (MCMC) proposed by Goodman & Weare (2010). The code is open source and has already been used in several published…

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…

Markov Chain Monte Carlo (MCMC) is a powerful method for drawing samples from non-standard probability distributions and is utilized across many fields and disciplines. Methods such as Metropolis-Adjusted Langevin (MALA) and Hamiltonian…

Large, sparse linear systems are pervasive in modern science and engineering, and Krylov subspace solvers are an established means of solving them. Yet convergence can be slow for ill-conditioned matrices, so practical deployments usually…

We introduce new affine invariant ensemble Markov chain Monte Carlo (MCMC) samplers that are easy to construct and improve upon existing methods, especially for high-dimensional problems. We first propose a simple derivative-free side move…

Adaptive Markov chain Monte Carlo (MCMC) algorithms, which automatically tune their parameters based on past samples, have proved extremely useful in practice. The self-tuning mechanism makes them `non-Markovian', which means that their…

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,…

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…

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 preconditioned Crank-Nicolson (pCN) method is a Markov Chain Monte Carlo (MCMC) scheme, specifically designed to perform Bayesian inferences in function spaces. Unlike many standard MCMC algorithms, the pCN method can preserve the…

Markov chain Monte Carlo (MCMC) methods asymptotically sample from complex probability distributions. The pseudo-marginal MCMC framework only requires an unbiased estimator of the unnormalized probability distribution function to construct…

Markov chain Monte Carlo (MCMC) algorithms provide a very general recipe for estimating properties of complicated distributions. While their use has become commonplace and there is a large literature on MCMC theory and practice, MCMC users…

There is a growing interest in the literature for adaptive Markov chain Monte Carlo methods based on sequences of random transition kernels $\{P_n\}$ where the kernel $P_n$ is allowed to have an invariant distribution $\pi_n$ not…