Related papers: Demystifying Orthogonal Monte Carlo and Beyond
In parameter estimation problems one computes a posterior distribution over uncertain parameters defined jointly by a prior distribution, a model, and noisy data. Markov Chain Monte Carlo (MCMC) is often used for the numerical solution of…
In this paper, we present the Monte-Carlo Compressive Optimization algorithm, a new method to solve a combinatorial optimization problem that is assumed compressible. The method relies on random queries to the objective function in order to…
Monte Carlo methods represent the "de facto" standard for approximating complicated integrals involving multidimensional target distributions. In order to generate random realizations from the target distribution, Monte Carlo techniques use…
Proximal Markov Chain Monte Carlo is a novel construct that lies at the intersection of Bayesian computation and convex optimization, which helped popularize the use of nondifferentiable priors in Bayesian statistics. Existing formulations…
We consider adaptive increasingly rare Markov chain Monte Carlo (MCMC) algorithms, which are adaptive MCMC methods, where the adaptation concerning the "past'' happens less and less frequently over time. Under a contraction assumption with…
Sampling problems are widely regarded as the task for which quantum computers can most readily provide a quantum advantage. Leveraging this feature, the quantum-enhanced Markov chain Monte Carlo [Layden, D. et al., Nature 619, 282-287…
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…
For real symmetric matrices that are accessible only through matrix vector products, we present Monte Carlo estimators for computing the diagonal elements. Our probabilistic bounds for normwise absolute and relative errors apply to Monte…
We propose orthogonal inductive matrix completion (OMIC), an interpretable approach to matrix completion based on a sum of multiple orthonormal side information terms, together with nuclear-norm regularization. The approach allows us to…
Nonlinear model predictive control (NMPC) has gained widespread use in many applications. Its formulation traditionally involves repetitively solving a nonlinear constrained optimization problem online. In this paper, we investigate NMPC…
Irreversible and rejection-free Monte Carlo methods, recently developed in Physics under the name Event-Chain and known in Statistics as Piecewise Deterministic Monte Carlo (PDMC), have proven to produce clear acceleration over standard…
Convex composition optimization is an emerging topic that covers a wide range of applications arising from stochastic optimal control, reinforcement learning and multi-stage stochastic programming. Existing algorithms suffer from…
Sequential Monte Carlo (SMC) methods represent a classical set of techniques to simulate a sequence of probability measures through a simple selection/mutation mechanism. However, the associated selection functions and mutation kernels…
Hamiltonian Monte Carlo (HMC) algorithms which combine numerical approximation of Hamiltonian dynamics on finite intervals with stochastic refreshment and Metropolis correction are popular sampling schemes, but it is known that they may…
Continuous level Monte Carlo is an unbiased, continuous version of the celebrated multilevel Monte Carlo method. The approximation level is assumed to be continuous resulting in a stochastic process describing the quantity of interest.…
Traditional Markov Chain Monte Carlo methods suffer from low acceptance rate, slow mixing and low efficiency in high dimensions. Hamiltonian Monte Carlo resolves this issue by avoiding the random walk. Hamiltonian Monte Carlo (HMC) is a…
Sampling occupies an important position in theories of various scientific fields, and Markov chain Monte Carlo (MCMC) provides the most common technique of sampling. In the progress of MCMC, a huge number of studies have aimed the…
As the number of samples and dimensionality of optimization problems related to statistics an machine learning explode, block coordinate descent algorithms have gained popularity since they reduce the original problem to several smaller…
A novel class of non-reversible Markov chain Monte Carlo schemes relying on continuous-time piecewise-deterministic Markov Processes has recently emerged. In these algorithms, the state of the Markov process evolves according to a…
An Orthogonal Least Squares (OLS) based feature selection method is proposed for both binomial and multinomial classification. The novel Squared Orthogonal Correlation Coefficient (SOCC) is defined based on Error Reduction Ratio (ERR) in…