Related papers: Score-based Metropolis-Hastings for Fractional Lan…
Bayesian neural learning feature a rigorous approach to estimation and uncertainty quantification via the posterior distribution of weights that represent knowledge of the neural network. This not only provides point estimates of optimal…
When performing Bayesian inference using Sequential Monte Carlo (SMC) methods, two considerations arise: the accuracy of the posterior approximation and computational efficiency. To address computational demands, Sequential Monte Carlo…
We investigate local MCMC algorithms, namely the random-walk Metropolis and the Langevin algorithms, and identify the optimal choice of the local step-size as a function of the dimension $n$ of the state space, asymptotically as…
Langevin algorithms are gradient descent methods with additive noise. They have been used for decades in Markov chain Monte Carlo (MCMC) sampling, optimization, and learning. Their convergence properties for unconstrained non-convex…
The complexity of the Metropolis-Hastings (MH) algorithm arises from the requirement of a likelihood evaluation for the full data set in each iteration. Payne and Mallick (2015) propose to speed up the algorithm by a delayed acceptance…
We introduce a constructive framework to learn effective Langevin equations from stationary time series. Unlike conventional approaches that require iterative calibration to match target statistics, our construction guarantees the observed…
Multiple-try Metropolis (MTM) is a popular Markov chain Monte Carlo method with the appealing feature of being amenable to parallel computing. At each iteration, it samples several candidates for the next state of the Markov chain and…
Monte Carlo simulations are widely used to simulate complex molecular systems, but standard approaches suffer from metastability. Lately, the use of non-local proposal updates in a collective-variable (CV) space has been proposed in several…
The Langevin algorithm is a classic method for sampling from a given pdf in a real space. In its basic version, it only requires knowledge of the gradient of the log-density, also called the score function. However, in deep learning, it is…
We introduce a gradient-based learning method to automatically adapt Markov chain Monte Carlo (MCMC) proposal distributions to intractable targets. We define a maximum entropy regularised objective function, referred to as generalised speed…
We consider the robustness of score-based generative modeling to errors in the estimate of the score function. In particular, we show that Langevin dynamics is not robust to the L^2 errors (more generally L^p errors) in the estimate of the…
We demonstrate the use of a variational method to determine a quantitative lower bound on the rate of convergence of Markov Chain Monte Carlo (MCMC) algorithms as a function of the target density and proposal density. The bound relies on…
Bayesian inference in the presence of an intractable likelihood function is computationally challenging. When following a Markov chain Monte Carlo (MCMC) approach to approximate the posterior distribution in this context, one typically…
This paper develops a Bayesian computational platform at the interface between posterior sampling and optimization in models whose marginal likelihoods are difficult to evaluate. Inspired by adversarial optimization, namely Generative…
Sampling algorithms drive probabilistic machine learning, and recent years have seen an explosion in the diversity of tools for this task. However, the increasing sophistication of sampling algorithms is correlated with an increase in the…
Unnormalized probability distributions are central to modeling complex physical systems across various scientific domains. Traditional sampling methods, such as Markov Chain Monte Carlo (MCMC), often suffer from slow convergence, critical…
We present a new multiple-try Metropolis-Hastings algorithm designed to be especially beneficial when a tailored proposal distribution is available. The algorithm is based on a given acyclic graph $G$, where one of the nodes in $G$, $k$…
Regression methods based in Machine Learning Algorithms (MLA) have become an important tool for data analysis in many different disciplines. In this work, we use MLA in an astrophysical context; our goal is to measure the mean longitudinal…
We introduce a class of algorithms, termed proximal interacting particle Langevin algorithms (PIPLA), for inference and learning in latent variable models whose joint probability density is non-differentiable. Leveraging proximal Markov…
Purpose: The Unadjusted Langevin Algorithm (ULA) in combination with diffusion models can generate high quality MRI reconstructions with uncertainty estimation from highly undersampled k-space data. However, sampling methods such as…