Related papers: Irreversible Langevin MCMC on Lie Groups

Reversible Markov chains play a central role in stochastic modelling and in algorithms such as Markov chain Monte Carlo (MCMC). Motivated by the fundamental importance of reversibility in classical settings, this paper develops a…

We analyse computational efficiency of Metropolis-Hastings algorithms with AR(1) process proposals. These proposals include, as a subclass, discretized Langevin diffusion (e.g. MALA) and discretized Hamiltonian dynamics (e.g. HMC). By…

New classes of Lie-Hamilton systems are obtained from the six-dimensional fundamental representation of the symplectic Lie algebra $\mathfrak{sp}(6,\mathbb{R})$. The ansatz is based on a recently proposed procedure for constructing…

Riemannian manifold Hamiltonian Monte Carlo (RMHMC) is a powerful method of Bayesian inference that exploits underlying geometric information of the posterior distribution in order to efficiently traverse the parameter space. However, the…

In this paper, we explore a general Aggregated Gradient Langevin Dynamics framework (AGLD) for the Markov Chain Monte Carlo (MCMC) sampling. We investigate the nonasymptotic convergence of AGLD with a unified analysis for different data…

Hamiltonian Monte Carlo (HMC) and related algorithms have become routinely used in Bayesian computation. In this article, we present a simple and provably accurate method to improve the efficiency of HMC and related algorithms with…

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A new algorithm based on bayesian inference for learning local graph conductance based on Gaussian Process(GP) is given that uses advanced MCMC convergence ideas to create a scalable and fast algorithm for convergence to stationary…

The classical Langevin Monte Carlo method looks for samples from a target distribution by descending the samples along the gradient of the target distribution. The method enjoys a fast convergence rate. However, the numerical cost is…

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The use of the probabilistic approach to solve inverse problems is becoming more popular in the geophysical community, thanks to its ability to address nonlinear forward problems and to provide uncertainty quantification. However, such…

A Lie system is a non-autonomous system of first-order ordinary differential equations describing the integral curves of a non-autonomous vector field taking values in a finite-dimensional real Lie algebra of vector fields, a so-called…

Markov chain Monte Carlo(MCMC) is a popular approach to sample from high dimensional distributions, and the asymptotic variance is a commonly used criterion to evaluate the performance. While most popular MCMC algorithms are reversible,…

The classical Metropolis-Hastings (MH) algorithm can be extended to generate non-reversible Markov chains. This is achieved by means of a modification of the acceptance probability, using the notion of vorticity matrix. The resulting Markov…

In many computational problems, using the Markov Chain Monte Carlo (MCMC) can be prohibitively time-consuming. We propose MCMC-Net, a simple yet efficient way to accelerate MCMC via neural networks. The key idea of our approach is to…

We present a two-stage Metropolis-Hastings algorithm for sampling probabilistic models, whose log-likelihood is computationally expensive to evaluate, by using a surrogate Gaussian Process (GP) model. The key feature of the approach, and…

A Riemannian geometric framework for Markov chain Monte Carlo (MCMC) is developed where using the Fisher-Rao metric on the manifold of probability density functions (pdfs), informed proposal densities for Metropolis-Hastings (MH) algorithms…

We present a trainable framework for efficiently generating gauge configurations, and discuss ongoing work in this direction. In particular, we consider the problem of sampling configurations from a 4D $SU(3)$ lattice gauge theory, and…

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We present a significant advancement in the field of Langevin Monte Carlo (LMC) methods by introducing the Inexact Proximal Langevin Algorithm (IPLA). This novel algorithm broadens the scope of problems that LMC can effectively address…