Related papers: Sampling and statistical physics via symmetry
We report multipronged progress on the stochastic averaging approach to numerical analytic continuation of quantum Monte Carlo data. With the sampled spectrum parametrized with delta-functions in continuous frequency space, a calculation of…
In lattice quantum field theory studies, parameters defining the lattice theory must be tuned toward criticality to access continuum physics. Commonly used Markov chain Monte Carlo (MCMC) methods suffer from critical slowing down in this…
The sampling of probability distributions specified up to a normalization constant is an important problem in both machine learning and statistical mechanics. While classical stochastic sampling methods such as Markov Chain Monte Carlo…
Sequential Monte Carlo (SMC) algorithms represent a suite of robust computational methodologies utilized for state estimation and parameter inference within dynamical systems, particularly in real-time or online environments where data…
Markov Chain Monte Carlo (MCMC) methods sample from unnormalized probability distributions and offer guarantees of exact sampling. However, in the continuous case, unfavorable geometry of the target distribution can greatly limit the…
Sequential Monte Carlo (SMC) samplers are powerful tools for Bayesian inference but suffer from high computational costs due to their reliance on large particle ensembles for accurate estimates. We introduce persistent sampling (PS), an…
Much attention has been given to the problem of estimating cosmological parameters from the $C_l$ measured by future experiments. Many of the approaches which are being used either invoke poorly controlled approximations or are…
State-space models have been used in many applications, including econometrics, engineering, medical research, etc. The maximum likelihood estimation (MLE) of the static parameter of general state-space models is not straightforward because…
Markov Chain Monte Carlo (MCMC) is a computational approach to fundamental problems such as inference, integration, optimization, and simulation. The field has developed a broad spectrum of algorithms, varying in the way they are motivated,…
Monte Carlo experiments produce samples in order to estimate features of a given distribution. However, simultaneous estimation of means and quantiles has received little attention, despite being common practice. In this setting we…
In sampling tasks, it is common for target distributions to be known up to a normalizing constant. However, in many situations, even evaluating the unnormalized distribution can be costly or infeasible. This issue arises in scenarios such…
Motivated by the physics of strings and branes, we introduce a general suite of Markov chain Monte Carlo (MCMC) "suburban samplers" (i.e., spread out Metropolis). The suburban algorithm involves an ensemble of statistical agents connected…
A method for analytic continuation of imaginary-time correlation functions (here obtained in quantum Monte Carlo simulations) to real-frequency spectral functions is proposed. Stochastically sampling a spectrum parametrized by a large…
In this article we consider computing expectations w.r.t.~probability laws associated to a certain class of stochastic systems. In order to achieve such a task, one must not only resort to numerical approximation of the expectation, but…
Markov-chain Monte Carlo (MCMC), the field of stochastic algorithms built on the concept of sampling, has countless applications in science and technology. The overwhelming majority of MCMC algorithms are time-reversible and satisfy the…
Cyber-physical systems (CPS) are increasingly becoming driven by data, using multiple types of sensors to capture huge amounts of data. Extraction and characterization of useful information from big streams of data is a challenging problem.…
Elliptical slice sampling, when adapted to linearly truncated multivariate normal distributions, is a rejection-free Markov chain Monte Carlo method. At its core, it requires analytically constructing an ellipse-polytope intersection. The…
Global fits of physics models require efficient methods for exploring high-dimensional and/or multimodal posterior functions. We introduce a novel method for accelerating Markov Chain Monte Carlo (MCMC) sampling by pairing a…
The subject of stochastic approximation was founded by Robbins and Monro [Ann. Math. Statist. 22 (1951) 400--407]. After five decades of continual development, it has developed into an important area in systems control and optimization, and…
Perfect sampling is a technique that uses coupling arguments to provide a sample from the stationary distribution of a Markov chain in a finite time without ever computing the distribution. This technique is very efficient if all the events…