相关论文: Aggregated Gradient Langevin Dynamics

Stochastic gradient Hamiltonian Monte Carlo (SGHMC) is a variant of stochastic gradient with momentum where a controlled and properly scaled Gaussian noise is added to the stochastic gradients to steer the iterates towards a global minimum.…

Path integrals with complex actions are encountered for many physical systems ranging from spin- or mass-imbalanced atomic gases and graphene to quantum chromo-dynamics at finite density to the non-equilibrium evolution of quantum systems.…

In this paper we develop a Stochastic Gradient Langevin Dynamics (SGLD) algorithm tailored for solving a certain class of non-convex distributionally robust optimisation (DRO) problems. By deriving non-asymptotic convergence bounds, we…

Multidimensional scaling (MDS) is widely used to reconstruct a low-dimensional representation of high-dimensional data while preserving pairwise distances. However, Bayesian MDS approaches based on Markov chain Monte Carlo (MCMC) face…

We propose a new method called the Metropolis-adjusted Mirror Langevin algorithm for approximate sampling from distributions whose support is a compact and convex set. This algorithm adds an accept-reject filter to the Markov chain induced…

Markov Chain Monte Carlo (MCMC) methods sample from unnormalized probability distributions and offer guarantees of exact sampling. However, in the continuous case, unfavorable geometry of the target distribution can greatly limit the…

Efficient sampling from complex and high dimensional target distributions turns out to be a fundamental task in diverse disciplines such as scientific computing, statistics and machine learning. In this paper, we propose a new kind of…

Gradient descent (GD) is known to converge quickly for convex objective functions, but it can be trapped at local minima. On the other hand, Langevin dynamics (LD) can explore the state space and find global minima, but in order to give…

Langevin dynamics sampling suffers from extremely low generation speed, fundamentally limited by numerous fine-grained iterations to converge to the target distribution. We introduce PID-controlled Langevin Dynamics (PIDLD), a novel…

Monte Carlo sampling techniques have broad applications in machine learning, Bayesian posterior inference, and parameter estimation. Often the target distribution takes the form of a product distribution over a dataset with a large number…

We consider the outstanding problem of sampling from an unnormalized density that may be non-log-concave and multimodal. To enhance the performance of simple Markov chain Monte Carlo (MCMC) methods, techniques of annealing type have been…

The Markov Chain Monte Carlo (MCMC) methods are popular when considering sampling from a high-dimensional random variable $\mathbf{x}$ with possibly unnormalised probability density $p$ and observed data $\mathbf{d}$. However, MCMC requires…

We present a sequential Monte Carlo sampler algorithm for the Bayesian analysis of generalised linear mixed models (GLMMs). These models support a variety of interesting regression-type analyses, but performing inference is often extremely…

Performing reliable Bayesian inference on a big data scale is becoming a keystone in the modern era of machine learning. A workhorse class of methods to achieve this task are Markov chain Monte Carlo (MCMC) algorithms and their design to…

Minimizing the inclusive Kullback-Leibler (KL) divergence with stochastic gradient descent (SGD) is challenging since its gradient is defined as an integral over the posterior. Recently, multiple methods have been proposed to run SGD with…

Over decades, Markov chain Monte Carlo (MCMC) methods have been widely studied, with a typical application being the quantification of posterior uncertainties in Bayesian system identification of structural dynamic models. To address the…

It is common practice in Markov chain Monte Carlo to update the simulation one variable (or sub-block of variables) at a time, rather than conduct a single full-dimensional update. When it is possible to draw from each full-conditional…

We propose a new variant of AMSGrad, a popular adaptive gradient based optimization algorithm widely used for training deep neural networks. Our algorithm adds prior knowledge about the sequence of consecutive mini-batch gradients and…

Sampling from high-dimensional distributions has wide applications in data science and machine learning but poses significant computational challenges. We introduce Subspace Langevin Monte Carlo (SLMC), a novel and efficient sampling method…

Adaptive Markov chain Monte Carlo (MCMC) algorithms, which automatically tune their parameters based on past samples, have proved extremely useful in practice. The self-tuning mechanism makes them `non-Markovian', which means that their…