相关论文: The Fundamental Incompatibility of Hamiltonian Mon…

In predictive modeling with simulation or machine learning, it is critical to accurately assess the quality of estimated values through output analysis. In recent decades output analysis has become enriched with methods that quantify the…

Due to the potential benefits of parallelization, designing unbiased Monte Carlo estimators, primarily in the setting of randomized multilevel Monte Carlo, has recently become very popular in operations research and computational…

It is shown that superefficient Monte Carlo computations can be carried out by using chaotic dynamical systems as non-uniform random-number generators. Here superefficiency means that the expectation value of the square of the error…

Several strategies have been recently proposed in order to improve Monte Carlo sampling efficiency using machine learning tools. Here, we challenge these methods by considering a class of problems that are known to be exponentially hard to…

It is often necessary to make sampling-based statistical inference about many probability distributions in parallel. Given a finite computational resource, this article addresses how to optimally divide sampling effort between the samplers…

Hamiltonian Monte Carlo (HMC) has become routinely used for sampling from posterior distributions. Its extension Riemann manifold HMC (RMHMC) modifies the proposal kernel through distortion of local distances by a Riemannian metric. The…

Variational inference is a powerful paradigm for approximate Bayesian inference with a number of appealing properties, including support for model learning and data subsampling. By contrast MCMC methods like Hamiltonian Monte Carlo do not…

This paper derives two new optimization-driven Monte Carlo algorithms inspired from variable splitting and data augmentation. In particular, the formulation of one of the proposed approaches is closely related to the alternating direction…

We consider the topic of data imputation, a foundational task in machine learning that addresses issues with missing data. To that end, we propose MCFlow, a deep framework for imputation that leverages normalizing flow generative models and…

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…

Hamiltonian Monte Carlo (HMC) is a powerful Markov Chain Monte Carlo (MCMC) method for sampling from complex high-dimensional continuous distributions. However, in many situations it is necessary or desirable to combine HMC with other…

Generating samples from a continuous probability density is a central algorithmic problem across statistics, engineering, and the sciences. For high-dimensional settings, Hamiltonian Monte Carlo (HMC) is the default algorithm across…

We present the preliminary tests on two modifications of the Hybrid Monte Carlo (HMC) algorithm. Both algorithms are designed to travel much farther in the Hamiltonian phase space for each trajectory and reduce the autocorrelations among…

We consider Monte Carlo approximations to the maximum likelihood estimator in models with intractable norming constants. This paper deals with adaptive Monte Carlo algorithms, which adjust control parameters in the course of simulation. We…

We propose Subsampling MCMC, a Markov Chain Monte Carlo (MCMC) framework where the likelihood function for $n$ observations is estimated from a random subset of $m$ observations. We introduce a highly efficient unbiased estimator of the…

Population Monte Carlo (PMC) sampling methods are powerful tools for approximating distributions of static unknowns given a set of observations. These methods are iterative in nature: at each step they generate samples from a proposal…

We propose a fast stochastic Hamilton Monte Carlo (HMC) method, for sampling from a smooth and strongly log-concave distribution. At the core of our proposed method is a variance reduction technique inspired by the recent advance in…

Monte Carlo algorithms, such as Markov chain Monte Carlo (MCMC) and Hamiltonian Monte Carlo (HMC), are routinely used for Bayesian inference in generalized linear models; however, these algorithms are prohibitively slow in massive data…

Sampling occupies an important position in theories of various scientific fields, and Markov chain Monte Carlo (MCMC) provides the most common technique of sampling. In the progress of MCMC, a huge number of studies have aimed the…

We consider the $\mathcal{H}^2$-formatted compression and computational estimation of covariance functions on a compact set in $\mathbb{R}^d$. The classical sample covariance or Monte Carlo estimator is prohibitively expensive for many…