Related papers: HMCF - Hamiltonian Monte Carlo Sampling for Fields…
bayesian_pyhf is a Python package that allows for the parallel Bayesian and frequentist evaluation of multi-channel binned statistical models. The Python library pyhf is used to build such models according to the HistFactory framework and…
Probabilistic programming uses programs to express generative models whose posterior probability is then computed by built-in inference engines. A challenging goal is to develop general purpose inference algorithms that work out-of-the-box…
Hamiltonian Monte Carlo and underdamped Langevin Monte Carlo are state-of-the-art methods for taking samples from high-dimensional distributions with a differentiable density function. To generate samples, they numerically integrate…
Numerous applications in biology, statistics, science, and engineering require generating samples from high-dimensional probability distributions. In recent years, the Hamiltonian Monte Carlo (HMC) method has emerged as a state-of-the-art…
We discuss Hamiltonian Monte Carlo (HMC) and event-chain Monte Carlo (ECMC) for the one-dimensional chain of particles with harmonic interactions and benchmark them against local reversible Metropolis algorithms. While HMC achieves…
We introduce Preconditioned Monte Carlo (PMC), a novel Monte Carlo method for Bayesian inference that facilitates efficient sampling of probability distributions with non-trivial geometry. PMC utilises a Normalising Flow (NF) in order to…
Markov chain Monte Carlo (MCMC) methods are a powerful but computationally expensive way of performing non-parametric Bayesian inference. MCMC proposals which utilise gradients, such as Hamiltonian Monte Carlo (HMC), can better explore the…
This work introduces a novel and efficient Bayesian federated learning algorithm, namely, the Federated Averaging stochastic Hamiltonian Monte Carlo (FA-HMC), for parameter estimation and uncertainty quantification. We establish rigorous…
Markov Chain Monte Carlo inference of target posterior distributions in machine learning is predominately conducted via Hamiltonian Monte Carlo and its variants. This is due to Hamiltonian Monte Carlo based samplers ability to suppress…
The problem of sampling constrained continuous distributions has frequently appeared in many machine/statistical learning models. Many Monte Carlo Markov Chain (MCMC) sampling methods have been adapted to handle different types of…
Bayesian formulation of modern day signal processing problems has called for improved Markov chain Monte Carlo (MCMC) sampling algorithms for inference. The need for efficient sampling techniques has become indispensable for high…
Hybrid Monte Carlo (HMC) generates samples from a prescribed probability distribution in a configuration space by simulating Hamiltonian dynamics, followed by the Metropolis (-Hastings) acceptance/rejection step. Compressible HMC (CHMC)…
ParaMonte::Python (standing for Parallel Monte Carlo in Python) is a serial and MPI-parallelized library of (Markov Chain) Monte Carlo (MCMC) routines for sampling mathematical objective functions, in particular, the posterior distributions…
Importance sampling (IS) is a powerful Monte Carlo (MC) methodology for approximating integrals, for instance in the context of Bayesian inference. In IS, the samples are simulated from the so-called proposal distribution, and the choice of…
Sequential Monte Carlo (SMC) methods are a class of Monte Carlo methods that are used to obtain random samples of a high dimensional random variable in a sequential fashion. Many problems encountered in applications often involve different…
Markov Chain Monte Carlo (MCMC) algorithms play an important role in statistical inference problems dealing with intractable probability distributions. Recently, many MCMC algorithms such as Hamiltonian Monte Carlo (HMC) and Riemannian…
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…
Sampling from high dimensional distributions is a computational bottleneck in many scientific applications. Hamiltonian Monte Carlo (HMC), and in particular the No-U-Turn Sampler (NUTS), are widely used, yet they struggle on problems with a…
Riemannian manifold Hamiltonian Monte Carlo (RMHMC) is a sampling algorithm that seeks to adapt proposals to the local geometry of the posterior distribution. The specific form of the Hamiltonian used in RMHMC necessitates {\it…
This work presents an efficient approach for accelerating multilevel Markov Chain Monte Carlo (MCMC) sampling for large-scale problems using low-fidelity machine learning models. While conventional techniques for large-scale Bayesian…