Related papers: Fluctuation without dissipation: Microcanonical La…

We consider the constrained sampling problem where the goal is to sample from a target distribution on a constrained domain. We propose skew-reflected non-reversible Langevin dynamics (SRNLD), a continuous-time stochastic differential…

In terms of the stochastic process of quantum-mechanical version of Markov chain Monte Carlo method (the MCMC), we analytically derive macroscopically deterministic flow equations of order parameters such as spontaneous magnetization in…

Sampling from a lattice Gaussian distribution is emerging as an important problem in various areas such as coding and cryptography. The default sampling algorithm --- Klein's algorithm yields a distribution close to the lattice Gaussian…

Monte Carlo algorithms, such as Markov chain Monte Carlo (MCMC) and Hamiltonian Monte Carlo (HMC), are routinely used for Bayesian inference in generalized linear models; however, these algorithms are prohibitively slow in massive data…

The problem of sampling a target probability distribution on a constrained domain arises in many applications including machine learning. For constrained sampling, various Langevin algorithms such as projected Langevin Monte Carlo (PLMC),…

We calculate the probability distribution of work for an exactly solvable model of a system interacting with its environment. The system of interest is a harmonic oscillator with a time dependent control parameter, the environment is…

We prove a bound on the finite sample error of sequential Monte Carlo (SMC) on static spaces using the $L_2$ distance between interpolating distributions and the mixing times of Markov kernels. This result is unique in that it is the first…

We present an efficient algorithm for the inference of stochastic block models in large networks. The algorithm can be used as an optimized Markov chain Monte Carlo (MCMC) method, with a fast mixing time and a much reduced susceptibility to…

We present an enhanced off-lattice kinetic Monte Carlo (OLKMC) model, based on a new method for tolerant classification of atomistic local-environments that is invariant under Euclidean-transformations and permutations of atoms. Our method…

A continuous-time formulation of the Diffusion Monte Carlo method for lattice models is presented. In its simplest version, without the explicit use of trial wavefunctions for importance sampling, the method is an excellent tool for…

Markov Chain Monte Carlo algorithms, the method of choice to sample from generic high-dimensional distributions, are rarely used for continuous one-dimensional distributions, for which more effective approaches are usually available (e.g.…

Over the last few years there have been dramatic advances in our understanding of mathematical and computational models of complex systems in the presence of uncertainty. This has led to a growth in the area of uncertainty quantification as…

We present the Local Self-Balancing sampler (LSB), a local Markov Chain Monte Carlo (MCMC) method for sampling in purely discrete domains, which is able to autonomously adapt to the target distribution and to reduce the number of target…

One of the most significant drawbacks of the all-electron ab initio diffusion Monte Carlo (DMC) is that its computational cost drastically increases with the atomic number ($Z$), which typically scales with $Z^{\sim 6}$. In this study, we…

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…

Stochastic gradient Markov chain Monte Carlo (SG-MCMC) has become increasingly popular for simulating posterior samples in large-scale Bayesian modeling. However, existing SG-MCMC schemes are not tailored to any specific probabilistic…

We present a new antithetic multilevel Monte Carlo (MLMC) method for the estimation of expectations with respect to laws of diffusion processes that can be elliptic or hypo-elliptic. In particular, we consider the case where one has to…

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…

Equality-constrained models naturally arise in problems in which measurements are taken at different levels of resolution. The challenge in this setting is that the models usually induce a joint distribution which is intractable. Resorting…

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…