Related papers: Reinforcement Learning for Adaptive MCMC

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…

Markov Chain Monte Carlo methods are widely used in signal processing and communications for statistical inference and stochastic optimization. In this work, we introduce an efficient adaptive Metropolis-Hastings algorithm to draw samples…

Markov Chain Monte Carlo (MCMC) algorithms are commonly used for their versatility in sampling from complicated probability distributions. However, as the dimension of the distribution gets larger, the computational costs for a satisfactory…

We consider the problem of energy-efficient point-to-point transmission of delay-sensitive data (e.g. multimedia data) over a fading channel. Existing research on this topic utilizes either physical-layer centric solutions, namely…

Meta-learning is a practical learning paradigm to transfer skills across tasks from a few examples. Nevertheless, the existence of task distribution shifts tends to weaken meta-learners' generalization capability, particularly when the…

To overcome the curses of dimensionality and modeling of Dynamic Programming (DP) methods to solve Markov Decision Process (MDP) problems, Reinforcement Learning (RL) methods are adopted in practice. Contrary to traditional RL algorithms…

Reinforcement learning means learning a policy--a mapping of observations into actions--based on feedback from the environment. The learning can be viewed as browsing a set of policies while evaluating them by trial through interaction with…

In this paper we study the ergodicity properties of some adaptive Markov chain Monte Carlo algorithms (MCMC) that have been recently proposed in the literature. We prove that under a set of verifiable conditions, ergodic averages calculated…

Modern large-scale computing deployments consist of complex applications running over machine clusters. An important issue in these is the offering of elasticity, i.e., the dynamic allocation of resources to applications to meet fluctuating…

Markov decision processes (MDPs) are a well studied framework for solving sequential decision making problems under uncertainty. Exact methods for solving MDPs based on dynamic programming such as policy iteration and value iteration are…

Couplings play a central role in the analysis of Markov chain convergence and in the construction of novel Markov chain Monte Carlo estimators, diagnostics, and variance reduction techniques. The set of possible couplings is often…

Reinforcement learning in non-stationary environments is challenging due to abrupt and unpredictable changes in dynamics, often causing traditional algorithms to fail to converge. However, in many real-world cases, non-stationarity has some…

Markov chain Monte Carlo (MCMC) methods are one of the most popular classes of algorithms for sampling from a target probability distribution. A rising trend in recent years consists in analyzing the convergence of MCMC algorithms using…

We propose a new class of learning algorithms that combines variational approximation and Markov chain Monte Carlo (MCMC) simulation. Naive algorithms that use the variational approximation as proposal distribution can perform poorly…

We develop algorithms with low regret for learning episodic Markov decision processes based on kernel approximation techniques. The algorithms are based on both the Upper Confidence Bound (UCB) as well as Posterior or Thompson Sampling…

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…

Reinforcement learning considers the problem of finding policies that maximize an expected cumulative reward in a Markov decision process with unknown transition probabilities. In this paper we consider the problem of finding optimal…

The multiple-try Metropolis (MTM) algorithm is a generalization of the Metropolis-Hastings algorithm in which the transition kernel uses a compound proposal consisting of multiple candidate draws. Since its seminal paper there have been…

Markov Chain Monte Carlo (MCMC) methods, such as the Metropolis-Hastings (MH) algorithm, are widely used for Bayesian inference. One of the most important issues for any MCMC method is the convergence of the Markov chain, which depends…

Multimodal learning seeks to utilize data from multiple sources to improve the overall performance of downstream tasks. It is desirable for redundancies in the data to make multimodal systems robust to missing or corrupted observations in…