Related papers: Gradient-Informed Monte Carlo Fine-Tuning of Diffu…
Gradient-based Monte Carlo sampling algorithms, like Langevin dynamics and Hamiltonian Monte Carlo, are important methods for Bayesian inference. In large-scale settings, full-gradients are not affordable and thus stochastic gradients…
The Diffusion Monte Carlo method with constant number of walkers, also called Stochastic Reconfiguration as well as Sequential Monte Carlo, is a widely used Monte Carlo methodology for computing the ground-state energy and wave function of…
Markov chain Monte Carlo methods have become standard tools in statistics to sample from complex probability measures. Many available techniques rely on discrete-time reversible Markov chains whose transition kernels build up over the…
In this study, we investigate the performance of the Metropolis-adjusted Langevin algorithm in a setting with constraints on the support of the target distribution. We provide a rigorous analysis of the resulting Markov chain, establishing…
The Metropolis implementation of the Monte Carlo algorithm has been developed to study the equilibrium thermodynamics of many-body systems. Choosing small trial moves, the trajectories obtained applying this algorithm agree with those…
Sampling from distributions play a crucial role in aiding practitioners with statistical inference. However, in numerous situations, obtaining exact samples from complex distributions is infeasible. Consequently, researchers often turn to…
Diffusion models (DMs) have emerged as powerful image priors in Bayesian computational imaging. Two primary strategies have been proposed for leveraging DMs in this context: Plug-and-Play methods, which are zero-shot and highly flexible but…
Markov chain Monte Carlo methods are often deemed too computationally intensive to be of any practical use for big data applications, and in particular for inference on datasets containing a large number $n$ of individual data points, also…
In this manuscript, inspired by a simpler reformulation of primary sample space Metropolis light transport, we derive a novel family of general Markov chain Monte Carlo algorithms called charted Metropolis-Hastings, that introduces the…
The Random Walk Metropolis (RWM) algorithm is a Metropolis- Hastings MCMC algorithm designed to sample from a given target distribution \pi with Lebesgue density on R^N. RWM constructs a Markov chain by randomly proposing a new position…
Sampling from log-concave distributions is a well researched problem that has many applications in statistics and machine learning. We study the distributions of the form $p^{*}\propto\exp(-f(x))$, where…
We introduce a general framework that constructs estimators with reduced variance for random walk Metropolis and Metropolis-adjusted Langevin algorithms. The resulting estimators require negligible computational cost and are derived in a…
General multivariate distributions are notoriously expensive to sample from, particularly the high-dimensional posterior distributions in PDE-constrained inverse problems. This paper develops a sampler for arbitrary continuous multivariate…
We study inference-time alignment for diffusion-based generative models, aiming to steer a base model toward high-reward outputs without updating its weights. Recent Sequential Monte Carlo (SMC)-based steering methods approximate…
Metropolis Monte Carlo simulation is a powerful tool for studying the equilibrium properties of matter. In complex condensed-phase systems, however, it is difficult to design Monte Carlo moves with high acceptance probabilities that also…
This paper addresses optimization problems constrained by partial differential equations with uncertain coefficients. In particular, the robust control problem and the average control problem are considered for a tracking type cost…
We introduce new Gaussian proposals to improve the efficiency of the standard Hastings-Metropolis algorithm in Markov chain Monte Carlo (MCMC) methods, used for the sampling from a target distribution in large dimension $d$. The improved…
The possibility of different interpretations of the stochastic term (or calculi) in the overdamped Langevin equation for the motion of a particle in an inhomogeneous medium is often referred to as the "Ito--Stratonovich dilemma," although…
Markov Chain Monte Carlo (MCMC) algorithms are widely used for stochastic optimization, sampling, and integration of mathematical objective functions, in particular, in the context of Bayesian inverse problems and parameter estimation. For…
Particle MCMC is a class of algorithms that can be used to analyse state-space models. They use MCMC moves to update the parameters of the models, and particle filters to propose values for the path of the state-space model. Currently the…