Related papers: Machine Learning and Variational Algorithms for La…

Markov chain Monte Carlo (MCMC) algorithms are based on the construction of a Markov chain with transition probabilities leaving invariant a probability distribution of interest. In this work, we look at these transition probabilities as…

We present a flow-based method for simulating and calculating nucleation rates of first-order phase transitions in scalar field theory on a lattice. Motivated by recent advancements in machine learning tools, particularly normalizing flows…

We demonstrate the use of a variational method to determine a quantitative lower bound on the rate of convergence of Markov Chain Monte Carlo (MCMC) algorithms as a function of the target density and proposal density. The bound relies on…

Bayesian inference provides a methodology for parameter estimation and uncertainty quantification in machine learning and deep learning methods. Variational inference and Markov Chain Monte-Carlo (MCMC) sampling methods are used to…

An overview is given over the recently developed and now widely used Monte Carlo algorithms with reduced or eliminated critical slowing down. The basic techniques are overrelaxation, cluster algorithms and multigrid methods. With these…

Practitioners of Bayesian statistics have long depended on Markov chain Monte Carlo (MCMC) to obtain samples from intractable posterior distributions. Unfortunately, MCMC algorithms are typically serial, and do not scale to the large…

Markov chain Monte Carlo (MCMC) algorithms are indispensable when sampling from a complex, high-dimensional distribution by a conventional method is intractable. Even though MCMC is a powerful tool, it is also hard to control and tune in…

Advances in digital sensors, digital data storage and communications have resulted in systems being capable of accumulating large collections of data. In the light of dealing with the challenges that massive data present, this work proposes…

This book aims to provide a graduate-level introduction to advanced topics in Markov chain Monte Carlo (MCMC) algorithms, as applied broadly in the Bayesian computational context. Most, if not all of these topics (stochastic gradient MCMC,…

Markov chain Monte Carlo (MCMC) is an established approach for uncertainty quantification and propagation in scientific applications. A key challenge in applying MCMC to scientific domains is computation: the target density of interest is…

Recent advances in stochastic gradient variational inference have made it possible to perform variational Bayesian inference with posterior approximations containing auxiliary random variables. This enables us to explore a new synthesis of…

From basic considerations of the Lie group that preserves a target probability measure, we derive the Barker, Metropolis, and ensemble Markov chain Monte Carlo (MCMC) algorithms, as well as variants of waste-recycling Metropolis-Hastings…

We introduce Projected Latent Markov Chain Monte Carlo (PL-MCMC), a technique for sampling from the high-dimensional conditional distributions learned by a normalizing flow. We prove that a Metropolis-Hastings implementation of PL-MCMC…

Markov chain Monte Carlo (MCMC) methods are fundamental to Bayesian computation, but can be computationally intensive, especially in high-dimensional settings. Push-forward generative models, such as generative adversarial networks (GANs),…

Adaptive and interacting Markov chain Monte Carlo algorithms (MCMC) have been recently introduced in the literature. These novel simulation algorithms are designed to increase the simulation efficiency to sample complex distributions.…

In the context of Monte Carlo sampling for lattice models, the complexity of the energy landscape often leads to Markov chains being trapped in local optima, thereby increasing the correlation between samples and reducing sampling…

Bayesian inference in the physical sciences faces a fundamental challenge: the imperative for high-fidelity physical modeling often clashes with the intrinsic limitations of stochastic sampling algorithms. Complex, high-dimensional…

Bayesian modelling and computational inference by Markov chain Monte Carlo (MCMC) is a principled framework for large-scale uncertainty quantification, though is limited in practice by computational cost when implemented in the simplest…

A novel class of non-reversible Markov chain Monte Carlo schemes relying on continuous-time piecewise-deterministic Markov Processes has recently emerged. In these algorithms, the state of the Markov process evolves according to a…

Two popular classes of methods for approximate inference are Markov chain Monte Carlo (MCMC) and variational inference. MCMC tends to be accurate if run for a long enough time, while variational inference tends to give better approximations…