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We introduce the Hamming Ball Sampler, a novel Markov Chain Monte Carlo algorithm, for efficient inference in statistical models involving high-dimensional discrete state spaces. The sampling scheme uses an auxiliary variable construction…

Perfect sampling is a technique that uses coupling arguments to provide a sample from the stationary distribution of a Markov chain in a finite time without ever computing the distribution. This technique is very efficient if all the events…

In this work we provide a new technique to design fast approximation algorithms for graph problems where the points of the graph lie in a metric space. Specifically, we present a sampling approach for such metric graphs that, using a…

Geodesic slice sampling, introduced in Durmus et al., 2024, is a slice sampling based Markov chain Monte Carlo method for approximate sampling from distributions on Riemannian manifolds. We prove that it is uniformly ergodic for…

We propose a sequential Markov chain Monte Carlo (SMCMC) algorithm to sample from a sequence of probability distributions, corresponding to posterior distributions at different times in on-line applications. SMCMC proceeds as in usual MCMC…

We propose Subsampling MCMC, a Markov Chain Monte Carlo (MCMC) framework where the likelihood function for $n$ observations is estimated from a random subset of $m$ observations. We introduce a highly efficient unbiased estimator of the…

We introduce a new class of sequential Monte Carlo methods which reformulates the essence of the nested sampling method of Skilling (2006) in terms of sequential Monte Carlo techniques. Two new algorithms are proposed, nested sampling via…

Bayesian hierarchical modeling is a popular approach to capturing unobserved heterogeneity across individual units. However, standard estimation methods such as Markov chain Monte Carlo (MCMC) can be impracticable for modeling outcomes from…

Sampling equilateral closed polygons is of interest in the statistical study of ring polymers. Over the past 30 years, previous authors have proposed a variety of simple Markov chain algorithms (but have not been able to show that they…

For many probability distributions of interest, it is quite difficult to obtain samples efficiently. Often, Markov chains are employed to obtain approximately random samples from these distributions. The primary drawback to traditional…

We present an algorithm for sampling tightly confined random equilateral closed polygons in three-space which has runtime linear in the number of edges. Using symplectic geometry, sampling such polygons reduces to sampling a moment…

Posterior sampling is a task of central importance in Bayesian inference. For many applications in Bayesian meta-analysis and Bayesian transfer learning, the prior distribution is unknown and needs to be estimated from samples. In practice,…

The basic problem in equilibrium statistical mechanics is to compute phase space average, in which Monte Carlo method plays a very important role. We begin with a review of nonlocal algorithms for Markov chain Monte Carlo simulation in…

Recent work has suggested using Monte Carlo methods based on piecewise deterministic Markov processes (PDMPs) to sample from target distributions of interest. PDMPs are non-reversible continuous-time processes endowed with momentum, and…

Computing partition functions, the normalizing constants of probability distributions, is often hard. Variants of importance sampling give unbiased estimates of a normalizer Z, however, unbiased estimates of the reciprocal 1/Z are harder to…

Hamiltonian Monte Carlo (HMC) is a popular Markov Chain Monte Carlo (MCMC) algorithm to sample from an unnormalized probability distribution. A leapfrog integrator is commonly used to implement HMC in practice, but its performance can be…

A new class of Markov chain Monte Carlo (MCMC) algorithms, based on simulating piecewise deterministic Markov processes (PDMPs), have recently shown great promise: they are non-reversible, can mix better than standard MCMC algorithms, and…

We present a Multi-Index Quasi-Monte Carlo method for the solution of elliptic partial differential equations with random coefficients. By combining the multi-index sampling idea with randomly shifted rank-1 lattice rules, the algorithm…

We propose a method to sample stationary properties of solutions of stochastic differential equations, which is accurate and efficient if there are rarely visited regions or rare transitions between distinct regions of the state space. The…

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…