Related papers: Maximum conditional entropy Hamiltonian Monte Carl…
Nonlinear non-Gaussian state-space models arise in numerous applications in statistics and signal processing. In this context, one of the most successful and popular approximation techniques is the Sequential Monte Carlo (SMC) algorithm,…
Assume interest is in sampling from a probability distribution $\mu$ defined on $(\mathsf{Z},\mathscr{Z})$. We develop a framework for sampling algorithms which takes full advantage of ODE numerical integrators, say…
The difficulty of simulating quantum dynamics depends on the norm of the Hamiltonian. When the Hamiltonian varies with time, the simulation complexity should only depend on this quantity instantaneously. We develop quantum simulation…
Hamiltonian Monte Carlo (HMC) is a powerful Markov Chain Monte Carlo (MCMC) method for sampling from complex high-dimensional continuous distributions. However, in many situations it is necessary or desirable to combine HMC with other…
We study convergence rates of Hamiltonian Monte Carlo (HMC) algorithms with leapfrog integration under mild conditions on stochastic gradient oracle for the target distribution (SGHMC). Our method extends standard HMC by allowing the use of…
Based on a new coupling approach, we prove that the transition step of the Hamiltonian Monte Carlo algorithm is contractive w.r.t. a carefully designed Kantorovich (L1 Wasserstein) distance. The lower bound for the contraction rate is…
We present a comprehensive comparison of different Markov Chain Monte Carlo (MCMC) sampling methods, evaluating their performance on both standard test problems and cosmological parameter estimation. Our analysis includes traditional…
Statistical signal processing applications usually require the estimation of some parameters of interest given a set of observed data. These estimates are typically obtained either by solving a multi-variate optimization problem, as in the…
This paper surveys in detail the relations between numerical integration and the Hamiltonian (or hybrid) Monte Carlo method (HMC). Since the computational cost of HMC mainly lies in the numerical integrations, these should be performed as…
Proposals for Metropolis-Hastings MCMC derived by discretizing Langevin diffusion or Hamiltonian dynamics are examples of stochastic autoregressive proposals that form a natural wider class of proposals with equivalent computability. We…
We present different methods to increase the performance of Hybrid Monte Carlo simulations of the Hubbard model in two-dimensions. Our simulations concentrate on a hexagonal lattice, though can be easily generalized to other lattices. It is…
Gaussian latent variable models are a key class of Bayesian hierarchical models with applications in many fields. Performing Bayesian inference on such models can be challenging as Markov chain Monte Carlo algorithms struggle with the…
Strongly correlated fermionic systems are of great interest in condensed matter physics and numerical methods are indispensable tools for their study. However, existing approaches such as exact diagonalization (ED) and stochastic quantum…
Microscopic processes on surfaces such as adsorption, desorption, diffusion and reaction of interacting particles can be simulated using kinetic Monte Carlo (kMC) algorithms. Even though kMC methods are accurate, they are computationally…
Markov Chain Monte Carlo (MCMC) methods, such as the Metropolis-Hastings (MH) algorithm, are widely used for Bayesian inference. One of the most important issues for any MCMC method is the convergence of the Markov chain, which depends…
This paper provides sufficient conditions over the sequence of samples and parameters of an adaptive Markov Chain Monte Carlo (MCMC) algorithm to ensure ergodicity with respect to a target distribution that can have unbounded support. These…
A Kernel Adaptive Metropolis-Hastings algorithm is introduced, for the purpose of sampling from a target distribution with strongly nonlinear support. The algorithm embeds the trajectory of the Markov chain into a reproducing kernel Hilbert…
This paper discusses the irreducibility and geometric ergodicity of the Hamiltonian Monte Carlo (HMC) algorithm. We consider cases where the number of steps of the symplectic integrator is either fixed or random. Under mild conditions on…
Importance sampling (IS) is a powerful Monte Carlo (MC) technique for approximating intractable integrals, for instance in Bayesian inference. The performance of IS relies heavily on the appropriate choice of the so-called proposal…
Sampling from the lattice Gaussian distribution is emerging as an important problem in coding and cryptography. In this paper, the classic Metropolis-Hastings (MH) algorithm from Markov chain Monte Carlo (MCMC) methods is adapted for…