Related papers: Connecting the Dots: Numerical Randomized Hamilton…

Recently, the Hamilton Monte Carlo (HMC) has become widespread as one of the more reliable approaches to efficient sample generation processes. However, HMC is difficult to sample in a multimodal posterior distribution because the HMC chain…

Recently, Stochastic Gradient Markov Chain Monte Carlo (SG-MCMC) methods have been proposed for scaling up Monte Carlo computations to large data problems. Whilst these approaches have proven useful in many applications, vanilla SG-MCMC…

The Hamiltonian Monte Carlo (HMC) method has been recognized as a powerful sampling tool in computational statistics. We show that performance of HMC can be significantly improved by incorporating importance sampling and an irreversible…

Markov chain Monte Carlo methods are often deemed too computationally intensive to be of any practical use for big data applications, and in particular for inference on datasets containing a large number $n$ of individual data points, also…

We extend the event-chain Monte Carlo algorithm from hard-sphere interactions to the micro-canonical ensemble (constant potential energy) for general potentials. This event-driven Monte Carlo algorithm is non-local, rejection-free, and…

We present a new framework to derandomise certain Markov chain Monte Carlo (MCMC) algorithms. As in MCMC, we first reduce counting problems to sampling from a sequence of marginal distributions. For the latter task, we introduce a method…

We introduce a general Monte Carlo method based on Nested Sampling (NS), for sampling complex probability distributions and estimating the normalising constant. The method uses one or more particles, which explore a mixture of nested…

One of the open challenges in quantum computing is to find meaningful and practical methods to leverage quantum computation to accelerate classical machine learning workflows. A ubiquitous problem in machine learning workflows is sampling…

In this article, we present an event-driven algorithm that generalizes the recent hard-sphere event-chain Monte Carlo method without introducing discretizations in time or in space. A factorization of the Metropolis filter and the concept…

We consider parallel asynchronous Markov Chain Monte Carlo (MCMC) sampling for problems where we can leverage (stochastic) gradients to define continuous dynamics which explore the target distribution. We outline a solution strategy for…

Probabilistic programming uses programs to express generative models whose posterior probability is then computed by built-in inference engines. A challenging goal is to develop general purpose inference algorithms that work out-of-the-box…

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…

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…

The need to calibrate increasingly complex statistical models requires a persistent effort for further advances on available, computationally intensive Monte Carlo methods. We study here an advanced version of familiar Markov Chain Monte…

Hybrid Monte Carlo (HMC) generates samples from a prescribed probability distribution in a configuration space by simulating Hamiltonian dynamics, followed by the Metropolis (-Hastings) acceptance/rejection step. Compressible HMC (CHMC)…

Generating samples from a continuous probability density is a central algorithmic problem across statistics, engineering, and the sciences. For high-dimensional settings, Hamiltonian Monte Carlo (HMC) is the default algorithm across…

Model comparison for the purposes of selection, averaging and validation is a problem found throughout statistics. Within the Bayesian paradigm, these problems all require the calculation of the posterior probabilities of models within a…

Nested sampling is a powerful approach to Bayesian inference ultimately limited by the computationally demanding task of sampling from a heavily constrained probability distribution. An effective algorithm in its own right, Hamiltonian…

Many problems in the physical sciences, machine learning, and statistical inference necessitate sampling from a high-dimensional, multi-modal probability distribution. Markov Chain Monte Carlo (MCMC) algorithms, the ubiquitous tool for this…

The Markov Chain Monte Carlo method is at the heart of efficient approximation schemes for a wide range of problems in combinatorial enumeration and statistical physics. It is therefore very natural and important to determine whether…