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Markov chain Monte Carlo (MCMC) methods are sampling methods that have become a commonly used tool in statistics, for example to perform Monte Carlo integration. As a consequence of the increase in computational power, many variations of…
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…
We propose a generic Markov Chain Monte Carlo (MCMC) algorithm to speed up computations for datasets with many observations. A key feature of our approach is the use of the highly efficient difference estimator from the survey sampling…
The Metropolis-Hastings (MH) algorithm is one of the most widely used Markov Chain Monte Carlo schemes for generating samples from Bayesian posterior distributions. The algorithm is asymptotically exact, flexible and easy to implement.…
Quantum Krylov algorithms have emerged as a promising approach for ground-state energy estimation in the near-term quantum computing era. A major challenge, however, lies in their inherently substantial sampling cost, primarily due to the…
Modern macroeconometrics often relies on time series models for which it is time-consuming to evaluate the likelihood function. We demonstrate how Bayesian computations for such models can be drastically accelerated by reweighting and…
We introduce a new micro-macro Markov chain Monte Carlo method (mM-MCMC) to sample invariant distributions of molecular dynamics systems that exhibit a time-scale separation between the microscopic (fast) dynamics, and the macroscopic…
MCMC methods for sampling from the space of DAGs can mix poorly due to the local nature of the proposals that are commonly used. It has been shown that sampling from the space of node orders yields better results [FK03, EW06]. Recently,…
Langevin Monte Carlo (LMC) and its stochastic gradient versions are powerful algorithms for sampling from complex high-dimensional distributions. To sample from a distribution with density $\pi(\theta)\propto \exp(-U(\theta)) $, LMC…
Monte Carlo methods are widely used to estimate observables in many-body quantum systems. However, conventional sampling schemes often require a large number of samples to achieve sufficient accuracy. In this work we propose the…
Computing the marginal likelihood or evidence is one of the core challenges in Bayesian analysis. While there are many established methods for estimating this quantity, they predominantly rely on using a large number of posterior samples…
Constrained decoding enables Language Models (LMs) to produce samples that provably satisfy hard constraints. However, existing constrained-decoding approaches often distort the underlying model distribution, a limitation that is especially…
Energy-based modeling is a promising approach to unsupervised learning, which yields many downstream applications from a single model. The main difficulty in learning energy-based models with the "contrastive approaches" is the generation…
Discrete data are abundant and often arise as counts or rounded data. These data commonly exhibit complex distributional features such as zero-inflation, over-/under-dispersion, boundedness, and heaping, which render many parametric models…
Space filling designs are central to studying complex systems in various areas of science. They are used for obtaining an overall understanding of the behaviour of the response over the input space, model construction and uncertainty…
In big data context, traditional MCMC methods, such as Metropolis-Hastings algorithms and hybrid Monte Carlo, scale poorly because of their need to evaluate the likelihood over the whole data set at each iteration. In order to resurrect…
Many problems of practical interest rely on Continuous-time Markov chains~(CTMCs) defined over combinatorial state spaces, rendering the computation of transition probabilities, and hence probabilistic inference, difficult or impossible…
We explore a general framework in Markov chain Monte Carlo (MCMC) sampling where sequential proposals are tried as a candidate for the next state of the Markov chain. This sequential-proposal framework can be applied to various existing…
The identification of parameters in mathematical models using noisy observations is a common task in uncertainty quantification. We employ the framework of Bayesian inversion: we combine monitoring and observational data with prior…
Bayesian inverse problems often involve sampling posterior distributions on infinite-dimensional function spaces. Traditional Markov chain Monte Carlo (MCMC) algorithms are characterized by deteriorating mixing times upon mesh-refinement,…