Related papers: Mean field approximations via log-concavity
Sampling from various kinds of distributions is an issue of paramount importance in statistics since it is often the key ingredient for constructing estimators, test procedures or confidence intervals. In many situations, the exact sampling…
We find limiting distributions of the nonparametric maximum likelihood estimator (MLE) of a log-concave density, that is, a density of the form $f_0=\exp\varphi_0$ where $\varphi_0$ is a concave function on $\mathbb{R}$. The pointwise…
Mean-field variational inference (MFVI) is a widely used method for approximating high-dimensional probability distributions by product measures. This paper studies the stability properties of the mean-field approximation when the target…
Entropically regularized optimal transport between probability measures supported on compact subsets of Euclidean space admits a representation as an information projection under moment inequality constraints. Exploiting this structure, I…
We develop transportation-entropy inequalities which are saturated for measures such that their log-density with respect to the background measure is an affine function, in the setting of the uniform measure on the discrete hypercube and…
Variational approximation, such as mean-field (MF) and tree-reweighted (TRW), provide a computationally efficient approximation of the log-partition function for a generic graphical model. TRW provably provides an upper bound, but the…
Accurate approximation of probability measures is essential in numerical applications. This paper explores the quantization of probability measures using the maximum mean discrepancy (MMD) distance as a guiding metric. We first investigate…
We estimate the density and its derivatives using a local polynomial approximation to the logarithm of an unknown density $f$. The estimator is guaranteed to be nonnegative and achieves the same optimal rate of convergence in the interior…
In Statistics, log-concave density estimation is a central problem within the field of nonparametric inference under shape constraints. Despite great progress in recent years on the statistical theory of the canonical estimator, namely the…
We consider a generalization of the classifier-based density-ratio estimation task to a quasiprobabilistic setting where probability densities can be negative. The problem with most loss functions used for this task is that they implicitly…
We establish a quantitative normal approximation result for sums of random variables with multilevel local dependencies. As a corollary, we obtain a quantitative normal approximation result for linear functionals of random fields which may…
In this paper, we study the problem of sampling from log-concave distributions supported on convex, compact sets, with a particular focus on the randomized midpoint discretization of both vanilla and kinetic Langevin diffusions in this…
We prove a pointwise version of the multi-dimensional central limit theorem for convex bodies. Namely, let X be an isotropic random vector in R^n with a log-concave density. For a typical subspace E in R^n of dimension n^c, consider the…
Mean-field variational inference is a method for approximate Bayesian posterior inference. It approximates a full posterior distribution with a factorized set of distributions by maximizing a lower bound on the marginal likelihood. This…
This paper presents a detailed theoretical analysis of the Langevin Monte Carlo sampling algorithm recently introduced in Durmus et al. (Efficient Bayesian computation by proximal Markov chain Monte Carlo: when Langevin meets Moreau, 2016)…
Convex risk measures play a foundational role in the area of stochastic optimization. However, in contrast to risk neutral models, their applications are still limited due to the lack of efficient solution methods. In particular, the mean…
The log-concave maximum likelihood estimator of a density on the real line based on a sample of size $n$ is known to attain the minimax optimal rate of convergence of $O(n^{-4/5})$ with respect to, e.g., squared Hellinger distance. In this…
We propose a new discretization of the mirror-Langevin diffusion and give a crisp proof of its convergence. Our analysis uses relative convexity/smoothness and self-concordance, ideas which originated in convex optimization, together with a…
In this paper, we propose a novel method to approximate the mean field stochastic differential equation by means of approximating the density function via Fokker-Planck equation. We construct a well-posed truncated Fokker-Planck equation…
We show that under a low complexity condition on the gradient of a Hamiltonian, Gibbs distributions on the Boolean hypercube are approximate mixtures of product measures whose probability vectors are critical points of an associated…