Related papers: Quantum Speedups for Multiproposal MCMC
Mixed Integer Programs (MIPs) model many optimization problems of interest in Computer Science, Operations Research, and Financial Engineering. Solving MIPs is NP-Hard in general, but several solvers have found success in obtaining…
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…
Quantum Monte Carlo (QMC) methods have received considerable attention over the last decades due to their great promise for providing a direct solution to the many-body Schrodinger equation in electronic systems. Thanks to their low scaling…
Recently, the idea of classical Metropolis sampling through Markov chains has been generalized for quantum Hamiltonians. However, the underlying Markov chain of this algorithm is still classical in nature. Due to Szegedy's method, the…
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…
Stochastic gradient Markov chain Monte Carlo (MCMC) algorithms have received much attention in Bayesian computing for big data problems, but they are only applicable to a small class of problems for which the parameter space has a fixed…
We construct a new framework for accelerating Markov chain Monte Carlo in posterior sampling problems where standard methods are limited by the computational cost of the likelihood, or of numerical models embedded therein. Our approach…
Quantum amplitude amplification and estimation have shown quadratic speedups to unstructured search and estimation tasks. We show that a coherent combination of these quantum algorithms also provides a quadratic speedup to calculating the…
It has become increasingly easy nowadays to collect approximate posterior samples via fast algorithms such as variational Bayes, but concerns exist about the estimation accuracy. It is tempting to build solutions that exploit approximate…
The goal of a traditional Markov decision process (MDP) is to maximize expected cumulative reward over a defined horizon (possibly infinite). In many applications, however, a decision maker may be interested in optimizing a specific…
Szegedy's quantization of a reversible Markov chain provides a quantum walk whose spectral gap is quadratically larger than that of the classical walk. Quantum computers are therefore expected to provide a speedup of Metropolis-Hastings…
Traditional MCMC algorithms are computationally intensive and do not scale well to large data. In particular, the Metropolis-Hastings (MH) algorithm requires passing over the entire dataset to evaluate the likelihood ratio in each…
Markov chain Monte Carlo (MCMC) algorithms are widely used to sample from complicated distributions, especially to sample from the posterior distribution in Bayesian inference. However, MCMC is not directly applicable when facing the doubly…
Performing numerical integration when the integrand itself cannot be evaluated point-wise is a challenging task that arises in statistical analysis, notably in Bayesian inference for models with intractable likelihood functions. Markov…
The computer revolution has been driven by a sustained increase of computational speed of approximately one order of magnitude (a factor of ten) every five years since about 1950. In natural sciences this has led to a continuous increase of…
The multinomial probit model is often used to analyze choice behaviour. However, estimation with existing Markov chain Monte Carlo (MCMC) methods is computationally costly, which limits its applicability to large choice data sets. This…
Markov Chain Monte Carlo (MCMC) algorithms play an important role in statistical inference problems dealing with intractable probability distributions. Recently, many MCMC algorithms such as Hamiltonian Monte Carlo (HMC) and Riemannian…
Statistical machine learning often uses probabilistic algorithms, such as Markov Chain Monte Carlo (MCMC), to solve a wide range of problems. Probabilistic computations, often considered too slow on conventional processors, can be…
Accept-reject based Markov chain Monte Carlo (MCMC) methods are the workhorse algorithm for Bayesian inference. These algorithms, like Metropolis-Hastings, require choosing a proposal distribution which is typically informed by the desired…
Quantum computing and quantum Monte Carlo (QMC) are respectively the state-of-the-art quantum and classical computing methods for understanding many-body quantum systems. Here, we propose a hybrid quantum-classical algorithm that integrates…