Related papers: Speeding up the FMMR perfect sampling algorithm: A…
We give a new method for generating perfectly random samples from the stationary distribution of a Markov chain. The method is related to coupling from the past (CFTP), but only runs the Markov chain forwards in time, and never restarts it…
In this paper, we introduce a slight variation of the Dominated Coupling From the Past algorithm (DCFTP) of Kendall, for bounded Markov chains. It is based on the control of a (typically non-monotonic) stochastic recursion by a (typically…
We discuss a Monte Carlo Markov Chain (MCMC) procedure for the random sampling of some one-dimensional lattice paths with constraints, for various constraints. We show that an approach inspired by optimal transport allows us to bound…
In this paper, we consider the Markov-Chain Monte Carlo (MCMC) approach for random sampling of combinatorial objects. The running time of such an algorithm depends on the total mixing time of the underlying Markov chain and is unknown in…
Perfect sampling is a technique that uses coupling arguments to provide a sample from the stationary distribution of a Markov chain in a finite time without ever computing the distribution. This technique is very efficient if all the events…
Markov chains are one of the well-known tools for modeling and analyzing stochastic systems. At the same time, they are used for constructing random walks that can achieve a given stationary distribution. This paper is concerned with…
In this paper we present a novel probabilistic sampling-based motion planning algorithm called the Fast Marching Tree algorithm (FMT*). The algorithm is specifically aimed at solving complex motion planning problems in high-dimensional…
We propose quantum algorithms that provide provable speedups for Markov Chain Monte Carlo (MCMC) methods commonly used for sampling from probability distributions of the form $\pi \propto e^{-f}$, where $f$ is a potential function. Our…
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…
ROCFTP is a perfect sampling algorithm that employs various random operations, and requiring a specific Markov chain construction for each target. To overcome this requirement, the Metropolis algorithm is incorporated as a random operation…
List accessing problem has been studied as a problem of significant theoretical and practical interest in the context of linear search. Various list accessing algorithms have been proposed in the literature and their performances have been…
The choice of transition kernel critically influences the performance of the Markov chain Monte Carlo method. Despite the importance of kernel choice, guiding principles for optimal kernels have not been established. Here, we propose a…
Many problems of practical interest rely on Continuous-time Markov chains~(CTMCs) defined over combinatorial state spaces, rendering the computation of transition probabilities, and hence probabilistic inference, difficult or impossible…
We study a class of systems termed Markov Machines (MM) which process job requests with exponential service times. Assuming a Poison job arrival process, these MMs oscillate between two states, free and busy. We consider the problem of…
Markov chain Monte Carlo (MCMC) methods are widely used in machine learning. One of the major problems with MCMC is the question of how to design chains that mix fast over the whole state space; in particular, how to select the parameters…
By developing and applying a broad framework for rejection sampling using auxiliary randomness, we provide an extension of the perfect sampling algorithm of Fill (1998) to general chains on quite general state spaces, and describe how use…
Graphs are commonly used to model various complex systems, including social networks, power grids, transportation networks, and biological systems. In many applications, the connectivity of these networks can be expressed through the Mean…
In most sampling algorithms, including Hamiltonian Monte Carlo, transition rates between states correspond to the probability of making a transition in a single time step, and are constrained to be less than or equal to 1. We derive a…
Markov chain Monte Carlo (MCMC) methods are often used in clustering since they guarantee asymptotically exact expectations in the infinite-time limit. In finite time, though, slow mixing often leads to poor performance. Modern computing…
Markov chain Monte Carlo (MCMC) sampling is an important and commonly used tool for the analysis of hierarchical models. Nevertheless, practitioners generally have two options for MCMC: utilize existing software that generates a black-box…