Related papers: Non-Reversible Parallel Tempering: a Scalable High…
Simulated and parallel tempering are families of Markov Chain Monte Carlo algorithms where a temperature parameter is varied during the simulation to overcome bottlenecks to convergence due to multimodality. In this work we introduce and…
Markov chain Monte Carlo is an inherently serial algorithm. Although likelihood calculations for individual steps can sometimes be parallelized, the serial evolution of the process is widely viewed as incompatible with parallelization,…
The P\'olya tree (PT) process is a general-purpose Bayesian nonparametric model that has found wide application in a range of inference problems. It has a simple analytic form and the posterior computation boils down to beta-binomial…
Density tempering (also called density annealing) is a sequential Monte Carlo approach to Bayesian inference for general state models; it is an alternative to Markov chain Monte Carlo. When applied to state space models, it moves a…
In finite-size scaling analyses of Monte Carlo simulations of second-order phase transitions one often needs an extended temperature range around the critical point. By combining the parallel tempering algorithm with cluster updates and an…
Parallel tempering is popular method for allowing MCMC algorithms to properly explore a $d$-dimensional multimodal target density. One problem with traditional power-based parallel tempering for multimodal targets is that the proportion of…
Sampling Boltzmann probability distributions plays a key role in machine learning and optimization, motivating the design of hardware accelerators such as Ising machines. While the Ising model can in principle encode arbitrary optimization…
Markov Chain Monte Carlo (MCMC) underlies both statistical physics and combinatorial optimization, but mixes slowly near critical points and in rough landscapes. Parallel Tempering (PT) improves mixing by swapping replicas across…
New sampling algorithms based on simulating continuous-time stochastic processes called piece-wise deterministic Markov processes (PDMPs) have shown considerable promise. However, these methods can struggle to sample from multi-modal or…
Markov chain Monte Carlo (MCMC) methods are frequently used to approximately simulate high-dimensional, multimodal probability distributions. In adaptive MCMC methods, the transition kernel is changed "on the fly" in the hope to speed up…
Simulated tempering (ST) is an established Markov chain Monte Carlo (MCMC) method for sampling from a multimodal density $\pi(\theta)$. Typically, ST involves introducing an auxiliary variable $k$ taking values in a finite subset of $[0,1]$…
As it has become common to use many computer cores in routine applications, finding good ways to parallelize popular algorithms has become increasingly important. In this paper, we present a parallelization scheme for Markov chain Monte…
Simulated Tempering (ST) is an MCMC algorithm for complex target distributions that operates on a path between the target and a more amenable reference distribution. Crucially, if the reference enables i.i.d. sampling, ST is regenerative…
Parallel tempering and population annealing are both effective methods for simulating equilibrium systems with rough free energy landscapes. Parallel tempering, also known as replica exchange Monte Carlo, is a Markov chain Monte Carlo…
Markov chain Monte Carlo (MCMC) is a powerful methodology for the approximation of posterior distributions. However, the iterative nature of MCMC does not naturally facilitate its use with modern highly parallel computation on HPC and cloud…
We have developed a technique to accelerate the acquisition of effectively uncorrelated configurations for off-lattice models of dense polymer melts which makes use of both parallel tempering and large scale Monte Carlo moves. The method is…
Sequential Monte Carlo methods, also known as particle methods, are a popular set of techniques for approximating high-dimensional probability distributions and their normalizing constants. These methods have found numerous applications in…
Probabilistic models are conceptually powerful tools for finding structure in data, but their practical effectiveness is often limited by our ability to perform inference in them. Exact inference is frequently intractable, so approximate…
We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete--time state--space Markov model. The algorithm employs two layers of particle filters to approximate the…
The Pseudo-Marginal (PM) algorithm is a popular Markov chain Monte Carlo (MCMC) method used to sample from a target distribution when its density is inaccessible, but can be estimated with a non-negative unbiased estimator. Its performance…