Related papers: Preconditioning Hamiltonian Monte Carlo by minimiz…
Underdamped Langevin Monte Carlo (ULMC) is an algorithm used to sample from unnormalized densities by leveraging the momentum of a particle moving in a potential well. We provide a novel analysis of ULMC, motivated by two central questions:…
We discuss Hamiltonian Monte Carlo (HMC) and event-chain Monte Carlo (ECMC) for the one-dimensional chain of particles with harmonic interactions and benchmark them against local reversible Metropolis algorithms. While HMC achieves…
Dynamically rescaled Hamiltonian Monte Carlo (DRHMC) is introduced as a computationally fast and easily implemented method for performing full Bayesian analysis in hierarchical statistical models. The method relies on introducing a modified…
We introduce a variant of the Hybrid Monte Carlo (HMC) algorithm to address large-deviation statistics in stochastic hydrodynamics. Based on the path-integral approach to stochastic (partial) differential equations, our HMC algorithm…
The Hamiltonian Monte Carlo (HMC) sampling algorithm exploits Hamiltonian dynamics to construct efficient Markov Chain Monte Carlo (MCMC), which has become increasingly popular in machine learning and statistics. Since HMC uses the gradient…
We propose to compute physical properties by Monte Carlo calculations using conditional expectation values. The latter are obtained on top of the usual Monte Carlo sampling by partitioning the physical space in several subspaces or…
Modern applications of Bayesian inference involve models that are sufficiently complex that the corresponding posterior distributions are intractable and must be approximated. The most common approximation is based on Markov chain Monte…
Based on a new coupling approach, we prove that the transition step of the Hamiltonian Monte Carlo algorithm is contractive w.r.t. a carefully designed Kantorovich (L1 Wasserstein) distance. The lower bound for the contraction rate is…
In this work we present a new and efficient Bayesian method for nonlinear three dimensional large scale structure inference. We employ a Hamiltonian Monte Carlo (HMC) sampler to obtain samples from a multivariate highly non-Gaussian…
The classical cubic dimer model has a columnar ordering transition that is continuous and described by a critical Anderson--Higgs theory containing an SU(2)-symmetric complex field minimally coupled to a noncompact U(1) gauge theory.…
We present a scalable Bayesian framework for the analysis of confocal fluorescence spectroscopy data, addressing key limitations in traditional fluorescence correlation spectroscopy methods. Our framework captures molecular motion,…
We introduce a class of Monte Carlo estimators that aim to overcome the rapid growth of variance with dimension often observed for standard estimators by exploiting the target's independence structure. We identify the most basic…
Existing rigorous convergence guarantees for the Hamiltonian Monte Carlo (HMC) algorithm use Gaussian auxiliary momentum variables, which are crucially symmetrically distributed. We present a novel convergence analysis for HMC utilizing new…
In high dimensions, reflective Hamiltonian Monte Carlo with inexact reflections exhibits slow mixing when the particle ensemble is initialised from a Dirac delta distribution and the uniform distribution is targeted. By quantifying the…
Hamiltonian Monte Carlo (HMC) is a Markov chain Monte Carlo (MCMC) approach that exhibits favourable exploration properties in high-dimensional models such as neural networks. Unfortunately, HMC has limited use in large-data regimes and…
Latent variable models are increasingly used in economics for high-dimensional categorical data like text and surveys. We demonstrate the effectiveness of Hamiltonian Monte Carlo (HMC) with parallelized automatic differentiation for…
Hamiltonian Monte Carlo (HMC) is arguably the dominant statistical inference algorithm used in most popular "first-order differentiable" Probabilistic Programming Languages (PPLs). However, the fact that HMC uses derivative information…
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…
This paper provides a framework for estimating the mean and variance of a high-dimensional normal density. The main setting considered is a fixed number of vector following a high-dimensional normal distribution with unknown mean and…
Diffusion Monte Carlo (DMC) calculations typically yield highly accurate results in solid-state and quantum-chemical calculations. However, operators that do not commute with the Hamiltonian are at best sampled correctly up to second order…