Related papers: Acceleration of Parallel Tempering for Markov Chai…
We propose a novel Metropolis-Hastings algorithm to sample uniformly from the space of correlation matrices. Existing methods in the literature are based on elaborated representations of a correlation matrix, or on complex parametrizations…
It was recently demonstrated that a simple Monte Carlo (MC) algorithm involving the swap of particle pairs dramatically accelerates the equilibrium sampling of simulated supercooled liquids. We propose two numerical schemes integrating the…
Employing Bayesian inference to calibrate constitutive model parameters has grown substantially in recent years. Among the available techniques, Markov Chain Monte Carlo (MCMC) sampling remains one of the most widely used approaches for…
We present a probabilistic generative model for timing deviations in expressive music performance. The structure of the proposed model is equivalent to a switching state space model. The switch variables correspond to discrete note…
We introduce Projected Latent Markov Chain Monte Carlo (PL-MCMC), a technique for sampling from the high-dimensional conditional distributions learned by a normalizing flow. We prove that a Metropolis-Hastings implementation of PL-MCMC…
Replica exchange Monte Carlo (reMC), also known as parallel tempering, is an important technique for accelerating the convergence of the conventional Markov Chain Monte Carlo (MCMC) algorithms. However, such a method requires the evaluation…
Designing problems using matrices is very important in Computer Science. Fields like graph computer, graphs theory, and machine learning use matrices very often to solve their own problems. The most often matrix operation is the…
Due to the escalating growth of big data sets in recent years, new Bayesian Markov chain Monte Carlo (MCMC) parallel computing methods have been developed. These methods partition large data sets by observations into subsets. However, for…
An algorithm is proposed for computing equilibrium averages of Markov chains which suffer from metastability -- the tendency to remain in one or more subsets of state space for long time intervals. The algorithm, called the parallel replica…
We introduce a general Monte Carlo method based on Nested Sampling (NS), for sampling complex probability distributions and estimating the normalising constant. The method uses one or more particles, which explore a mixture of nested…
Markov chain Monte Carlo methods provide an essential tool in statistics for sampling from complex probability distributions. While the standard approach to MCMC involves constructing discrete-time reversible Markov chains whose transition…
Quasi-Monte Carlo (QMC) methods for estimating integrals are attractive since the resulting estimators typically converge at a faster rate than pseudo-random Monte Carlo. However, they can be difficult to set up on arbitrary posterior…
Markov Chain Monte Carlo (MCMC) algorithms are routinely used to draw samples from distributions with intractable normalization constants. However, standard MCMC algorithms do not apply to doubly-intractable distributions in which there are…
This work presents an efficient approach for accelerating multilevel Markov Chain Monte Carlo (MCMC) sampling for large-scale problems using low-fidelity machine learning models. While conventional techniques for large-scale Bayesian…
Bayesian computation crucially relies on Markov chain Monte Carlo (MCMC) algorithms. In the case of massive data sets, running the Metropolis-Hastings sampler to draw from the posterior distribution becomes prohibitive due to the large…
Applications that require substantial computational resources today cannot avoid the use of heavily parallel machines. Embracing the opportunities of parallel computing and especially the possibilities provided by a new generation of…
To effectively control large-scale distributed systems online, model predictive control (MPC) has to swiftly solve the underlying high-dimensional optimization. There are multiple techniques applied to accelerate the solving process in the…
Parallel tempering, or replica exchange, is a popular method for simulating complex systems. The idea is to run parallel simulations at different temperatures, and at a given swap rate exchange configurations between the parallel…
A number of problems in a variety of fields are characterised by target distributions with a multimodal structure in which the presence of several isolated local maxima dramatically reduces the efficiency of Markov Chain Monte Carlo…
A modern graphics processing unit (GPU) is able to perform massively parallel scientific computations at low cost. We extend our implementation of the checkerboard algorithm for the two dimensional Ising model [T. Preis et al., J. Comp.…