相关论文: Random Bit Quadrature and Approximation of Distrib…

In this article, we consider computing expectations w.r.t. probability measures which are subject to discretization error. Examples include partially observed diffusion processes or inverse problems, where one may have to discretize time…

Consider a family of distributions $\{\pi_{\beta}\}$ where $X\sim\pi_{\beta}$ means that $\mathbb{P}(X=x)=\exp(-\beta H(x))/Z(\beta)$. Here $Z(\beta)$ is the proper normalizing constant, equal to $\sum_x\exp(-\beta H(x))$. Then…

This paper employs a recently developed asymptotic Bayesian multi-hypothesis testing (MHT) error analysis to treat the problem of superresolution imaging of a pair of closely spaced, equally bright point sources. The analysis exploits the…

Let $X,X_1,\dots, X_n$ be i.i.d. Gaussian random variables in a separable Hilbert space ${\mathbb H}$ with zero mean and covariance operator $\Sigma={\mathbb E}(X\otimes X),$ and let $\hat \Sigma:=n^{-1}\sum_{j=1}^n (X_j\otimes X_j)$ be the…

The statistical problem of parameter estimation in partially observed hypoelliptic diffusion processes is naturally occurring in many applications. However, due to the noise structure, where the noise components of the different coordinates…

We present simple, user-friendly bounds for the expected operator norm of a random kernel matrix under general conditions on the kernel function $k(\cdot,\cdot)$. Our approach uses decoupling results for U-statistics and the non-commutative…

This paper studies the probabilistic function approximation problem over reproducing kernel Hilbert spaces. We show the existence and uniqueness of the optimizer under mild assumptions. Furthermore, we generalize the celebrated representer…

We give the first rigorous proof of the convergence of Riemannian Hamiltonian Monte Carlo, a general (and practical) method for sampling Gibbs distributions. Our analysis shows that the rate of convergence is bounded in terms of natural…

One way of getting insight into non-Gaussian measures, posed on infinite dimensional Hilbert spaces, is to first obtain best fit Gaussian approximations, which are more amenable to numerical approximation. These Gaussians can then be used…

For big data analysis, high computational cost for Bayesian methods often limits their applications in practice. In recent years, there have been many attempts to improve computational efficiency of Bayesian inference. Here we propose an…

Many statistical applications involve models for which it is difficult to evaluate the likelihood, but from which it is relatively easy to sample. Approximate Bayesian computation is a likelihood-free method for implementing Bayesian…

This paper is devoted to the stochastic approximation of entropically regularized Wasserstein distances between two probability measures, also known as Sinkhorn divergences. The semi-dual formulation of such regularized optimal…

We study maximum likelihood estimation for spatial generalized linear mixed models with Gaussian process approximations using a stochastic Newton-Raphson algorithm. We consider two Gaussian Process approximations in this context: spectral…

The purpose of this paper is to establish the almost sure weak ergodic convergence of a sequence of iterates $(x_n)$ given by $x_{n+1} = (I+\lambda_n A(\xi_{n+1},\,.\,))^{-1}(x_n)$ where $(A(s,\,.\,):s\in E)$ is a collection of maximal…

Finding a maximum cut is a fundamental task in many computational settings. Surprisingly, it has been insufficiently studied in the classic distributed settings, where vertices communicate by synchronously sending messages to their…

General elliptic equations with spatially discontinuous diffusion coefficients may be used as a simplified model for subsurface flow in heterogeneous or fractured porous media. In such a model, data sparsity and measurement errors are often…

Hamiltonian Monte Carlo (HMC) is a Markov chain algorithm for sampling from a high-dimensional distribution with density $e^{-f(x)}$, given access to the gradient of $f$. A particular case of interest is that of a $d$-dimensional Gaussian…

We consider a stochastic version of the proximal point algorithm for optimization problems posed on a Hilbert space. A typical application of this is supervised learning. While the method is not new, it has not been extensively analyzed in…

We motive and calculate Newton--Cotes quadrature integration variance and compare it directly with Monte Carlo (MC) integration variance. We find an equivalence between deterministic quadrature sampling and random MC sampling by noting that…

Hamiltonian Monte Carlo (HMC) is an efficient method of simulating smooth distributions and has motivated the widely used No-U-turn Sampler (NUTS) and software Stan. We build on NUTS and the technique of "unbiased sampling" to design HMC…