相关论文: The shifted ODE method for underdamped Langevin MC…

In this paper, we propose a general approach for approximate simulation and analysis of delay differential equations (DDEs) with distributed time delays based on methods for ordinary differential equations (ODEs). The key innovation is that…

Sampling from a high-dimensional distribution is a fundamental task in statistics, engineering, and the sciences. A canonical approach is the Langevin Algorithm, i.e., the Markov chain for the discretized Langevin Diffusion. This is the…

Approximating a probability distribution using a set of particles is a fundamental problem in machine learning and statistics, with applications including clustering and quantization. Formally, we seek a weighted mixture of Dirac measures…

The Langevin sampling method relies on an accurate score matching while the existing massive multiple-input multiple output (MIMO) Langevin detection involves an inevitable singular value decomposition (SVD) to calculate the posterior…

We establish an information complexity lower bound of randomized algorithms for simulating underdamped Langevin dynamics. More specifically, we prove that the worst $L^2$ strong error is of order $\Omega(\sqrt{d}\, N^{-3/2})$, for solving a…

Many machine learning applications require operating on a spatially distributed dataset. Despite technological advances, privacy considerations and communication constraints may prevent gathering the entire dataset in a central unit. In…

Sampling algorithms play an important role in controlling the quality and runtime of diffusion model inference. In recent years, a number of works~\cite{chen2023sampling,chen2023ode,benton2023error,lee2022convergence} have proposed schemes…

This paper considers the problem of sampling from non-logconcave distribution, based on queries of its unnormalized density. It first describes a framework, Denoising Diffusion Monte Carlo (DDMC), based on the simulation of a denoising…

While systems analysis has been studied for decades in the context of control theory, it has only been recently used to improve the convergence of Denoising Diffusion Probabilistic Models. This work describes a novel improvement to Third-…

Fitting models to data to obtain distributions of consistent parameter values is important for uncertainty quantification, model comparison, and prediction. Standard Markov chain Monte Carlo (MCMC) approaches for fitting ordinary…

In this work, we propose a first-order sampling method called the Metropolis-adjusted Preconditioned Langevin Algorithm for approximate sampling from a target distribution whose support is a proper convex subset of $\mathbb{R}^{d}$. Our…

We proposed a new technique to accelerate sampling methods for solving difficult optimization problems. Our method investigates the intrinsic connection between posterior distribution sampling and optimization with Langevin dynamics, and…

We consider numerical approximations of overdamped Langevin stochastic differential equations by implicit methods. We show a weak backward error analysis result in the sense that the generator associated with the numerical solution…

We propose a distributed nonparametric algorithm for solving measure-valued optimization problems with additive objectives. Such problems arise in several contexts in stochastic learning and control including Langevin sampling from an…

We propose a Monte Carlo sampler from the reverse diffusion process. Unlike the practice of diffusion models, where the intermediary updates -- the score functions -- are learned with a neural network, we transform the score matching…

Strong approximation errors of both finite element semi-discretization and spatio-temporal full discretization are analyzed for the stochastic Allen-Cahn equation driven by additive noise in space dimension $d \leq 3$. The full…

In the first part of this paper we study approximations of trajectories of Piecewise Deter-ministic Processes (PDP) when the flow is not explicit by the thinning method. We also establish a strong error estimate for PDPs as well as a weak…

Diffusion models have exhibited excellent performance in various domains. The probability flow ordinary differential equation (ODE) of diffusion models (i.e., diffusion ODEs) is a particular case of continuous normalizing flows (CNFs),…

Approximate Thompson sampling with Langevin Monte Carlo broadens its reach from Gaussian posterior sampling to encompass more general smooth posteriors. However, it still encounters scalability issues in high-dimensional problems when…

In this paper we consider the parameter estimation problem associated to partially-observed time changed SDEs, with observations that are given at discrete times. In particular we consider both likelihood and Bayesian estimation. We develop…