Non-Reversible Parallel Tempering: a Scalable Highly Parallel MCMC Scheme

Parallel tempering (PT) methods are a popular class of Markov chain Monte Carlo schemes used to sample complex high-dimensional probability distributions. They rely on a collection of $N$ interacting auxiliary chains targeting tempered versions of the target distribution to improve the exploration of the state-space. We provide here a new perspective on these highly parallel algorithms and their tuning by identifying and formalizing a sharp divide in the behaviour and performance of reversible versus non-reversible PT schemes. We show theoretically and empirically that a class of non-reversible PT methods dominates its reversible counterparts and identify distinct scaling limits for the non-reversible and reversible schemes, the former being a piecewise-deterministic Markov process and the latter a diffusion. These results are exploited to identify the optimal annealing schedule for non-reversible PT and to develop an iterative scheme approximating this schedule. We provide a wide range of numerical examples supporting our theoretical and methodological contributions. The proposed methodology is applicable to sample from a distribution $\pi$ with a density $L$ with respect to a reference distribution $\pi_0$ and compute the normalizing constant. A typical use case is when $\pi_0$ is a prior distribution, $L$ a likelihood function and $\pi$ the corresponding posterior.Comment: 74 pages, 30 figures. The method is implemented in an open source probabilistic programming available at https://github.com/UBC-Stat-ML/blangSD

Controlled Sequential Monte Carlo

Sequential Monte Carlo methods, also known as particle methods, are a popular set of techniques for approximating high-dimensional probability distributions and their normalizing constants. These methods have found numerous applications in statistics and related fields; e.g. for inference in non-linear non-Gaussian state space models, and in complex static models. Like many Monte Carlo sampling schemes, they rely on proposal distributions which crucially impact their performance. We introduce here a class of controlled sequential Monte Carlo algorithms, where the proposal distributions are determined by approximating the solution to an associated optimal control problem using an iterative scheme. This method builds upon a number of existing algorithms in econometrics, physics, and statistics for inference in state space models, and generalizes these methods so as to accommodate complex static models. We provide a theoretical analysis concerning the fluctuation and stability of this methodology that also provides insight into the properties of related algorithms. We demonstrate significant gains over state-of-the-art methods at a fixed computational complexity on a variety of applications

A Survey on Compiler Autotuning using Machine Learning

Since the mid-1990s, researchers have been trying to use machine-learning based approaches to solve a number of different compiler optimization problems. These techniques primarily enhance the quality of the obtained results and, more importantly, make it feasible to tackle two main compiler optimization problems: optimization selection (choosing which optimizations to apply) and phase-ordering (choosing the order of applying optimizations). The compiler optimization space continues to grow due to the advancement of applications, increasing number of compiler optimizations, and new target architectures. Generic optimization passes in compilers cannot fully leverage newly introduced optimizations and, therefore, cannot keep up with the pace of increasing options. This survey summarizes and classifies the recent advances in using machine learning for the compiler optimization field, particularly on the two major problems of (1) selecting the best optimizations and (2) the phase-ordering of optimizations. The survey highlights the approaches taken so far, the obtained results, the fine-grain classification among different approaches and finally, the influential papers of the field.Comment: version 5.0 (updated on September 2018)- Preprint Version For our Accepted Journal @ ACM CSUR 2018 (42 pages) - This survey will be updated quarterly here (Send me your new published papers to be added in the subsequent version) History: Received November 2016; Revised August 2017; Revised February 2018; Accepted March 2018

Optimization of Discrete-parameter Multiprocessor Systems using a Novel Ergodic Interpolation Technique

Modern multi-core systems have a large number of design parameters, most of which are discrete-valued, and this number is likely to keep increasing as chip complexity rises. Further, the accurate evaluation of a potential design choice is computationally expensive because it requires detailed cycle-accurate system simulation. If the discrete parameter space can be embedded into a larger continuous parameter space, then continuous space techniques can, in principle, be applied to the system optimization problem. Such continuous space techniques often scale well with the number of parameters. We propose a novel technique for embedding the discrete parameter space into an extended continuous space so that continuous space techniques can be applied to the embedded problem using cycle accurate simulation for evaluating the objective function. This embedding is implemented using simulation-based ergodic interpolation, which, unlike spatial interpolation, produces the interpolated value within a single simulation run irrespective of the number of parameters. We have implemented this interpolation scheme in a cycle-based system simulator. In a characterization study, we observe that the interpolated performance curves are continuous, piece-wise smooth, and have low statistical error. We use the ergodic interpolation-based approach to solve a large multi-core design optimization problem with 31 design parameters. Our results indicate that continuous space optimization using ergodic interpolation-based embedding can be a viable approach for large multi-core design optimization problems.Comment: A short version of this paper will be published in the proceedings of IEEE MASCOTS 2015 conferenc

A statistical model for in vivo neuronal dynamics

Single neuron models have a long tradition in computational neuroscience. Detailed biophysical models such as the Hodgkin-Huxley model as well as simplified neuron models such as the class of integrate-and-fire models relate the input current to the membrane potential of the neuron. Those types of models have been extensively fitted to in vitro data where the input current is controlled. Those models are however of little use when it comes to characterize intracellular in vivo recordings since the input to the neuron is not known. Here we propose a novel single neuron model that characterizes the statistical properties of in vivo recordings. More specifically, we propose a stochastic process where the subthreshold membrane potential follows a Gaussian process and the spike emission intensity depends nonlinearly on the membrane potential as well as the spiking history. We first show that the model has a rich dynamical repertoire since it can capture arbitrary subthreshold autocovariance functions, firing-rate adaptations as well as arbitrary shapes of the action potential. We then show that this model can be efficiently fitted to data without overfitting. Finally, we show that this model can be used to characterize and therefore precisely compare various intracellular in vivo recordings from different animals and experimental conditions.Comment: 31 pages, 10 figure

High-ISO long-exposure image denoising based on quantitative blob characterization

Blob detection and image denoising are fundamental, sometimes related tasks in computer vision. In this paper, we present a computational method to quantitatively measure blob characteristics using normalized unilateral second-order Gaussian kernels. This method suppresses non-blob structures while yielding a quantitative measurement of the position, prominence and scale of blobs, which can facilitate the tasks of blob reconstruction and blob reduction. Subsequently, we propose a denoising scheme to address high-ISO long-exposure noise, which sometimes spatially shows a blob appearance, employing a blob reduction procedure as a cheap preprocessing for conventional denoising methods. We apply the proposed denoising methods to real-world noisy images as well as standard images that are corrupted by real noise. The experimental results demonstrate the superiority of the proposed methods over state-of-the-art denoising methods