Related papers: Quasi-Monte Carlo Variational Inference

This work introduces a novel multilevel Monte Carlo (MLMC) metamodeling approach for variance function estimation. Although devising an efficient experimental design for simulation metamodeling can be elusive, the MLMC-based approach…

As a computational alternative to Markov chain Monte Carlo approaches, variational inference (VI) is becoming more and more popular for approximating intractable posterior distributions in large-scale Bayesian models due to its comparable…

Most applications of Bayesian Inference for parameter estimation and model selection in astrophysics involve the use of Monte Carlo techniques such as Markov Chain Monte Carlo (MCMC) and nested sampling. However, these techniques are time…

Sequential Monte Carlo (SMC), or particle filtering, is a popular class of methods for sampling from an intractable target distribution using a sequence of simpler intermediate distributions. Like other importance sampling-based methods,…

We present a new method for conducting Monte Carlo inference in graphical models which combines explicit search with generalized importance sampling. The idea is to reduce the variance of importance sampling by searching for significant…

Variational inference is a fast and scalable alternative to Markov chain Monte Carlo and has been widely applied to posterior inference tasks in statistics and machine learning. A traditional approach for implementing mean-field variational…

We investigate the complexity of covariance matrix estimation for Gibbs distributions based on dependent samples from a Markov chain. We show that when $\pi$ satisfies a Poincar\'e inequality and the chain possesses a spectral gap, we can…

Hamiltonian Monte Carlo (HMC) is a powerful and accurate method to sample from the posterior distribution in Bayesian inference. However, HMC techniques are computationally demanding for Bayesian neural networks due to the high…

We develop a method to combine Markov chain Monte Carlo (MCMC) and variational inference (VI), leveraging the advantages of both inference approaches. Specifically, we improve the variational distribution by running a few MCMC steps. To…

In this article we consider computing expectations w.r.t.~probability laws associated to a certain class of stochastic systems. In order to achieve such a task, one must not only resort to numerical approximation of the expectation, but…

Stochastic optimization in learning and inference often relies on Markov chain Monte Carlo (MCMC) to approximate gradients when exact computation is intractable. However, finite-time MCMC estimators are biased, and reducing this bias…

Approximate inference in high-dimensional, discrete probabilistic models is a central problem in computational statistics and machine learning. This paper describes discrete particle variational inference (DPVI), a new approach that…

In this paper, we propose a new stochastic optimization algorithm for Bayesian inference based on multilevel Monte Carlo (MLMC) methods. In Bayesian statistics, biased estimators of the model evidence have been often used as stochastic…

This paper introduces quasi-Monte Carlo latent variable models (QLVMs): a class of deep generative models that are specialized for finding extremely low-dimensional and interpretable embeddings of high-dimensional datasets. Unlike standard…

In this paper we present a new approach to control variates for improving computational efficiency of Ensemble Monte Carlo. We present the approach using simulation of paths of a time-dependent nonlinear stochastic equation. The core idea…

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…

Variational inference consists in finding the best approximation of a target distribution within a certain family, where `best' means (typically) smallest Kullback-Leiber divergence. We show that, when the approximation family is…

We present a hybrid method for time-dependent particle transport that combines Monte Carlo (MC) estimation with a deterministic discrete ordinates (\(S_N\)) solve, augmented by quasi-Monte Carlo (QMC) sampling. For spatial discretizations,…

Uncertainty quantification (UQ) includes the characterization, integration, and propagation of uncertainties that result from stochastic variations and a lack of knowledge or data in the natural world. Monte Carlo (MC) method is a…

Efficient uncertainty quantification algorithms are key to understand the propagation of uncertainty -- from uncertain input parameters to uncertain output quantities -- in high resolution mathematical models of brain physiology. Advanced…