Related papers: Subspace Langevin Monte Carlo
We propose a Monte Carlo sampler from the reverse diffusion process. Unlike the practice of diffusion models, where the intermediary updates -- the score functions -- are learned with a neural network, we transform the score matching…
To sample from a general target distribution $p_*\propto e^{-f_*}$ beyond the isoperimetric condition, Huang et al. (2023) proposed to perform sampling through reverse diffusion, giving rise to Diffusion-based Monte Carlo (DMC).…
Hamiltonian Monte Carlo is a prominent Markov Chain Monte Carlo algorithm, which employs symplectic integrators to sample from high dimensional target distributions in many applications, such as statistical mechanics, Bayesian statistics…
In many problems, complex non-Gaussian and/or nonlinear models are required to accurately describe a physical system of interest. In such cases, Monte Carlo algorithms are remarkably flexible and extremely powerful approaches to solve such…
Many problems in the physical sciences, machine learning, and statistical inference necessitate sampling from a high-dimensional, multi-modal probability distribution. Markov Chain Monte Carlo (MCMC) algorithms, the ubiquitous tool for this…
The randomized midpoint Langevin Monte Carlo (RLMC), introduced by Shen and Lee (2019), is a variant of classical Unadjusted Langevin Algorithm. It was shown in the literature that the RLMC is an efficient algorithm for approximating…
Sequential Monte Carlo (SMC) methods have recently shown successful results for conditional sampling of generative diffusion models. In this paper we propose a new diffusion posterior SMC sampler achieving improved statistical efficiencies,…
Sequential Monte Carlo (SMC), or particle filtering, is a popular class of methods for sampling from an intractable target distribution using a sequence of simpler intermediate distributions. Like other importance sampling-based methods,…
The Metropolis-Adjusted Langevin Algorithm (MALA) is a widely used Markov Chain Monte Carlo (MCMC) method for sampling from high-dimensional distributions. However, MALA relies on differentiability assumptions that restrict its…
We develop a framework that allows the use of the multi-level Monte Carlo (MLMC) methodology (Giles2015) to calculate expectations with respect to the invariant measure of an ergodic SDE. In that context, we study the (over-damped) Langevin…
Sampling the parameter space of artificial neural networks according to a Boltzmann distribution provides insight into the geometry of low-loss solutions and offers an alternative to conventional loss minimization for training. However,…
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…
State space models (SSM) have been widely applied for the analysis and visualization of large sequential datasets. Sequential Monte Carlo (SMC) is a very popular particle-based method to sample latent states from intractable posteriors.…
Sequential Monte Carlo Squared (SMC$^2$) is a Bayesian method which can infer the states and parameters of non-linear, non-Gaussian state-space models. The standard random-walk proposal in SMC$^2$ faces challenges, particularly with…
Sampling from a high-dimensional probability distribution is a fundamental algorithmic task arising in wide-ranging applications across multiple disciplines, including scientific computing, computational statistics and machine learning.…
It is known that gradient-based MCMC samplers for continuous spaces, such as Langevin Monte Carlo (LMC), can be derived as particle versions of a gradient flow that minimizes KL divergence on a Wasserstein manifold. The superior efficiency…
Monte Carlo simulation is an unbiased numerical tool for studying classical and quantum many-body systems. One of its bottlenecks is the lack of general and efficient update algorithm for large size systems close to phase transition or with…
Markov Chain Monte Carlo (MCMC) methods sample from unnormalized probability distributions and offer guarantees of exact sampling. However, in the continuous case, unfavorable geometry of the target distribution can greatly limit the…
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…
Recently, Stochastic Gradient Markov Chain Monte Carlo (SG-MCMC) methods have been proposed for scaling up Monte Carlo computations to large data problems. Whilst these approaches have proven useful in many applications, vanilla SG-MCMC…