Related papers: A splitting Hamiltonian Monte Carlo method for eff…

Sampling problems are promising candidates for demonstrating quantum advantage, and one approach known as quantum-enhanced Markov chain Monte Carlo [Layden, D. et al., Nature 619, 282-287 (2023)] uses quantum samples as a proposal…

We introduce a Monte Carlo algorithm to efficiently compute transport properties of chaotic dynamical systems. Our method exploits the importance sampling technique that favors trajectories in the tail of the distribution of displacements,…

Quantum mechanics for many-body systems may be reduced to the evaluation of integrals in 3N dimensions using Monte-Carlo, providing the Quantum Monte Carlo ab initio methods. Here we limit ourselves to expectation values for trial…

Markov Chain Monte Carlo (MCMC) algorithms play an important role in statistical inference problems dealing with intractable probability distributions. Recently, many MCMC algorithms such as Hamiltonian Monte Carlo (HMC) and Riemannian…

An algorithm for separating the high- and low-frequency molecular dynamics modes in Hybrid Monte Carlo simulations of gauge theories with dynamical fermions is presented. The separation is based on splitting the pseudo-fermion action into…

Traditional gradient-based sampling methods, like standard Hamiltonian Monte Carlo, require that the desired target distribution is continuous and differentiable. This limits the types of models one can define, although the presented models…

Hamiltonian Monte Carlo (HMC) is a powerful algorithm to sample latent variables from Bayesian models. The advent of probabilistic programming languages (PPLs) frees users from writing inference algorithms and lets users focus on modeling.…

Hamiltonian Monte Carlo is typically based on the assumption of an underlying canonical symplectic structure. Numerical integrators designed for the canonical structure are incompatible with motion generated by non-canonical dynamics. These…

We propose a novel class of Sequential Monte Carlo (SMC) algorithms, appropriate for inference in probabilistic graphical models. This class of algorithms adopts a divide-and-conquer approach based upon an auxiliary tree-structured…

Numerical Generalized Randomized Hamiltonian Monte Carlo is introduced, as a robust, easy to use and computationally fast alternative to conventional Markov chain Monte Carlo methods for continuous target distributions. A wide class of…

Sampling from high dimensional distributions is a computational bottleneck in many scientific applications. Hamiltonian Monte Carlo (HMC), and in particular the No-U-Turn Sampler (NUTS), are widely used, yet they struggle on problems with a…

The efficient evaluation of high-dimensional integrals is of importance in both theoretical and practical fields of science, such as data science, statistical physics, and machine learning. However, exact computation methods suffer from the…

Sampling from a high-dimensional probability distribution is a fundamental algorithmic task arising in wide-ranging applications across multiple disciplines, including scientific computing, computational statistics and machine learning.…

Markov chain Monte Carlo (MCMC) methods asymptotically sample from complex probability distributions. The pseudo-marginal MCMC framework only requires an unbiased estimator of the unnormalized probability distribution function to construct…

Recently, Stochastic Gradient Markov Chain Monte Carlo (SG-MCMC) methods have been proposed for scaling up Monte Carlo computations to large data problems. Whilst these approaches have proven useful in many applications, vanilla SG-MCMC…

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…

In this paper we demonstrate that multi-modal Probability Distribution Functions (PDFs) may be efficiently sampled using an algorithm originally developed for numerical integrations by Monte-Carlo methods. This algorithm can be used to…

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,…

We propose a Markov chain Monte Carlo (MCMC) algorithm based on third-order Langevin dynamics for sampling from distributions with log-concave and smooth densities. The higher-order dynamics allow for more flexible discretization schemes,…

We propose a sequential Monte Carlo (SMC) method to efficiently and accurately compute cut-Bayesian posterior quantities of interest, variations of standard Bayesian approaches constructed primarily to account for model misspecification. We…