Related papers: Couplings for Andersen Dynamics
In this paper, a risk-aware motion control scheme is considered for mobile robots to avoid randomly moving obstacles when the true probability distribution of uncertainty is unknown. We propose a novel model predictive control (MPC) method…
We develop an efficient parallel multiscale method that bridges the atomistic and mesoscale regimes, from nanometer to micron and beyond, via concurrent coupling of atomistic simulation and mesoscopic dynamics. In particular, we combine an…
Advanced algorithms are necessary to obtain faster-than-real-time dynamic simulations in a number of different physical problems that are characterized by widely disparate time scales. Recent advanced dynamic Monte Carlo algorithms that…
Mean-field integro-differential equations are studied in an abstract framework, through couplings of the corresponding stochastic processes. In the perturbative regime, the equation is proven to admit a unique equilibrium, toward which the…
The so-called Maryland model is a linear version of the quantum kicked rotor; it exhibits Anderson localization in momentum space. By turning the kicks into a Markovian stochastic process, the dynamics becomes a dissipative quantum process…
The derivative-free projection method (DFPM) is an efficient algorithm for solving monotone nonlinear equations. As problems grow larger, there is a strong demand for speeding up the convergence of DFPM. This paper considers the application…
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…
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…
Over the last 25 years, techniques based on drift and minorization (d&m) have been mainstays in the convergence analysis of MCMC algorithms. However, results presented herein suggest that d&m may be less useful in the emerging area of…
For optimizing a non-convex function in finite dimension, a method is to add Brownian noise to a gradient descent, allowing for transitions between basins of attractions of different minimizers. To adapt this for optimization over a space…
We investigate the parameter recovery of Markov-switching ordinary differential processes from discrete observations, where the differential equations are nonlinear additive models. This framework has been widely applied in biological…
In this paper, a class of piecewise deterministic Markov processes with underlying fast dynamic is studied. Using a "penalty method" , an averaging result is obtained when the underlying dynamic is infinitely accelerated. The features of…
The Dirichlet process (DP) is a fundamental mathematical tool for Bayesian nonparametric modeling, and is widely used in tasks such as density estimation, natural language processing, and time series modeling. Although MCMC inference…
A wide variety of numerical methods are evaluated and compared for solving the stochastic differential equations encountered in molecular dynamics. The methods are based on the application of deterministic impulses, drifts, and Brownian…
Markov Chain Monte Carlo (MCMC) methods are employed to sample from a given distribution of interest, whenever either the distribution does not exist in closed form, or, if it does, no efficient method to simulate an independent sample from…
We present a derivation and theoretical investigation of the Adams-Bashforth and Adams-Moulton family of linear multistep methods for solving ordinary differential equations, starting from a Gaussian process (GP) framework. In the limit,…
The efficiency of a Markov sampler based on the underdamped Langevin diffusion is studied for high dimensional targets with convex and smooth potentials. We consider a classical second-order integrator which requires only one gradient…
The expectation-maximization (EM) algorithm is a well-known iterative method for computing maximum likelihood estimates from incomplete data. Despite its numerous advantages, a main drawback of the EM algorithm is its frequently observed…
There has been substantial interest in developing Markov chain Monte Carlo algorithms based on piecewise-deterministic Markov processes. However existing algorithms can only be used if the target distribution of interest is differentiable…
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…