Related papers: Improved Bound for Mixing Time of Parallel Temperi…
Simulated tempering is a widely used strategy for sampling from multimodal distributions. In this paper, we consider simulated tempering combined with an arbitrary local Markov chain Monte Carlo sampler and present a new decomposition…
Simulated and parallel tempering are families of Markov Chain Monte Carlo algorithms where a temperature parameter is varied during the simulation to overcome bottlenecks to convergence due to multimodality. In this work we introduce and…
Parallel tempering is a meta-algorithm for Markov Chain Monte Carlo that uses multiple chains to sample from tempered versions of the target distribution, enhancing mixing in multi-modal distributions that are challenging for traditional…
We give conditions under which a Markov chain constructed via parallel or simulated tempering is guaranteed to be rapidly mixing, which are applicable to a wide range of multimodal distributions arising in Bayesian statistical inference and…
We develop a modular approach to Markov chain Monte Carlo (MCMC) sampling for unnormalized target densities. In this approach, Markov chains are constructed in parallel, each constrained to a subset of the target space. The Monte Carlo…
Parallel tempering (PT) is a class of Markov chain Monte Carlo algorithms that constructs a path of distributions annealing between a tractable reference and an intractable target, and then interchanges states along the path to improve…
Multimodal structures in the sampling density (e.g. two competing phases) can be a serious problem for traditional Markov Chain Monte Carlo (MCMC), because correct sampling of the different structures can only be guaranteed for infinite…
Auxiliary variable methods such as the Parallel Tempering and the cluster Monte Carlo methods generate samples that follow a target distribution by using proposal and auxiliary distributions. In sampling from complex distributions, these…
As it has become common to use many computer cores in routine applications, finding good ways to parallelize popular algorithms has become increasingly important. In this paper, we present a parallelization scheme for Markov chain Monte…
Markov Chain Monte Carlo (MCMC) algorithms are essential tools in computational statistics for sampling from unnormalised probability distributions, but can be fragile when targeting high-dimensional, multimodal, or complex target…
In this paper, we provide bounds on the asymptotic variance for a class of sequential Monte Carlo (SMC) samplers designed for approximating multimodal distributions. Such methods combine standard SMC methods and Markov chain Monte Carlo…
Parallel tempering is a generic Markov chain Monte Carlo sampling method which allows good mixing with multimodal target distributions, where conventional Metropolis-Hastings algorithms often fail. The mixing properties of the sampler…
Geometric tempering is a popular approach to sampling from challenging multi-modal probability distributions by instead sampling from a sequence of distributions which interpolate, using the geometric mean, between an easier proposal…
Parallelism is a ubiquitous method for accelerating machine learning algorithms. However, theoretical analysis of parallel learning is usually done in an algorithm- and protocol-specific setting, giving little insight about how changes in…
Markov Chain Monte Carlo methods are algorithms used to sample probability distributions, commonly used to sample the Boltzmann distribution of physical/chemical models (e.g., protein folding, Ising model, etc.). This allows us to study…
This paper introduces a concept of approximate spectral gap to analyze the mixing time of Markov Chain Monte Carlo (MCMC) algorithms for which the usual spectral gap is degenerate or almost degenerate. We use the idea to analyze a class of…
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…
Parallel tempering, also known as replica exchange sampling, is an important method for simulating complex systems. In this algorithm simulations are conducted in parallel at a series of temperatures, and the key feature of the algorithm is…
Statistical inference in evolutionary models with site-dependence is a long-standing challenge in phylogenetics and computational biology. We consider the problem of approximating marginal sequence likelihoods under dependent-site models of…
Parallel tempering (PT) methods are a popular class of Markov chain Monte Carlo schemes used to sample complex high-dimensional probability distributions. They rely on a collection of $N$ interacting auxiliary chains targeting tempered…