相关论文: Ballistic Convergence in Hit-and-Run Monte Carlo a…

In this paper, we provide a non-asymptotic analysis of the convergence of the stochastic gradient Hamiltonian Monte Carlo (SGHMC) algorithm to a target measure in Wasserstein-1 and Wasserstein-2 distance. Crucially, compared to the existing…

In this paper, for $\mu$ and $\nu$ two probability measures on $\mathbb{R}^d$ with finite moments of order $\rho\ge 1$, we define the respective projections for the $W_\rho$-Wasserstein distance of $\mu$ and $\nu$ on the sets of probability…

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…

In this paper we present a convergence rate analysis of inexact variants of several randomized iterative methods. Among the methods studied are: stochastic gradient descent, stochastic Newton, stochastic proximal point and stochastic…

The Gibbs sampler, also known as the coordinate hit-and-run algorithm, is a Markov chain that is widely used to draw samples from probability distributions in arbitrary dimensions. At each iteration of the algorithm, a randomly selected…

The random splitting Langevin Monte Carlo could mitigate the first order bias in Langevin Monte Carlo with little extra work compared other high order schemes. We develop in this work an analysis framework for the sampling error under…

We provide new convergence guarantees in Wasserstein distance for diffusion-based generative models, covering both stochastic (DDPM-like) and deterministic (DDIM-like) sampling methods. We introduce a simple framework to analyze…

This article establishes cutoff convergence or abrupt convergence of three statistical quantities for multivariate (Hurwitz) stable geometric Brownian motion: the autocorrelation function, the Wasserstein distance between the current state…

We obtain several quantitative bounds on the mixing properties of the Hamiltonian Monte Carlo (HMC) algorithm for a strongly log-concave target distribution $\pi$ on $\mathbb{R}^{d}$, showing that HMC mixes quickly in this setting. One of…

We demonstrate the use of a variational method to determine a quantitative lower bound on the rate of convergence of Markov Chain Monte Carlo (MCMC) algorithms as a function of the target density and proposal density. The bound relies on…

Despite the remarkable empirical success of score-based diffusion models, their statistical guarantees remain underdeveloped. Existing analyses often provide pessimistic convergence rates that do not reflect the intrinsic low-dimensional…

We introduce a suite of new particle-based algorithms for sampling in constrained domains which are entirely learning rate free. Our approach leverages coin betting ideas from convex optimisation, and the viewpoint of constrained sampling…

Gibbs measures, such as Coulomb gases, are popular in modelling systems of interacting particles. Recently, we proposed to use Gibbs measures as randomized numerical integration algorithms with respect to a target measure $\pi$ on $\mathbb…

In Bayesian statistics, posterior contraction rates (PCRs) quantify the speed at which the posterior distribution concentrates on arbitrarily small neighborhoods of a true model, in a suitable way, as the sample size goes to infinity. In…

We propose an optimization algorithm called Frictionless Hamiltonian Descent, which is a direct counterpart of classical Hamiltonian Monte Carlo in sampling. We analyze Frictionless Hamiltonian Descent for strongly convex quadratic…

Component-wise MCMC algorithms, including Gibbs and conditional Metropolis-Hastings samplers, are commonly used for sampling from multivariate probability distributions. A long-standing question regarding Gibbs algorithms is whether a…

We analyze the coordinate descent method with a new coordinate selection strategy, called volume sampling. This strategy prescribes selecting subsets of variables of certain size proportionally to the determinants of principal submatrices…

Suppose we are given two metric spaces and a family of continuous transformations from one to the other. Given a probability distribution on each of these two spaces - namely the source and the target measures - the Wasserstein alignment…

There is substantial empirical evidence about the success of dynamic implementations of Hamiltonian Monte Carlo (HMC), such as the No U-Turn Sampler (NUTS), in many challenging inference problems but theoretical results about their behavior…

Hamiltonian Monte Carlo and underdamped Langevin Monte Carlo are state-of-the-art methods for taking samples from high-dimensional distributions with a differentiable density function. To generate samples, they numerically integrate…