Related papers: Optimal Particle-based Approximation of Discrete D…
Particle gradient descent, which uses particles to represent a probability measure and performs gradient descent on particles in parallel, is widely used to optimize functions of probability measures. This paper considers particle gradient…
Sequential Monte Carlo methods, also known as particle methods, are a widely used set of computational tools for inference in non-linear non-Gaussian state-space models. In many applications it may be necessary to compute the sensitivity,…
A particle filter is introduced to numerically approximate a solution of the global optimization problem. The theoretical significance of this work comes from its variational aspects: (i) the proposed particle filter is a controlled…
Mixture distributions arise in many application areas, for example as marginal distributions or convolutions of distributions. We present a method of constructing an easily tractable discrete mixture distribution as an approximation to a…
In this paper, we present a method for computing the marginal likelihood, also known as the model likelihood or Bayesian evidence, from Markov Chain Monte Carlo (MCMC), or other sampled posterior distributions. In order to do this, one…
We study the minimax estimation of $\alpha$-divergences between discrete distributions for integer $\alpha\ge 1$, which include the Kullback--Leibler divergence and the $\chi^2$-divergences as special examples. Dropping the usual…
Estimating the Kullback-Leibler (KL) divergence between random variables is a fundamental problem in statistical analysis. For continuous random variables, traditional information-theoretic estimators scale poorly with dimension and/or…
There has been recent interest in developing scalable Bayesian sampling methods such as stochastic gradient MCMC (SG-MCMC) and Stein variational gradient descent (SVGD) for big-data analysis. A standard SG-MCMC algorithm simulates samples…
Markov chain Monte Carlo (MCMC) is a powerful methodology for the approximation of posterior distributions. However, the iterative nature of MCMC does not naturally facilitate its use with modern highly parallel computation on HPC and cloud…
We consider a novel challenge: approximating a distribution without the ability to randomly sample from that distribution. We study how such an approximation can be obtained using *weight queries*. Given some data set of examples, a weight…
We address the optimization problem of simultaneously minimizing multiple objective functionals over a family of probability distributions. This type of Multi-Objective Distributional Optimization commonly arises in machine learning and…
Accelerated algorithms for maximum likelihood image reconstruction are essential for emerging applications such as 3D tomography, dynamic tomographic imaging, and other high dimensional inverse problems. In this paper, we introduce and…
The well-posedness of a non-local advection-selection-mutation problem deriving from adaptive dynamics models is shown for a wide family of initial data. A particle method is then developed, in order to approximate the solution of such…
We study the problem of model selection type aggregation with respect to the Kullback-Leibler divergence for various probabilistic models. Rather than considering a convex combination of the initial estimators $f_1, \ldots, f_N$, our…
Microscopic processes on surfaces such as adsorption, desorption, diffusion and reaction of interacting particles can be simulated using kinetic Monte Carlo (kMC) algorithms. Even though kMC methods are accurate, they are computationally…
In this work we are interested in stochastic particle methods for multi-objective optimization. The problem is formulated using parametrized, single-objective sub-problems which are solved simultaneously. To this end a consensus based…
This work explores a novel perspective on solving nonconvex and nonsmooth optimization problems by leveraging sampling based methods. Instead of treating the objective function purely through traditional (often deterministic) optimization…
We demonstrate the use of a variational method to determine a quantitative lower bound on the rate of convergence of Markov Chain Monte Carlo (MCMC) algorithms as a function of the target density and proposal density. The bound relies on…
Sampling-based model predictive control (MPC) has the potential for use in a wide variety of robotic systems. However, its unstable updates and poor convergence render it unsuitable for real-time control of robotic systems. This study…
Particle smoothers are widely used algorithms allowing to approximate the smoothing distribution in hidden Markov models. Existing algorithms often suffer from slow computational time or degeneracy. We propose in this paper a way to improve…