Related papers: Rao-Blackwellized Markov chain Monte Carlo Light T…
We propose a weighting scheme for the proposals within Markov chain Monte Carlo algorithms and show how this can improve statistical efficiency at no extra computational cost. These methods are most powerful when combined with…
Casella and Robert [Biometrika 83 (1996) 81--94] presented a general Rao--Blackwellization principle for accept-reject and Metropolis--Hastings schemes that leads to significant decreases in the variance of the resulting estimators, but at…
Markov chain Monte Carlo (MCMC) algorithms are indispensable when sampling from a complex, high-dimensional distribution by a conventional method is intractable. Even though MCMC is a powerful tool, it is also hard to control and tune in…
The Metropolis Hastings algorithm and its multi-proposal extensions are aimed at the computation of the expectation $<\pi,f>$ of a function $f$ under a probability measure $\pi$ difficult to simulate. They consist in constructing by an…
We introduce a Monte Carlo algorithm to efficiently compute transport properties of chaotic dynamical systems. Our method exploits the importance sampling technique that favors trajectories in the tail of the distribution of displacements,…
We present a method for Monte Carlo sampling on systems with discrete variables (focusing in the Ising case), introducing a prior on the candidate moves in a Metropolis-Hastings scheme which can significantly reduce the rejection rate,…
Monte Carlo statistical ray-tracing methods are commonly employed to simulate carrier transport in nanostructured materials. In the case of a large degree of nanostructuring and under linear response (small driving fields), these…
We present Diffusion Restore, a real-time framework for diffusion-based MCMC light transport. MCMC methods are highly suitable for sampling from complex high-dimensional distributions and for approximating integrals over them. In practice,…
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…
We study Markov Chain Monte Carlo (MCMC) methods operating in primary sample space and their interactions with multiple sampling techniques. We observe that incorporating the sampling technique into the state of the Markov Chain, as done in…
It is commonly admitted that non-reversible Markov chain Monte Carlo (MCMC) algorithms usually yield more accurate MCMC estimators than their reversible counterparts. In this note, we show that in addition to their variance reduction…
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…
Population Monte Carlo has been introduced as a sequential importance sampling technique to overcome poor fit of the importance function. In this paper, we compare the performances of the original Population Monte Carlo algorithm with a…
Continued demand for accurate and computationally efficient transport methods to solve optically thick, fixed-source transport problems has inspired research on variance-reduction (VR) techniques for Monte Carlo (MC). Methods that use…
Multiple importance sampling (MIS) is employed to reduce variance of estimators, but when sampling and weighting are not suitable to the integrand, the estimators would have extra variance. Therefore, robust light transport simulation…
Monte Carlo (MC) sampling methods are widely applied in Bayesian inference, system simulation and optimization problems. The Markov Chain Monte Carlo (MCMC) algorithms are a well-known class of MC methods which generate a Markov chain with…
We construct a new Markov chain Monte Carlo method on finite states with optimal choices of acceptance-rejection ratio functions. We prove that the constructed continuous time Markov jumping process has a global in-time convergence rate in…
Markov chain Monte Carlo (MCMC) methods are one of the most popular classes of algorithms for sampling from a target probability distribution. A rising trend in recent years consists in analyzing the convergence of MCMC algorithms using…
Reversible jump Markov chain Monte Carlo (RJMCMC) proposals that achieve reasonable acceptance rates and mixing are notoriously difficult to design in most applications. Inspired by recent advances in deep neural network-based normalizing…
The Multilevel Monte Carlo method is an efficient variance reduction technique. It uses a sequence of coarse approximations to reduce the computational cost in uncertainty quantification applications. The method is nowadays often considered…