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When properly tuned, Hamiltonian Monte Carlo scales to some of the most challenging high-dimensional problems at the frontiers of applied statistics, but when that tuning is suboptimal the performance leaves much to be desired. In this…
Poisson log-linear models are ubiquitous in many applications, and one of the most popular approaches for parametric count regression. In the Bayesian context, however, there are no sufficient specific computational tools for efficient…
We propose a novel technique for speeding up the self-learning Monte Carlo method applied to the single-site impurity model. For the case where the effective Hamiltonian is expressed by polynomial functions of differences of imaginary-time…
We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. The model learns the features necessary for an…
Parameter inference is a fundamental problem in data-driven modeling. Given observed data that is believed to be a realization of some parameterized model, the aim is to find parameter values that are able to explain the observed data. In…
Gaussian process (GP) models form a core part of probabilistic machine learning. Considerable research effort has been made into attacking three issues with GP models: how to compute efficiently when the number of data is large; how to…
Estimating the trace of the inverse of a large matrix is an important problem in lattice quantum chromodynamics. A multilevel Monte Carlo method is proposed for this problem that uses different degree polynomials for the levels. The…
Generative diffusion models have recently emerged as a powerful strategy to perform stochastic sampling in Bayesian inverse problems, delivering remarkably accurate solutions for a wide range of challenging applications. However, diffusion…
We propose a multilevel Markov chain Monte Carlo (MCMC) method for the Bayesian inference of random field parameters in PDEs using high-resolution data. Compared to existing multilevel MCMC methods, we additionally consider level-dependent…
There is a lack of simple and scalable algorithms for uncertainty quantification. Bayesian methods quantify uncertainty through posterior and predictive distributions, but it is difficult to rapidly estimate summaries of these…
Artificial neural networks have been recently introduced as a general ansatz to compactly represent many- body wave functions. In conjunction with Variational Monte Carlo, this ansatz has been applied to find Hamil- tonian ground states and…
Indirect imaging problems in biomedical optics generally require repeated evaluation of forward models of radiative transport, for which Monte Carlo is accurate yet computationally costly. We develop a novel approach to reduce this…
The physics of a closed quantum mechanical system is governed by its Hamiltonian. However, in most practical situations, this Hamiltonian is not precisely known, and ultimately all there is are data obtained from measurements on the system.…
Uncertainty estimation in deep models is essential in many real-world applications and has benefited from developments over the last several years. Recent evidence suggests that existing solutions dependent on simple Gaussian formulations…
Structure-based coarse graining of molecular systems offers a systematic route to reproduce the many-body potential of mean force. Unfortunately, common strategies are inherently limited by the molecular mechanics force field employed.…
This work is motivated by the analysis of ecological interaction networks. Poisson stochastic blockmodels are widely used in this field to decipher the structure that underlies a weighted network, while accounting for covariate effects.…
Mathematical models are essential for understanding and making predictions about systems arising in nature and engineering. Yet, mathematical models are a simplification of true phenomena, thus making predictions subject to uncertainty.…
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…
Standard quantum amplitude estimation algorithms provide quadratic speedup to Monte-Carlo simulations but require a circuit depth that scales as inverse of the estimation error. In view of the shallow depth in near-term devices, the…
Microscopically conserving reduced models of many-body systems have a long, highly successful history. Established theories of this type are the random-phase approximation for Coulomb fluids and the particle-particle ladder model for…