1,162 research outputs found
Gradient-free Hamiltonian Monte Carlo with Efficient Kernel Exponential Families
We propose Kernel Hamiltonian Monte Carlo (KMC), a gradient-free adaptive
MCMC algorithm based on Hamiltonian Monte Carlo (HMC). On target densities
where classical HMC is not an option due to intractable gradients, KMC
adaptively learns the target's gradient structure by fitting an exponential
family model in a Reproducing Kernel Hilbert Space. Computational costs are
reduced by two novel efficient approximations to this gradient. While being
asymptotically exact, KMC mimics HMC in terms of sampling efficiency, and
offers substantial mixing improvements over state-of-the-art gradient free
samplers. We support our claims with experimental studies on both toy and
real-world applications, including Approximate Bayesian Computation and
exact-approximate MCMC.Comment: 20 pages, 7 figure
Variational Hamiltonian Monte Carlo via Score Matching
Traditionally, the field of computational Bayesian statistics has been
divided into two main subfields: variational methods and Markov chain Monte
Carlo (MCMC). In recent years, however, several methods have been proposed
based on combining variational Bayesian inference and MCMC simulation in order
to improve their overall accuracy and computational efficiency. This marriage
of fast evaluation and flexible approximation provides a promising means of
designing scalable Bayesian inference methods. In this paper, we explore the
possibility of incorporating variational approximation into a state-of-the-art
MCMC method, Hamiltonian Monte Carlo (HMC), to reduce the required gradient
computation in the simulation of Hamiltonian flow, which is the bottleneck for
many applications of HMC in big data problems. To this end, we use a {\it
free-form} approximation induced by a fast and flexible surrogate function
based on single-hidden layer feedforward neural networks. The surrogate
provides sufficiently accurate approximation while allowing for fast
exploration of parameter space, resulting in an efficient approximate inference
algorithm. We demonstrate the advantages of our method on both synthetic and
real data problems
Kinetic energy choice in Hamiltonian/hybrid Monte Carlo
We consider how different choices of kinetic energy in Hamiltonian Monte
Carlo affect algorithm performance. To this end, we introduce two quantities
which can be easily evaluated, the composite gradient and the implicit noise.
Results are established on integrator stability and geometric convergence, and
we show that choices of kinetic energy that result in heavy-tailed momentum
distributions can exhibit an undesirable negligible moves property, which we
define. A general efficiency-robustness trade off is outlined, and
implementations which rely on approximate gradients are also discussed. Two
numerical studies illustrate our theoretical findings, showing that the
standard choice which results in a Gaussian momentum distribution is not always
optimal in terms of either robustness or efficiency.Comment: 15 pages (+7 page supplement, included here as an appendix), 2
figures (+1 in supplement
Hamiltonian Monte Carlo Acceleration Using Surrogate Functions with Random Bases
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 efficient and scalable computational technique for a
state-of-the-art Markov Chain Monte Carlo (MCMC) methods, namely, Hamiltonian
Monte Carlo (HMC). The key idea is to explore and exploit the structure and
regularity in parameter space for the underlying probabilistic model to
construct an effective approximation of its geometric properties. To this end,
we build a surrogate function to approximate the target distribution using
properly chosen random bases and an efficient optimization process. The
resulting method provides a flexible, scalable, and efficient sampling
algorithm, which converges to the correct target distribution. We show that by
choosing the basis functions and optimization process differently, our method
can be related to other approaches for the construction of surrogate functions
such as generalized additive models or Gaussian process models. Experiments
based on simulated and real data show that our approach leads to substantially
more efficient sampling algorithms compared to existing state-of-the art
methods
Kernel Sequential Monte Carlo
We propose kernel sequential Monte Carlo (KSMC), a framework for sampling from static target densities. KSMC is a family of sequential Monte Carlo algorithms that are based on building emulator models of the current particle system in a reproducing kernel Hilbert space. We here focus on modelling nonlinear covariance structure and gradients of the target. The emulator's geometry is adaptively updated and subsequently used to inform local proposals. Unlike in adaptive Markov chain Monte Carlo, continuous adaptation does not compromise convergence of the sampler. KSMC combines the strengths of sequental Monte Carlo and kernel methods: superior performance for multimodal targets and the ability to estimate model evidence as compared to Markov chain Monte Carlo, and the emulator's ability to represent targets that exhibit high degrees of nonlinearity. As KSMC does not require access to target gradients, it is particularly applicable on targets whose gradients are unknown or prohibitively expensive. We describe necessary tuning details and demonstrate the benefits of the the proposed methodology on a series of challenging synthetic and real-world examples
Kernel Sequential Monte Carlo
We propose kernel sequential Monte Carlo (KSMC), a framework for sampling from static target densities. KSMC is a family of
sequential Monte Carlo algorithms that are based on building emulator
models of the current particle system in a reproducing kernel Hilbert
space. We here focus on modelling nonlinear covariance structure and
gradients of the target. The emulator’s geometry is adaptively updated
and subsequently used to inform local proposals. Unlike in adaptive
Markov chain Monte Carlo, continuous adaptation does not compromise
convergence of the sampler. KSMC combines the strengths of sequental
Monte Carlo and kernel methods: superior performance for multimodal
targets and the ability to estimate model evidence as compared to Markov
chain Monte Carlo, and the emulator’s ability to represent targets that
exhibit high degrees of nonlinearity. As KSMC does not require access to
target gradients, it is particularly applicable on targets whose gradients
are unknown or prohibitively expensive. We describe necessary tuning
details and demonstrate the benefits of the the proposed methodology on
a series of challenging synthetic and real-world examples
Kernel Exponential Family Estimation via Doubly Dual Embedding
We investigate penalized maximum log-likelihood estimation for exponential
family distributions whose natural parameter resides in a reproducing kernel
Hilbert space. Key to our approach is a novel technique, doubly dual embedding,
that avoids computation of the partition function. This technique also allows
the development of a flexible sampling strategy that amortizes the cost of
Monte-Carlo sampling in the inference stage. The resulting estimator can be
easily generalized to kernel conditional exponential families. We establish a
connection between kernel exponential family estimation and MMD-GANs, revealing
a new perspective for understanding GANs. Compared to the score matching based
estimators, the proposed method improves both memory and time efficiency while
enjoying stronger statistical properties, such as fully capturing smoothness in
its statistical convergence rate while the score matching estimator appears to
saturate. Finally, we show that the proposed estimator empirically outperforms
state-of-the-artComment: 22 pages, 20 figures; AISTATS 201
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