Related papers: Toward Unlimited Self-Learning MCMC with Parallel …

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…

We show how to speed up Sequential Monte Carlo (SMC) for Bayesian inference in large data problems by data subsampling. SMC sequentially updates a cloud of particles through a sequence of distributions, beginning with a distribution that is…

Adaptive Markov Chain Monte Carlo (AMCMC) is a class of MCMC algorithms where the proposal distribution changes at every iteration of the chain. In this case it is important to verify that such a Markov Chain indeed has a stationary…

Variational autoencoder (VAE) is a very popular and well-investigated generative model in neural learning research. To leverage VAE in practical tasks dealing with a massive dataset of large dimensions, it is required to deal with the…

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,…

We propose a sampling-based framework for finite-horizon trajectory and policy optimization under differentiable dynamics by casting controller design as inference. Specifically, we minimize a KL-regularized expected trajectory cost, which…

A core problem in statistics and probabilistic machine learning is to compute probability distributions and expectations. This is the fundamental problem of Bayesian statistics and machine learning, which frames all inference as…

We propose Adaptive Incremental Mixture Markov chain Monte Carlo (AIMM), a novel approach to sample from challenging probability distributions defined on a general state-space. While adaptive MCMC methods usually update a parametric…

While the self-learning kinetic Monte Carlo (SLKMC) method enables the calculation of transition rates from a realistic potential, implementations of it were usually limited to one specific surface orientation. An example is the fcc (111)…

Hamiltonian Monte Carlo (HMC) is a powerful Markov chain Monte Carlo (MCMC) algorithm for estimating expectations with respect to continuous un-normalized probability distributions. MCMC estimators typically have higher variance than…

Bayesian deep learning offers a principled way to address many issues concerning safety of artificial intelligence (AI), such as model uncertainty,model interpretability, and prediction bias. However, due to the lack of efficient Monte…

We develop a framework that allows the use of the multi-level Monte Carlo (MLMC) methodology (Giles2015) to calculate expectations with respect to the invariant measure of an ergodic SDE. In that context, we study the (over-damped) Langevin…

In the context of Bayesian inversion for scientific and engineering modeling, Markov chain Monte Carlo sampling strategies are the benchmark due to their flexibility and robustness in dealing with arbitrary posterior probability density…

We propose a novel approach called Self-Learning Hybrid Monte Carlo (SLHMC) which is a general method to make use of machine learning potentials to accelerate the statistical sampling of first-principles density-functional-theory (DFT)…

We propose a variance reduction framework for variational inference using the Multilevel Monte Carlo (MLMC) method. Our framework is built on reparameterized gradient estimators and "recycles" parameters obtained from past update history in…

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…

Machine learning and deep learning have revolutionized computational physics, particularly the simulation of complex systems. Equivariance is essential for simulating physical systems because it imposes a strong inductive bias on the…

Markov Chain Monte Carlo (MCMC) is a well-established family of algorithms which are primarily used in Bayesian statistics to sample from a target distribution when direct sampling is challenging. Single instances of MCMC methods are widely…

We present a sequential Monte Carlo sampler algorithm for the Bayesian analysis of generalised linear mixed models (GLMMs). These models support a variety of interesting regression-type analyses, but performing inference is often extremely…

Sequential Monte Carlo (SMC) samplers form an attractive alternative to MCMC for Bayesian computation. However, their performance depends strongly on the Markov kernels used to rejuvenate particles. We discuss how to calibrate automatically…