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We propose a variant of Hamiltonian Monte Carlo (HMC), called the Repelling-Attracting Hamiltonian Monte Carlo (RAHMC), for sampling from multimodal distributions. The key idea that underpins RAHMC is a departure from the conservative…
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.…
Stochastic gradient Markov Chain Monte Carlo algorithms are popular samplers for approximate inference, but they are generally biased. We show that many recent versions of these methods (e.g. Chen et al. (2014)) cannot be corrected using…
In this paper we propose a general framework of performing MCMC with only a mini-batch of data. We show by estimating the Metropolis-Hasting ratio with only a mini-batch of data, one is essentially sampling from the true posterior raised to…
Multimodal structures in the sampling density (e.g. two competing phases) can be a serious problem for traditional Markov Chain Monte Carlo (MCMC), because correct sampling of the different structures can only be guaranteed for infinite…
In the stochastic gradient descent (SGD) for sequential simulations such as the neural stochastic differential equations, the Multilevel Monte Carlo (MLMC) method is known to offer better theoretical computational complexity compared to the…
The normalizing constant plays an important role in Bayesian computation, and there is a large literature on methods for computing or approximating normalizing constants that cannot be evaluated in closed form. When the normalizing constant…
We develop a parallel rejection algorithm to tackle the problem of low acceptance in Monte Carlo methods, and apply it to the simulation of the hopping conduction in Coulomb glasses using Graphics Processing Units, for which we also…
The rise of artificial intelligence (AI) hinges on the efficient training of modern deep neural networks (DNNs) for non-convex optimization and uncertainty quantification, which boils down to a non-convex Bayesian learning problem. A…
We propose a general and scalable approximate sampling strategy for probabilistic models with discrete variables. Our approach uses gradients of the likelihood function with respect to its discrete inputs to propose updates in a…
This paper constructs an ensemble-based sampling smoother for four-dimensional data assimilation using a Hybrid/Hamiltonian Monte-Carlo approach. The smoother samples efficiently from the posterior probability density of the solution at the…
Hamiltonian Monte Carlo (HMC) has emerged as a powerful Markov Chain Monte Carlo (MCMC) method to sample from complex continuous distributions. However, a fundamental limitation of HMC is that it can not be applied to distributions with…
Stochastic processes are a flexible and widely used family of models for statistical modeling. While stochastic processes offer attractive properties such as inclusion of uncertainty properties, their inference is typically intractable,…
Hamiltonian Monte Carlo (HMC) is the mainstay of applied Bayesian inference for differentiable models. However, HMC still struggles to sample from hierarchical models that induce densities with multiscale geometry: a large step size is…
We present a novel approach for fully non-stationary Gaussian process regression (GPR), where all three key parameters -- noise variance, signal variance and lengthscale -- can be simultaneously input-dependent. We develop gradient-based…
Recently, Stochastic Gradient Markov Chain Monte Carlo (SG-MCMC) methods have been proposed for scaling up Monte Carlo computations to large data problems. Whilst these approaches have proven useful in many applications, vanilla SG-MCMC…
Stochastic sampling techniques are ubiquitous in real-time rendering, where performance constraints force the use of low sample counts, leading to noisy intermediate results. To remove this noise, the post-processing step of temporal and…
Diffusion models (DMs) have recently shown remarkable performance on inverse problems (IPs). Optimization-based methods can fast solve IPs using DMs as powerful regularizers, but they are susceptible to local minima and noise overfitting.…
We present a novel technique for learning the mass matrices in samplers obtained from discretized dynamics that preserve some energy function. Existing adaptive samplers use Riemannian preconditioning techniques, where the mass matrices are…
This paper presents an algorithm for sampling random variables that allows to separation of the sampling process into subproblems by dividing the sample space into overlapping parts. The subproblems can be solved independently of each other…