Related papers: Accelerating seismic inversion and uncertainty qua…

For large model spaces, the potential entrapment of Markov chain Monte Carlo (MCMC) based methods with spike-and-slab priors poses significant challenges in posterior computation in regression models. On the other hand, maximum a posteriori…

The methodology developed in this article is motivated by a wide range of prediction and uncertainty quantification problems that arise in Statistics, Machine Learning and Applied Mathematics, such as non-parametric regression, multi-class…

The majority of machine learning methods can be regarded as the minimization of an unavailable risk function. To optimize the latter, given samples provided in a streaming fashion, we define a general stochastic Newton algorithm and its…

In large-scale optimization, when either forming or storing Hessian matrices are prohibitively expensive, quasi-Newton methods are often used in lieu of Newton's method because they only require first-order information to approximate the…

The unscented Kalman inversion (UKI) method presented in [1] is a general derivative-free approach for the inverse problem. UKI is particularly suitable for inverse problems where the forward model is given as a black box and may not be…

Elastic full-waveform inversion (EFWI) is a process used to estimate subsurface properties by fitting seismic data while satisfying wave propagation physics. The problem is formulated as a least-squares data fitting minimization problem…

The quadratic Wasserstein metric has shown its power in measuring the difference between probability densities, which benefits optimization objective function with better convexity and is insensitive to data noise. Nevertheless, it is…

Many Markov Chain Monte Carlo (MCMC) methods leverage gradient information of the potential function of target distribution to explore sample space efficiently. However, computing gradients can often be computationally expensive for large…

High accuracy complex computer models, or simulators, require large resources in time and memory to produce realistic results. Statistical emulators are computationally cheap approximations of such simulators. They can be built to replace…

We consider an extension of the Newton-MR algorithm for nonconvex unconstrained optimization to the settings where Hessian information is approximated. Under a particular noise model on the Hessian matrix, we investigate the iteration and…

This paper advocates proximal Markov Chain Monte Carlo (ProxMCMC) as a flexible and general Bayesian inference framework for constrained or regularized estimation. Originally introduced in the Bayesian imaging literature, ProxMCMC employs…

We develop a computationally efficient framework for quasi-Bayesian inference based on linear moment conditions. The approach employs a delayed acceptance Markov chain Monte Carlo (DA-MCMC) algorithm that uses a surrogate target kernel and…

Inverse Uncertainty Quantification (UQ) is a process to quantify the uncertainties in random input parameters while achieving consistency between code simulations and physical observations. In this paper, we performed inverse UQ using an…

We establish the geometric ergodicity of the preconditioned Hamiltonian Monte Carlo (HMC) algorithm defined on an infinite-dimensional Hilbert space, as developed in [Beskos et al., Stochastic Process. Appl., 2011]. This algorithm can be…

In statistical analysis, Monte Carlo (MC) stands as a classical numerical integration method. When encountering challenging sample problem, Markov chain Monte Carlo (MCMC) is a commonly employed method. However, the MCMC estimator is biased…

Bayesian computation of high dimensional linear regression models with a popular Gaussian scale mixture prior distribution using Markov Chain Monte Carlo (MCMC) or its variants can be extremely slow or completely prohibitive due to the…

Seismic inversion is a core problem in geophysical exploration, where traditional methods suffer from high computational costs and are susceptible to initial model dependence. In recent years, deep generative model-based seismic inversion…

This work studies a composite minimization problem involving a differentiable function q and a nonsmooth function h, both of which may be nonconvex. This problem is ubiquitous in signal processing and machine learning yet remains…

Full-Waveform Inversion (FWI) is a nonlinear iterative seismic imaging technique that, by reducing the misfit between recorded and predicted seismic waveforms, can produce detailed estimates of subsurface geophysical properties.…

We propose quantum algorithms that provide provable speedups for Markov Chain Monte Carlo (MCMC) methods commonly used for sampling from probability distributions of the form $\pi \propto e^{-f}$, where $f$ is a potential function. Our…