Related papers: Annealed Flow Transport Monte Carlo
More than twenty years after its introduction, Annealed Importance Sampling (AIS) remains one of the most effective methods for marginal likelihood estimation. It relies on a sequence of distributions interpolating between a tractable…
Normalizing constant (also called partition function, Bayesian evidence, or marginal likelihood) is one of the central goals of Bayesian inference, yet most of the existing methods are both expensive and inaccurate. Here we develop a new…
Transport maps can ease the sampling of distributions with non-trivial geometries by transforming them into distributions that are easier to handle. The potential of this approach has risen with the development of Normalizing Flows (NF)…
Adaptive importance sampling (AIS) methods are increasingly used for the approximation of distributions and related intractable integrals in the context of Bayesian inference. Population Monte Carlo (PMC) algorithms are a subclass of AIS…
Markov chain Monte Carlo methods are a powerful and commonly used family of numerical methods for sampling from complex probability distributions. As applications of these methods increase in size and complexity, the need for efficient…
Normalizing flows (NFs) provide uncorrelated samples from complex distributions, making them an appealing tool for parameter estimation. However, the practical utility of NFs remains limited by their tendency to collapse to a single mode of…
We propose a new framework for efficiently sampling from complex probability distributions using a combination of normalizing flows and elliptical slice sampling (Murray et al., 2010). The central idea is to learn a diffeomorphism, through…
Among Monte Carlo techniques, the importance sampling requires fine tuning of a proposal distribution, which is now fluently resolved through iterative schemes. The Adaptive Multiple Importance Sampling (AMIS) of Cornuet et al. (2012)…
Evaluating expectations on an Ising model (or Boltzmann machine) is essential for various applications, including statistical machine learning. However, in general, the evaluation is computationally difficult because it involves intractable…
Sequential Monte Carlo Samplers are a class of stochastic algorithms for Monte Carlo integral estimation w.r.t. probability distributions, which combine elements of Markov chain Monte Carlo methods and importance sampling/resampling…
Connecting optimal transport and variational inference, we present a principled and systematic framework for sampling and generative modelling centred around divergences on path space. Our work culminates in the development of the…
Sequential Monte Carlo (SMC), or particle filtering, is a popular class of methods for sampling from an intractable target distribution using a sequence of simpler intermediate distributions. Like other importance sampling-based methods,…
In this paper, we suggest a novel sampling method for Monte Carlo molecular simulations. In order to perform efficient sampling of molecular systems, it is advantageous to avoid extremely high energy configurations while also retaining the…
This paper introduces a Bayesian framework that combines Markov chain Monte Carlo (MCMC) sampling, dimensionality reduction, and neural density estimation to efficiently handle inverse problems that (i) must be solved multiple times, and…
Normalizing flows model a complex target distribution in terms of a bijective transform operating on a simple base distribution. As such, they enable tractable computation of a number of important statistical quantities, particularly…
Annealed importance sampling (AIS) is the gold standard for estimating partition functions or marginal likelihoods, corresponding to importance sampling over a path of distributions between a tractable base and an unnormalized target. While…
The Auto-Importance Sampling (AIS) method is a Monte Carlo variance reduction technique proposed for deep penetration problems, which can significantly improve computational efficiency without pre-calculations for importance distribution.…
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…
Most solved dynamic structural macrofinance models are non-linear and/or non-Gaussian state-space models with high-dimensional and complex structures. We propose an annealed controlled sequential Monte Carlo method that delivers numerically…
We propose nested sequential Monte Carlo (NSMC), a methodology to sample from sequences of probability distributions, even where the random variables are high-dimensional. NSMC generalises the SMC framework by requiring only approximate,…