Related papers: Optimization by linear kinetic equations and mean-…
Inspired by the Boltzmann kinetics, we propose a collision-based dynamics with a Monte Carlo solution algorithm that approximates the solution of the multi-marginal optimal transport problem via randomized pairwise swapping of sample…
We develop a framework for the analysis of deep neural networks and neural ODE models that are trained with stochastic gradient algorithms. We do that by identifying the connections between control theory, deep learning and theory of…
In dynamic Monte Carlo simulations, using for example the Metropolis dynamic, it is often required to simulate for long times and to simulate large systems. We present an overview of advanced algorithms to simulate for larger times and to…
This paper introduces and analyses interacting underdamped Langevin algorithms, termed Kinetic Interacting Particle Langevin Monte Carlo (KIPLMC) methods, for statistical inference in latent variable models. We propose a diffusion process…
We propose a variant of the Simulated Annealing method for optimization in the multivariate analysis of differentiable functions. The method uses global actualizations via the Hybrid Monte Carlo algorithm in their generalized version for…
In this work we introduce a new class of gradient-free global optimization methods based on a binary interaction dynamics governed by a Boltzmann type equation. In each interaction the particles act taking into account both the best…
The mean-field Langevin dynamics (MFLD) minimizes an entropy-regularized nonlinear convex functional on the Wasserstein space over $\mathbb{R}^d$, and has gained attention recently as a model for the gradient descent dynamics of interacting…
Incorporating the concept of order parameter of the mean-field theory into the simulated annealing method, we presented a new optimization algorithm, the guided simulated annealing method. In this method mean-field order parameters are…
We present a framework for adaptive-stepsize MCMC sampling based on time-rescaled Langevin dynamics, in which the stepsize variation is dynamically driven by an additional degree of freedom. Our approach augments the phase space by an…
As sample sizes grow, scalability has become a central concern in the development of Markov chain Monte Carlo (MCMC) methods. One general approach to this problem, exemplified by the popular stochastic gradient Langevin dynamics (SGLD)…
Langevin algorithms are gradient descent methods with additive noise. They have been used for decades in Markov chain Monte Carlo (MCMC) sampling, optimization, and learning. Their convergence properties for unconstrained non-convex…
Metropolis Monte Carlo simulation is a powerful tool for studying the equilibrium properties of matter. In complex condensed-phase systems, however, it is difficult to design Monte Carlo moves with high acceptance probabilities that also…
In this article, we present an event-driven algorithm that generalizes the recent hard-sphere event-chain Monte Carlo method without introducing discretizations in time or in space. A factorization of the Metropolis filter and the concept…
Finding effective ways to exploit parallel computing to accelerate Markov chain Monte Carlo methods is an important problem in Bayesian computation and related disciplines. In this paper, we consider the zeroth-order setting where the…
We present a highly efficient proximal Markov chain Monte Carlo methodology to perform Bayesian computation in imaging problems. Similarly to previous proximal Monte Carlo approaches, the proposed method is derived from an approximation of…
Sampling from a target distribution is a fundamental problem. Traditional Markov chain Monte Carlo (MCMC) algorithms, such as the unadjusted Langevin algorithm (ULA), derived from the overdamped Langevin dynamics, have been extensively…
This paper introduces a class of Monte Carlo algorithms which are based upon the simulation of a Markov process whose quasi-stationary distribution coincides with a distribution of interest. This differs fundamentally from, say, current…
We study the convergence to equilibrium of an underdamped Langevin equation that is controlled by a linear feedback force. Specifically, we are interested in sampling the possibly multimodal invariant probability distribution of a Langevin…
Langevin diffusion processes and their discretizations are often used for sampling from a target density. The most convenient framework for assessing the quality of such a sampling scheme corresponds to smooth and strongly log-concave…
Monte Carlo simulations are widely used to simulate complex molecular systems, but standard approaches suffer from metastability. Lately, the use of non-local proposal updates in a collective-variable (CV) space has been proposed in several…