Related papers: Beyond Application End-Point Results: Quantifying …

Markov-chain Monte Carlo sampling has become a standard technique for exploring the posterior distribution of cosmological parameters constrained by observations of CMB anisotropies. Given an infinite amount of time, any MCMC sampler will…

To sample from a given target distribution, Markov chain Monte Carlo (MCMC) sampling relies on constructing an ergodic Markov chain with the target distribution as its invariant measure. For any MCMC method, an important question is how to…

Speeding up Markov Chain Monte Carlo (MCMC) for datasets with many observations by data subsampling has recently received considerable attention. A pseudo-marginal MCMC method is proposed that estimates the likelihood by data subsampling…

We introduce Markov chain Monte Carlo (MCMC) algorithms based on numerical approximations of piecewise-deterministic Markov processes obtained with the framework of splitting schemes. We present unadjusted as well as adjusted algorithms,…

Performance of clustering algorithms is evaluated with the help of accuracy metrics. There is a great diversity of clustering algorithms, which are key components of many data analysis and exploration systems. However, there exist only few…

Multilevel sampling methods, such as multilevel and multifidelity Monte Carlo, multilevel stochastic collocation, or delayed acceptance Markov chain Monte Carlo, have become standard uncertainty quantification (UQ) tools for a wide class of…

A core problem in statistics and probabilistic machine learning is to compute probability distributions and expectations. This is the fundamental problem of Bayesian statistics and machine learning, which frames all inference as…

This paper highlights new opportunities for designing large-scale machine learning systems as a consequence of blurring traditional boundaries that have allowed algorithm designers and application-level practitioners to stay -- for the most…

Robust Markov decision processes (RMDPs) extend standard Markov decision processes (MDPs) to account for uncertainty in the transition probabilities. RMDPs have an uncertainty set that defines a set of possible transition functions, each of…

Sequential Monte Carlo (SMC) methods, also known as particle filters, constitute a class of algorithms used to approximate expectations with respect to a sequence of probability distributions as well as the normalising constants of those…

Particle Markov Chain Monte Carlo (PMCMC) is a general computational approach to Bayesian inference for general state space models. Our article scales up PMCMC in terms of the number of observations and parameters by generating the…

Intensive algorithmic efforts have been made to enable the rapid improvements of certificated robustness for complex ML models recently. However, current robustness certification methods are only able to certify under a limited perturbation…

In this paper, we present Robust Model Predictive Control (MPC) problems with adjustable uncertainty sets. In contrast to standard Robust MPC problems with known uncertainty sets, we treat the uncertainty sets in our problems as additional…

Atomistic simulations provide valuable insights into the physical processes governing material behavior. However, their applicability is fundamentally constrained by the limited time scales accessible to brute-force simulations. This…

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…

Markov chain Monte Carlo (MCMC) is the predominant tool used in Bayesian parameter estimation for hierarchical models. When the model expands due to an increasing number of hierarchical levels, number of groups at a particular level, or…

Sample average approximation--based stochastic dynamic programming (SDP) and model predictive control (MPC) are two different methods for approaching multistage stochastic optimization. In this paper we investigate the conditions under…

We review criteria for comparing the efficiency of Markov chain Monte Carlo (MCMC) methods with respect to the asymptotic variance of estimates of expectations of functions of state, and show how such criteria can justify ways of combining…

Standard Markov chain Monte Carlo (MCMC) admits three fundamental control parameters: the number of chains, the length of the warmup phase, and the length of the sampling phase. These control parameters play a large role in determining the…

Markov Decision Processes (MDPs) are a formal framework for modeling and solving sequential decision-making problems. In finite-time horizons such problems are relevant for instance for optimal stopping or specific supply chain problems,…