Related papers: From Continuous to Discrete: a No-U-Turn Sampler f…
Given samples from two distributions over an $n$-element set, we wish to test whether these distributions are statistically close. We present an algorithm which uses sublinear in $n$, specifically, $O(n^{2/3}\epsilon^{-8/3}\log n)$,…
Non-commutative Euclidean scalar field theory is shown to have an eigenvalue sector which is dominated by a well-defined eigenvalue density, and can be described by a matrix model. This is established using regularizations of R^{2n}_\theta…
We develop a Bayesian inference method for diffusions observed discretely and with noise, which is free of discretisation bias. Unlike existing unbiased inference methods, our method does not rely on exact simulation techniques. Instead,…
In this paper, we investigate a continuous time version of the Stochastic Langevin Monte Carlo method, introduced in [WT11], that incorporates a stochastic sampling step inside the traditional over-damped Langevin diffusion. This method is…
Time-space noncommutativity leads to quantisation of time and energy nonconservation when time is conjugate to a compact spatial direction like a circle. In this context energy is conserved only modulo some fixed unit. Such a possibility…
We revisit analytical methods for constraining the nonperturbative $S$-matrix of unitary, relativistic, gapped theories in $d \geq 3$ spacetime dimensions. We assume extended analyticity of the two-to-two scattering amplitude and use it…
We develop clustering procedures for longitudinal trajectories based on a continuous-time hidden Markov model (CTHMM) and a generalized linear observation model. Specifically in this paper, we carry out finite and infinite mixture…
In this paper, we relate the framework of mod-$\phi$ convergence to the construction of approximation schemes for lattice-distributed random variables. The point of view taken here is that of Fourier analysis in the Wiener algebra, allowing…
Deterministic dynamics is an essential part of many MCMC algorithms, e.g. Hybrid Monte Carlo or samplers utilizing normalizing flows. This paper presents a general construction of deterministic measure-preserving dynamics using autonomous…
We study the approach to equilibrium of the event-chain Monte Carlo (ECMC) algorithm for the one-dimensional hard-sphere model. Using the connection to the coupon-collector problem, we prove that a specific version of this local…
We consider the outstanding problem of sampling from an unnormalized density that may be non-log-concave and multimodal. To enhance the performance of simple Markov chain Monte Carlo (MCMC) methods, techniques of annealing type have been…
The problem of sampling a target probability distribution on a constrained domain arises in many applications including machine learning. For constrained sampling, various Langevin algorithms such as projected Langevin Monte Carlo (PLMC),…
The stability and convergence analysis of high-order numerical approximations for the one- and two-dimensional nonlocal wave equations on unbounded spatial domains are considered. We first use the quadrature-based finite difference schemes…
We study the problem of differentially private linear regression where each data point is sampled from a fixed sub-Gaussian style distribution. We propose and analyze a one-pass mini-batch stochastic gradient descent method (DP-AMBSSGD)…
We propose an adaptive importance sampling scheme for Gaussian approximations of intractable posteriors. Optimization-based approximations like variational inference can be too inaccurate while existing Monte Carlo methods can be too slow.…
In this work, we present a numerical method to consistently approximate solutions of a spatially discrete, double sine-Gordon chain which considers the presence of external damping. In addition to the finite-difference scheme employed to…
An effective approach for sampling from unnormalized densities is based on the idea of gradually transporting samples from an easy prior to the complicated target distribution. Two popular methods are (1) Sequential Monte Carlo (SMC), where…
We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete--time state--space Markov model. The algorithm employs two layers of particle filters to approximate the…
We construct a symplectic realisation of the twisted Poisson structure on the phase space of an electric charge in the background of an arbitrary smooth magnetic monopole density in three dimensions. We use the extended phase space…
In this paper we develop a continuous-time sequential importance sampling (CIS) algorithm which eliminates time-discretisation errors and provides online unbiased estimation for continuous time Markov processes, in particular for…