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This paper proposes a new Sequential Monte Carlo algorithm to perform online estimation in the context of state space models when either the transition density of the latent state or the conditional likelihood of an observation given a…
We prove a hardness of sampling result for the anti-ferromagnetic Ising model on random graphs of average degree $d$ for large constant $d$, proving that when the normalized inverse temperature satisfies $\beta>1$ (asymptotically…
In Bayesian optimization, accounting for the importance of the output relative to the input is a crucial yet challenging exercise, as it can considerably improve the final result but often involves inaccurate and cumbersome entropy…
Recent advances in Markov chain Monte Carlo (MCMC) extend the scope of Bayesian inference to models for which the likelihood function is intractable. Although these developments allow us to estimate model parameters, other basic problems…
We propose an algorithm, termed the Non-Equilibrium Transport Sampler (NETS), to sample from unnormalized probability distributions. NETS can be viewed as a variant of annealed importance sampling (AIS) based on Jarzynski's equality, in…
In Bayesian inference, we seek to compute information about random variables such as moments or quantiles on the basis of {available data} and prior information. When the distribution of random variables is {intractable}, Monte Carlo (MC)…
More than twenty years after its introduction, Annealed Importance Sampling (AIS) remains one of the most effective methods for marginal likelihood estimation. It relies on a sequence of distributions interpolating between a tractable…
We show a practical application of the Jarzynski equality in quantum computation. Its implementation may open a way to solve combinatorial optimization problems, minimization of a real single-valued function, cost function, with many…
Importance Sampling (IS) is a method for approximating expectations under a target distribution using independent samples from a proposal distribution and the associated importance weights. In many applications, the target distribution is…
We show a practical application of an well-known nonequilibrium relation, the Jarzynski equality, in quantum computation. Its implementation may open a way to solve combinatorial optimization problems, minimization of a real single-valued…
Rare event simulation and estimation for systems in equilibrium are among the most challenging topics in molecular dynamics. As was shown by Jarzynski and others, nonequilibrium forcing can theoretically be used to obtain equilibrium rare…
The basic idea of importance sampling is to use independent samples from a proposal measure in order to approximate expectations with respect to a target measure. It is key to understand how many samples are required in order to guarantee…
We propose a Bayesian test of normality for univariate or multivariate data against alternative nonparametric models characterized by Dirichlet process mixture distributions. The alternative models are based on the principles of embedding…
Given a convex function $f\colon\mathbb{R}^{d}\to\mathbb{R}$, the problem of sampling from a distribution $\propto e^{-f(x)}$ is called log-concave sampling. This task has wide applications in machine learning, physics, statistics, etc. In…
Assessing variability according to distinct factors in data is a fundamental technique of statistics. The method commonly regarded to as analysis of variance (ANOVA) is, however, typically confined to the case where all levels of a factor…
Parameter estimation is a fundamental challenge in machine learning, crucial for tasks such as neural network weight fitting and Bayesian inference. This paper focuses on the complexity of estimating translation $\boldsymbol{\mu} \in…
Sensitivity analysis for unmeasured confounding in observational studies is commonly based on threshold quantities, such as the Cornfield condition or the E-value, which quantify how strong a confounder must be to explain away an observed…
Importance sampling algorithms are discussed in detail, with an emphasis on implicit sampling, and applied to data assimilation via particle filters. Implicit sampling makes it possible to use the data to find high-probability samples at…
A density estimation method in a Bayesian nonparametric framework is presented when recorded data are not coming directly from the distribution of interest, but from a length biased version. From a Bayesian perspective, efforts to…
In this paper, we consider the problem of numerical investigation of the counting statistics for a class of one-dimensional systems. Importance sampling, the cornerstone technique usually implemented for such problems, critically hinges on…