Related papers: Monte Carlo sampling in diffusive dynamical system…
Markov chain Monte Carlo (MCMC) methods are one of the most popular classes of algorithms for sampling from a target probability distribution. A rising trend in recent years consists in analyzing the convergence of MCMC algorithms using…
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…
Hybrid Monte Carlo is a powerful Markov Chain Monte Carlo method for sampling from complex continuous distributions. However, a major limitation of HMC is its inability to be applied to discrete domains due to the lack of gradient signal.…
The recently-introduced self-learning Monte Carlo method is a general-purpose numerical method that speeds up Monte Carlo simulations by training an effective model to propose uncorrelated configurations in the Markov chain. We implement…
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…
In this paper we demonstrate that multi-modal Probability Distribution Functions (PDFs) may be efficiently sampled using an algorithm originally developed for numerical integrations by Monte-Carlo methods. This algorithm can be used to…
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 propose a new Markov chain Monte Carlo method in which trial configurations are generated by evolving a state, sampled from a prior distribution, using a Markov transition matrix. We present two prototypical algorithms and derive their…
A Monte Carlo method based on a density-of-states sampling is proposed for study of arbitrary statistical mechanical ensembles in a continuum. A random walk in the two-dimensional space of particle number and energy is used to estimate the…
In this paper we consider fully Bayesian inference in general state space models. Existing particle Markov chain Monte Carlo (MCMC) algorithms use an augmented model that takes into account all the variable sampled in a sequential Monte…
The Diffusion Monte Carlo method with constant number of walkers, also called Stochastic Reconfiguration as well as Sequential Monte Carlo, is a widely used Monte Carlo methodology for computing the ground-state energy and wave function of…
The goal of this article is to introduce the Hamiltonian Monte Carlo (HMC) method -- a Hamiltonian dynamics-inspired algorithm for sampling from a Gibbs density $\pi(x) \propto e^{-f(x)}$. We focus on the "idealized" case, where one can…
Monte-Carlo techniques are standard numerical tools for exploring non-Gaussian and multivariate likelihoods. Many variants of the original Metropolis-Hastings algorithm have been proposed to increase the sampling efficiency. Motivated by…
We describe parallel Markov chain Monte Carlo methods that propagate a collective ensemble of paths, with local covariance information calculated from neighboring replicas. The use of collective dynamics eliminates multiplicative noise and…
In this paper we consider a new probability sampling methods based on Langevin diffusion dynamics to resolve the problem of existing Monte Carlo algorithms when draw samples from high dimensional target densities. We extent…
Monte Carlo sampling methods often suffer from long correlation times. Consequently, these methods must be run for many steps to generate an independent sample. In this paper a method is proposed to overcome this difficulty. The method…
This article addresses online variational estimation in parametric state-space models. We propose a new procedure for efficiently computing the evidence lower bound and its gradient in a streaming-data setting, where observations arrive…
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…
Hamiltonian Monte Carlo (HMC) has been progressively incorporated within the statistician's toolbox as an alternative sampling method in settings when standard Metropolis-Hastings is inefficient. HMC generates a Markov chain on an augmented…
Latent position network models are a versatile tool in network science; applications include clustering entities, controlling for causal confounders, and defining priors over unobserved graphs. Estimating each node's latent position is…