Related papers: Deep Markov Chain Monte Carlo
In Hamiltonian Monte Carlo sampling, the shape of the potential and the choice of the momentum distribution jointly give rise to the Hamiltonian dynamics of the sampler. An efficient sampler propagates quickly in all regions of the…
Factors models are routinely used to analyze high-dimensional data in both single-study and multi-study settings. Bayesian inference for such models relies on Markov Chain Monte Carlo (MCMC) methods which scale poorly as the number of…
The Hamiltonian Monte Carlo (HMC) algorithm is a powerful Markov Chain Monte Carlo (MCMC) method that uses Hamiltonian dynamics to generate samples from a target distribution. To fully exploit its potential, we must understand how…
We generalize the Hamiltonian Monte Carlo algorithm with a stack of neural network layers and evaluate its ability to sample from different topologies in a two dimensional lattice gauge theory. We demonstrate that our model is able to…
One of the most demanding calculations is to generate random samples from a specified probability distribution (usually with an unknown normalizing prefactor) in a high-dimensional configuration space. One often has to resort to using a…
Many machine learning applications require operating on a spatially distributed dataset. Despite technological advances, privacy considerations and communication constraints may prevent gathering the entire dataset in a central unit. In…
We propose a hybrid Monte Carlo (HMC) technique applicable to high-dimensional multivariate normal distributions that effectively samples along chaotic trajectories. The method is predicated on the freedom of choice of the HMC momentum…
Accurate and efficient estimation of rare events probabilities is of significant importance, since often the occurrences of such events have widespread impacts. The focus in this work is on precisely quantifying these probabilities, often…
Markov chain Monte Carlo (MCMC) is a powerful tool for sampling from complex probability distributions. Despite its versatility, MCMC often suffers from strong autocorrelation and the negative sign problem, leading to slowing down the…
Hamiltonian Monte Carlo (HMC) has been progressively incorporated within the statistician's toolbox as an alternative sampling method in settings when standard Metropolis-Hastings is inefficient. HMC generates a Markov chain on an augmented…
Hamiltonian Monte Carlo has emerged as a standard tool for posterior computation. In this article, we present an extension that can efficiently explore target distributions with discontinuous densities. Our extension in particular enables…
Simulating the evolution of the local universe is important for studying galaxies and the intergalactic medium in a way free of cosmic variance. Here we present a method to reconstruct the initial linear density field from an input…
We develop a novel Markov chain Monte Carlo (MCMC) method that exploits a hierarchy of models of increasing complexity to efficiently generate samples from an unnormalized target distribution. Broadly, the method rewrites the Multilevel…
Hybrid Monte-Carlo (HMC) sampling smoother is a fully non-Gaussian four-dimensional data assimilation algorithm that works by directly sampling the posterior distribution formulated in the Bayesian framework. The smoother in its original…
This work introduces structure preserving hierarchical decompositions for sampling Gaussian random fields (GRF) within the context of multilevel Bayesian inference in high-dimensional space. Existing scalable hierarchical sampling methods,…
Many scientific and engineering problems require to perform Bayesian inferences in function spaces, in which the unknowns are of infinite dimension. In such problems, many standard Markov Chain Monte Carlo (MCMC) algorithms become arbitrary…
We propose an algorithm for the efficient and robust sampling of the posterior probability distribution in Bayesian inference problems. The algorithm combines the local search capabilities of the Manifold Metropolis Adjusted Langevin…
Bayesian analysis often concerns an evaluation of models with different dimensionality as is necessary in, for example, model selection or mixture models. To facilitate this evaluation, transdimensional Markov chain Monte Carlo (MCMC)…
Many random processes can be simulated as the output of a deterministic model accepting random inputs. Such a model usually describes a complex mathematical or physical stochastic system and the randomness is introduced in the input…
Stochastic reaction network models are often used to explain and predict the dynamics of gene regulation in single cells. These models usually involve several parameters, such as the kinetic rates of chemical reactions, that are not…