Related papers: Running Markov Chain Monte Carlo on Modern Hardwar…
Monte Carlo (MC) simulations are essential computational approaches with widespread use throughout all areas of science. We present a method for accelerating lattice MC simulations using fully connected and convolutional artificial neural…
We consider parallel asynchronous Markov Chain Monte Carlo (MCMC) sampling for problems where we can leverage (stochastic) gradients to define continuous dynamics which explore the target distribution. We outline a solution strategy for…
Recent advances in stochastic gradient variational inference have made it possible to perform variational Bayesian inference with posterior approximations containing auxiliary random variables. This enables us to explore a new synthesis of…
We develop methods for accelerating metric similarity search that are effective on modern hardware. Our algorithms factor into easily parallelizable components, making them simple to deploy and efficient on multicore CPUs and GPUs. Despite…
Markov chain Monte Carlo (MCMC) lies at the core of modern Bayesian methodology, much of which would be impossible without it. Thus, the convergence properties of MCMCs have received significant attention, and in particular, proving…
Markov Chain Monte Carlo (MCMC) algorithms are widely used for stochastic optimization, sampling, and integration of mathematical objective functions, in particular, in the context of Bayesian inverse problems and parameter estimation. For…
Massive multiple-input multiple-output (MIMO) technology has significantly enhanced spectral and power efficiency in cellular communications and is expected to further evolve towards extra-large-scale MIMO. However, centralized processing…
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…
Monte Carlo algorithms, such as Markov chain Monte Carlo (MCMC) and Hamiltonian Monte Carlo (HMC), are routinely used for Bayesian inference in generalized linear models; however, these algorithms are prohibitively slow in massive data…
Despite their exceptional flexibility and popularity, the Monte Carlo methods often suffer from slow mixing times for challenging statistical physics problems. We present a general strategy to overcome this difficulty by adopting ideas and…
Inspired by the latest developments in multilevel Monte Carlo (MLMC) methods and randomised sketching for linear algebra problems we propose a MLMC estimator for real-time processing of matrix structured random data. Our algorithm is…
We present a multithreaded event-chain Monte Carlo algorithm (ECMC) for hard spheres. Threads synchronize at infrequent breakpoints and otherwise scan for local horizon violations. Using a mapping onto absorbing Markov chains, we rigorously…
In this paper we analyze, evaluate, and improve the performance of training generalized linear models on modern CPUs. We start with a state-of-the-art asynchronous parallel training algorithm, identify system-level performance bottlenecks,…
McXtrace is an established Monte Carlo based ray-tracing tool to simulate synchrotron beamlines and X-ray laboratory instruments. This work explains and demonstrates the new capability of GPU-accelerated McXtrace ray-tracing simulations.…
The trend towards highly parallel multi-processing is ubiquitous in all modern computer architectures, ranging from handheld devices to large-scale HPC systems; yet many applications are struggling to fully utilise the multiple levels of…
In this article, we present a review of the recent developments on the topic of Multilevel Monte Carlo (MLMC) algorithm, in the paradigm of applications in financial engineering. We specifically focus on the recent studies conducted in two…
The Multilevel Monte Carlo (MLMC) method has proven to be an effective variance-reduction statistical method for Uncertainty Quantification (UQ) in Partial Differential Equation (PDE) models, combining model computations at different levels…
Markov chain Monte Carlo (MCMC) methods are sampling methods that have become a commonly used tool in statistics, for example to perform Monte Carlo integration. As a consequence of the increase in computational power, many variations of…
The Self-Learning Monte Carlo (SLMC) method is a Monte Carlo approach that has emerged in recent years by integrating concepts from machine learning with conventional Monte Carlo techniques. Designed to accelerate the numerical study of…
We show how to extend a recently proposed multi-level Monte Carlo approach to the continuous time Markov chain setting, thereby greatly lowering the computational complexity needed to compute expected values of functions of the state of the…