Related papers: Interfacing branching random walks with Metropolis…

Random walks are the simplest way to explore or search a graph, and have revealed a very useful tool to investigate and characterize the structural properties of complex networks from the real world, e.g. they have been used to identify the…

Robust inference for stochastic dynamical systems is often hampered by sparse sampling and the absence of closed-form likelihoods. We introduce a Monte Carlo path-inference framework that leverages full-path statistics and bridge processes…

High-dimensional limit theorems have been shown useful to derive tuning rules for finding the optimal scaling in random-walk Metropolis algorithms. The assumptions under which weak convergence results are proved are however restrictive: the…

This paper develops the use of Dirichlet forms to deliver proofs of optimal scaling results for Markov chain Monte Carlo algorithms (specifically, Metropolis-Hastings random walk samplers) under regularity conditions which are substantially…

Monte Carlo methods use random sampling to estimate numerical quantities which are hard to compute deterministically. One important example is the use in statistical physics of rapidly mixing Markov chains to approximately compute partition…

In this paper we study asymptotic properties of different data-augmentation-type Markov chain Monte Carlo algorithms sampling from mixture models comprising discrete as well as continuous random variables. Of particular interest to us is…

Markov jump processes (MJPs) are continuous-time stochastic processes widely used in a variety of applied disciplines. Inference for MJPs typically proceeds via Markov chain Monte Carlo, the state-of-the-art being a uniformization-based…

In this paper, we suggest a novel sampling method for Monte Carlo molecular simulations. In order to perform efficient sampling of molecular systems, it is advantageous to avoid extremely high energy configurations while also retaining the…

Hamiltonian Monte Carlo (HMC) is a Markov chain Monte Carlo (MCMC) algorithm that avoids the random walk behavior and sensitivity to correlated parameters that plague many MCMC methods by taking a series of steps informed by first-order…

The Metropolis-within-Gibbs (MwG) algorithm is a widely used Markov Chain Monte Carlo method for sampling from high-dimensional distributions when exact conditional sampling is intractable. We study MwG with Random Walk Metropolis (RWM)…

In this paper we consider fully Bayesian inference in general state space models. Existing particle Markov chain Monte Carlo (MCMC) algorithms use an augmented model that takes into account all the variable sampled in a sequential Monte…

Hamiltonian Monte Carlo and underdamped Langevin Monte Carlo are state-of-the-art methods for taking samples from high-dimensional distributions with a differentiable density function. To generate samples, they numerically integrate…

We propose a generic approach for numerically efficient simulation from analytically intractable distributions with constrained support. Our approach relies upon Generalized Randomized Hamiltonian Monte Carlo (GRHMC) processes and combines…

Federated learning performed by a decentralized networks of agents is becoming increasingly important with the prevalence of embedded software on autonomous devices. Bayesian approaches to learning benefit from offering more information as…

We present results for a variety of Monte Carlo annealing approaches, both classical and quantum, benchmarked against one another for the textbook optimization exercise of a simple one-dimensional double-well. In classical (thermal)…

Hamiltonian Monte Carlo (HMC) is a powerful Markov Chain Monte Carlo (MCMC) method for sampling from complex high-dimensional continuous distributions. However, in many situations it is necessary or desirable to combine HMC with other…

The exact and phaseless variants of Auxiliary-Field Quantum Monte Carlo (AFQMC) have been shown to be capable of producing accurate ground-state energies for a wide variety of systems including those which exhibit substantial electron…

The Metropolis-Hastings algorithm is a fundamental Markov chain Monte Carlo (MCMC) method for sampling and inference. With the advent of Big Data, distributed and parallel variants of MCMC methods are attracting increased attention. In this…

Markov chain Monte Carlo methods are central in computational statistics, and typically rely on detailed balance to ensure invariance with respect to a target distribution. Although straightforward to construct by Metropolization, this can…

We argue that one can associate a pseudo-time with sequences of configurations generated in the course of classical Monte Carlo simulations for a single-minimum bound state, if the sampling is optimal. Hereby the sampling rates can be,…