Related papers: Hamiltonian MCMC methods for estimating rare event…
We consider Metropolis Hastings MCMC in cases where the log of the ratio of target distributions is replaced by an estimator. The estimator is based on m samples from an independent online Monte Carlo simulation. Under some conditions on…
We explore efficient estimation of statistical quantities, particularly rare event probabilities, for stochastic reaction networks. Consequently, we propose an importance sampling (IS) approach to improve the Monte Carlo (MC) estimator…
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…
Markov chain Monte Carlo (MCMC) methods require a large number of samples to approximate a posterior distribution, which can be costly when the likelihood or prior is expensive to evaluate. The number of samples can be reduced if we can…
Markov Chain Monte Carlo (MCMC) algorithms are essential tools in computational statistics for sampling from unnormalised probability distributions, but can be fragile when targeting high-dimensional, multimodal, or complex target…
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…
We propose a new framework of variance-reduced Hamiltonian Monte Carlo (HMC) methods for sampling from an $L$-smooth and $m$-strongly log-concave distribution, based on a unified formulation of biased and unbiased variance reduction…
Importance sampling (IS) is a powerful Monte Carlo (MC) methodology for approximating integrals, for instance in the context of Bayesian inference. In IS, the samples are simulated from the so-called proposal distribution, and the choice of…
Rare events are events that are expected to occur infrequently, or more technically, those that have low probabilities (say, order of $10^{-3}$ or less) of occurring according to a probability model. In the context of uncertainty…
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…
Importance sampling has been known as a powerful tool to reduce the variance of Monte Carlo estimator for rare event simulation. Based on the criterion of minimizing the variance of Monte Carlo estimator within a parametric family, we…
In this work, we consider the problem of estimating the probability distribution, the quantile or the conditional expectation above the quantile, the so called conditional-value-at-risk, of output quantities of complex random differential…
We propose Subsampling MCMC, a Markov Chain Monte Carlo (MCMC) framework where the likelihood function for $n$ observations is estimated from a random subset of $m$ observations. We introduce a highly efficient unbiased estimator of the…
The efficiency of Hamiltonian Monte Carlo (HMC) can suffer when sampling a distribution with a wide range of length scales, because the small step sizes needed for stability in high-curvature regions are inefficient elsewhere. To address…
In this paper, we introduce a new algorithm for rare event estimation based on adaptive importance sampling. We consider a smoothed version of the optimal importance sampling density, which is approximated by an ensemble of interacting…
In this manuscript, we investigate importance sampling methods for rare-event simulation in diffusion processes. We show, from a large-deviation perspective, that the resulting importance sampling estimator is log-efficient. This connection…
Bayesian approaches have been successfully integrated into training deep neural networks. One popular family is stochastic gradient Markov chain Monte Carlo methods (SG-MCMC), which have gained increasing interest due to their scalability…
The goal of this paper is to develop provably efficient importance sampling Monte Carlo methods for the estimation of rare events within the class of linear stochastic partial differential equations (SPDEs). We find that if a spectral gap…
This work introduces and compares approaches for estimating rare-event probabilities related to the number of edges in the random geometric graph on a Poisson point process. In the one-dimensional setting, we derive closed-form expressions…
In this work we present a new and efficient Bayesian method for nonlinear three dimensional large scale structure inference. We employ a Hamiltonian Monte Carlo (HMC) sampler to obtain samples from a multivariate highly non-Gaussian…