Related papers: Underdamped Langevin MCMC: A non-asymptotic analys…

We describe a new MCMC method optimized for the sampling of probability measures on Hilbert space which have a density with respect to a Gaussian; such measures arise in the Bayesian approach to inverse problems, and in conditioned…

Calculating averages with respect to multimodal probability distributions is often necessary in applications. Markov chain Monte Carlo (MCMC) methods to this end, which are based on time averages along a realization of a Markov process…

Sampling from distributions play a crucial role in aiding practitioners with statistical inference. However, in numerous situations, obtaining exact samples from complex distributions is infeasible. Consequently, researchers often turn to…

We propose a new framework of variance-reduced Hamiltonian Monte Carlo (HMC) methods for sampling from an $L$-smooth and $m$-strongly log-concave distribution, based on a unified formulation of biased and unbiased variance reduction…

Langevin MCMC gradient optimization is a class of increasingly popular methods for estimating a posterior distribution. This paper addresses the algorithm as applied in a decentralized setting, wherein data is distributed across a network…

We study the task of efficiently sampling from a Gibbs distribution $d \pi^* = e^{-h} d {vol}_g$ over a Riemannian manifold $M$ via (geometric) Langevin MCMC; this algorithm involves computing exponential maps in random Gaussian directions…

This paper provides a convergence analysis for generalized Hamiltonian Monte Carlo samplers, a family of Markov Chain Monte Carlo methods based on leapfrog integration of Hamiltonian dynamics and kinetic Langevin diffusion, that encompasses…

We present a nonlinear (in the sense of McKean) generalization of Hamiltonian Monte Carlo (HMC) termed nonlinear HMC (nHMC) capable of sampling from nonlinear probability measures of mean-field type. When the underlying confinement…

Sampling with Markov chain Monte Carlo methods often amounts to discretizing some continuous-time dynamics with numerical integration. In this paper, we establish the convergence rate of sampling algorithms obtained by discretizing smooth…

An effective approach for sampling from unnormalized densities is based on the idea of gradually transporting samples from an easy prior to the complicated target distribution. Two popular methods are (1) Sequential Monte Carlo (SMC), where…

Efficient sampling from complex and high dimensional target distributions turns out to be a fundamental task in diverse disciplines such as scientific computing, statistics and machine learning. In this paper, we propose a new kind of…

Hamiltonian Monte Carlo (HMC) has been widely adopted in the statistics community because of its ability to sample high-dimensional distributions much more efficiently than other Metropolis-based methods. Despite this, HMC often performs…

In this article we consider static Bayesian parameter estimation for partially observed diffusions that are discretely observed. We work under the assumption that one must resort to discretizing the underlying diffusion process, for…

Low-precision training has emerged as a promising low-cost technique to enhance the training efficiency of deep neural networks without sacrificing much accuracy. Its Bayesian counterpart can further provide uncertainty quantification and…

We present a framework that allows for the non-asymptotic study of the $2$-Wasserstein distance between the invariant distribution of an ergodic stochastic differential equation and the distribution of its numerical approximation in the…

In this paper, we revisit the recently established theoretical guarantees for the convergence of the Langevin Monte Carlo algorithm of sampling from a smooth and (strongly) log-concave density. We improve the existing results when the…

In this article we consider Bayesian estimation of static parameters for a class of partially observed McKean-Vlasov diffusion processes with discrete-time observations over a fixed time interval. This problem features several obstacles to…

Two popular classes of methods for approximate inference are Markov chain Monte Carlo (MCMC) and variational inference. MCMC tends to be accurate if run for a long enough time, while variational inference tends to give better approximations…

This paper introduces and analyses interacting underdamped Langevin algorithms, termed Kinetic Interacting Particle Langevin Monte Carlo (KIPLMC) methods, for statistical inference in latent variable models. We propose a diffusion process…

This work explores a novel perspective on solving nonconvex and nonsmooth optimization problems by leveraging sampling based methods. Instead of treating the objective function purely through traditional (often deterministic) optimization…