Related papers: Hamiltonian Monte Carlo for Probabilistic Programs…
We present the Sum-Product Probabilistic Language (SPPL), a new probabilistic programming language that automatically delivers exact solutions to a broad range of probabilistic inference queries. SPPL translates probabilistic programs into…
Importance sampling (IS) is a powerful Monte Carlo (MC) technique for approximating intractable integrals, for instance in Bayesian inference. The performance of IS relies heavily on the appropriate choice of the so-called proposal…
Hamiltonian dynamics can be used to produce distant proposals for the Metropolis algorithm, thereby avoiding the slow exploration of the state space that results from the diffusive behaviour of simple random-walk proposals. Though…
In many longitudinal studies, a large number of variables are measured repeatedly over time, with substantial missing data. Existing methods, such as probabilistic principal component analysis (PPCA), are ill-equipped to handle such…
Monte Carlo algorithms are a foundational pillar of modern computational science, yet their effective application hinges on a deep understanding of their performance trade offs. This paper presents a critical analysis of the evolution of…
Hamiltonian Monte Carlo is a popular sampling technique for smooth target densities. The scale lengths of the target have long been known to influence integration error and sampling efficiency. However, quantitative measures intrinsic to…
The leapfrog integrator is routinely used within the Hamiltonian Monte Carlo method and its variants. We give strong numerical evidence that alternative, easy to implement algorithms yield fewer rejections with a given computational effort.…
This work presents self-rewarding sequential Monte Carlo (SMC), an inference-time scaling algorithm enabling effective sampling of masked diffusion language models (MDLMs). Our algorithm stems from the observation that most existing MDLMs…
Monte Carlo integration is a commonly used technique to compute intractable integrals and is typically thought to perform poorly for very high-dimensional integrals. To show that this is not always the case, we examine Monte Carlo…
The class of $\alpha$-stable distributions enjoys multiple practical applications in signal processing, finance, biology and other areas because it allows to describe interesting and complex data patterns, such as asymmetry or heavy tails,…
We propose a novel Continuation Multi Level Monte Carlo (CMLMC) algorithm for weak approximation of stochastic models. The CMLMC algorithm solves the given approximation problem for a sequence of decreasing tolerances, ending when the…
In this paper we propose a framework for combining Disjunctive Logic Programming and Poole's Probabilistic Horn Abduction. We use the concept of hypothesis to specify the probability structure. We consider the case in which probabilistic…
Langevin Monte Carlo (LMC) is an iterative algorithm used to generate samples from a distribution that is known only up to a normalizing constant. The nonasymptotic dependence of its mixing time on the dimension and target accuracy is…
We introduce a recent symplectic integration scheme derived for solving physically motivated systems with non-separable Hamiltonians. We show its relevance to Riemannian manifold Hamiltonian Monte Carlo (RMHMC) and provide an alternative to…
Hybrid Monte-Carlo (HMC) sampling smoother is a fully non-Gaussian four-dimensional data assimilation algorithm that works by directly sampling the posterior distribution formulated in the Bayesian framework. The smoother in its original…
Predictive coding (PC) accounts of perception now form one of the dominant computational theories of the brain, where they prescribe a general algorithm for inference and learning over hierarchical latent probabilistic models. Despite this,…
Hamiltonian Monte Carlo (HMC) is a premier Markov Chain Monte Carlo (MCMC) algorithm for continuous target distributions. Its full potential can only be unleashed when its problem-dependent hyperparameters are tuned well. The adaptation of…
Monte Carlo algorithms, such as Markov chain Monte Carlo (MCMC) and Hamiltonian Monte Carlo (HMC), are routinely used for Bayesian inference in generalized linear models; however, these algorithms are prohibitively slow in massive data…
Probabilistic programming is a growing area that strives to make statistical analysis more accessible, by separating probabilistic modelling from probabilistic inference. In practice this decoupling is difficult. No single inference…
We present Shrinking Horizon Model Predictive Control (SHMPC) for discrete-time linear systems with Signal Temporal Logic (STL) specification constraints under stochastic disturbances. The control objective is to maximize an optimization…