Related papers: Approximating inverse cumulative distribution func…
Monte Carlo simulations are widely used to simulate complex molecular systems, but standard approaches suffer from metastability. Lately, the use of non-local proposal updates in a collective-variable (CV) space has been proposed in several…
Solving hydrologic inverse problems usually requires repetitive forward simulations. One approach to mitigate the computational cost is to build a surrogate model, i.e., an approximate mapping from model parameters (input) to observable…
We propose quantum algorithms that provide provable speedups for Markov Chain Monte Carlo (MCMC) methods commonly used for sampling from probability distributions of the form $\pi \propto e^{-f}$, where $f$ is a potential function. Our…
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…
Standard sparse pseudo-input approximations to the Gaussian process (GP) cannot handle complex functions well. Sparse spectrum alternatives attempt to answer this but are known to over-fit. We suggest the use of variational inference for…
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…
We present a sequential Monte Carlo algorithm for Markov chain trajectories with proposals constructed in reverse time, which is advantageous when paths are conditioned to end in a rare set. The reverse time proposal distribution is…
Many practical techniques for probabilistic inference require a sequence of distributions that interpolate between a tractable distribution and an intractable distribution of interest. Usually, the sequences used are simple, e.g., based on…
This paper considers properties of an optimization based sampler for targeting the posterior distribution when the likelihood is intractable and auxiliary statistics are used to summarize information in the data. Our reverse sampler…
This paper proposes an eigenvalue-based small-sample approximation of the celebrated Markov Chain Monte Carlo that delivers an invariant steady-state distribution that is consistent with traditional Monte Carlo methods. The proposed…
Markov Chain Monte Carlo (MCMC) algorithms are routinely used to draw samples from distributions with intractable normalization constants. However, standard MCMC algorithms do not apply to doubly-intractable distributions in which there are…
We describe a simple method for making inference on a functional of a multivariate distribution. The method is based on a copula representation of the multivariate distribution and it is based on the properties of an Approximate Bayesian…
The theme of the present paper is numerical integration of $C^r$ functions using randomized methods. We consider variance reduction methods that consist in two steps. First the initial interval is partitioned into subintervals and the…
Markov chain Monte Carlo (MCMC) is a widely used sampling method in modern artificial intelligence and probabilistic computing systems. It involves repetitive random number generations and thus often dominates the latency of probabilistic…
In this paper we develop non-asymptotic Gaussian approximation results for the sampling distribution of suprema of empirical processes when the indexing function class $\mathcal{F}_n$ varies with the sample size $n$ and may not be Donsker.…
In this paper, we develop a general theory of truncated inverse binomial sampling. In this theory, the fixed-size sampling and inverse binomial sampling are accommodated as special cases. In particular, the classical Chernoff-Hoeffding…
Recent work has suggested using Monte Carlo methods based on piecewise deterministic Markov processes (PDMPs) to sample from target distributions of interest. PDMPs are non-reversible continuous-time processes endowed with momentum, and…
This paper presents a control variate-based Markov chain Monte Carlo algorithm for efficient sampling from the probability simplex, with a focus on applications in large-scale Bayesian models such as latent Dirichlet allocation. Standard…
Approximate Bayesian computation methods are useful for generative models with intractable likelihoods. These methods are however sensitive to the dimension of the parameter space, requiring exponentially increasing resources as this…
A non trivial problem that arises in several applications is the estimation of the mean of a truncated normal distribution. In this paper, an iterative deterministic scheme for approximating this mean is proposed. It has been inspired from…