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Lattice gauge theories (LGTs) provide a powerful framework for studying non-perturbative phenomena in gauge theories. However, conventional approaches such as Monte Carlo (MC) simulations in imaginary time are limited, as they do not allow…
Bayesian max-margin models have shown superiority in various practical applications, such as text categorization, collaborative prediction, social network link prediction and crowdsourcing, and they conjoin the flexibility of Bayesian…
This article considers stochastic algorithms for efficiently solving a class of large scale non-linear least squares (NLS) problems which frequently arise in applications. We propose eight variants of a practical randomized algorithm where…
Hamiltonian Monte Carlo (HMC) is a powerful Markov chain Monte Carlo (MCMC) method for performing approximate inference in complex probabilistic models of continuous variables. In common with many MCMC methods, however, the standard HMC…
Hamiltonian Monte Carlo (HMC) sampling methods provide a mechanism for defining distant proposals with high acceptance probabilities in a Metropolis-Hastings framework, enabling more efficient exploration of the state space than standard…
We present a simulation algorithm for Hamiltonian fermion lattice models. A guiding trial wave function is adaptively optimized during Monte Carlo evolution. We apply the method to the two dimensional Gross-Neveu model and analyze systematc…
Simulation Based Calibration (SBC) is applied to analyse two commonly used, competing Markov chain Monte Carlo algorithms for estimating the posterior distribution of a stochastic volatility model. In particular, the bespoke 'off-set…
Stochastic gradient descent method and its variants constitute the core optimization algorithms that achieve good convergence rates for solving machine learning problems. These rates are obtained especially when these algorithms are…
The Hybrid Monte Carlo (HMC) algorithm currently is the favorite scheme to simulate quantum chromodynamics including dynamical fermions. In this talk-which is intended for a non-expert audience--I want to bring together methodical and…
Based on the stochastic maximum principle for the partially coupled forward-backward stochastic control system (FBSCS for short), a modified method of successive approximations (MSA for short) is established for stochastic recursive optimal…
Stochastic kinetic models (SKMs) are increasingly used to account for the inherent stochasticity exhibited by interacting populations of species in areas such as epidemiology, population ecology and systems biology. Species numbers are…
We develop an extended framework for the hybrid Monte Carlo (HMC) algorithm in lattice gauge theory by embedding the $SU(N)$ group into the space of general complex matrices,$M_N(\mathbb{C})$. Auxiliary directions will be completely…
Hamiltonian Monte Carlo (HMC) and related algorithms have become routinely used in Bayesian computation. In this article, we present a simple and provably accurate method to improve the efficiency of HMC and related algorithms with…
The last decade has seen an explosive growth of interest in exploiting developments in machine learning to accelerate lattice QCD calculations. On the sampling side, generative models are a promising approach to mitigating critical slowing…
A method for the introduction of second-order derivatives of the log likelihood into HMC algorithms is introduced, which does not require the Hessian to be evaluated at each leapfrog step but only at the start and end of trajectories.
Hamiltonian Monte Carlo (HMC) is widely used for sampling from high dimensional target distributions with densities known up to proportionality. While HMC exhibits favorable scaling properties in high dimensions, it struggles with strongly…
This paper presents a study using the Bayesian approach in stochastic volatility models for modeling financial time series, using Hamiltonian Monte Carlo methods (HMC). We propose the use of other distributions for the errors in the…
The tempered Lefschetz thimble method (TLTM) is a parallel-tempering algorithm towards solving the numerical sign problem, where the system is tempered by the antiholomorphic gradient flow to tame both the sign and ergodicity problems…
We discuss several methods that improve the partial-global stochastic Metropolis (PGSM) algorithm for smeared link staggered fermions. We present autocorrelation time measurements and argue that this update is feasible even on reasonably…
The increase with time of computer resources devoted to simulations of full QCD is spectacular. Yet the reduction of systematic errors is comparatively slow. This is due to the algorithmic complexity of the problem. I review, in elementary…