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Exponential family models, generalized linear models (GLMs), generalized linear mixed models (GLMMs) and generalized additive models (GAMs) are widely used methods in statistics. However, many scientific applications necessitate constraints…
The generalized inverse Gaussian, denoted $\mathrm{GIG}(p, a, b)$, is a flexible family of distributions that includes the gamma, inverse gamma, and inverse Gaussian distributions as special cases. In addition to its applications in…
Markov chain Monte Carlo (MCMC) methods to sample from a probability distribution $\pi$ defined on a space $(\Theta,\mathcal{T})$ consist of the simulation of realisations of Markov chains $\{\theta_{n},n\geq1\}$ of invariant distribution…
Quantum trajectory techniques have been used in the theory of open systems as a starting point for numerical computations and to describe the monitoring of a quantum system in continuous time. Here we extend this technique and use it to…
A Kernel Adaptive Metropolis-Hastings algorithm is introduced, for the purpose of sampling from a target distribution with strongly nonlinear support. The algorithm embeds the trajectory of the Markov chain into a reproducing kernel Hilbert…
Markov chain Monte Carlo is a class of algorithms for drawing Markovian samples from high-dimensional target densities to approximate the numerical integration associated with computing statistical expectation, especially in Bayesian…
High-quality random samples of quantum states are needed for a variety of tasks in quantum information and quantum computation. Searching the high-dimensional quantum state space for a global maximum of an objective function with many local…
The random dot product graph is a popular model for network data with extensions that accommodate dynamic (time-varying) networks. However, two significant deficiencies exist in the dynamic random dot product graph literature: (1) no…
Employing Bayesian inference to calibrate constitutive model parameters has grown substantially in recent years. Among the available techniques, Markov Chain Monte Carlo (MCMC) sampling remains one of the most widely used approaches for…
We describe a numerical method which allows us to go beyond the classical approximation for the real-time dynamics of many-body systems by approximating the many-body Wigner function by the most general Gaussian function with time-dependent…
We study the convergence time to equilibrium of the Metropolis dynamics for the Generalized Random Energy Model with an arbitrary number of hierarchical levels, a finite and reversible continuous-time Markov process, in terms of the…
The need to calibrate increasingly complex statistical models requires a persistent effort for further advances on available, computationally intensive Monte Carlo methods. We study here an advanced version of familiar Markov Chain Monte…
We study Langevin dynamics with a kinetic energy different from the standard, quadratic one in order to accelerate the sampling of Boltzmann-Gibbs distributions. In particular, this kinetic energy can be non-globally Lipschitz, which raises…
A popular method for sampling from high-dimensional distributions is the \emph{Gibbs sampler}, which iteratively resamples sites from the conditional distribution of the desired measure given the values of the other coordinates. It is…
{Many-body quantum states at thermal equilibrium are ubiquitous in nature. Investigating their dynamical properties is a formidable task due to the complexity of the Hilbert space they live in. Quantum computers may have the potential to…
Traditional gradient-based sampling methods, like standard Hamiltonian Monte Carlo, require that the desired target distribution is continuous and differentiable. This limits the types of models one can define, although the presented models…
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…
Performing reliable Bayesian inference on a big data scale is becoming a keystone in the modern era of machine learning. A workhorse class of methods to achieve this task are Markov chain Monte Carlo (MCMC) algorithms and their design to…
In this paper, we first propose a Bayesian neighborhood selection method to estimate Gaussian Graphical Models (GGMs). We show the graph selection consistency of this method in the sense that the posterior probability of the true model…
We develop a quantum algorithm for estimating the free energy as well as the total Gibbs state of interacting quantum Coulomb gases and molecular systems in dimensions $d \in \{2,3\}$ at finite temperature. These systems lie beyond the…