12,306 research outputs found
Kernel quadrature with randomly pivoted Cholesky
This paper presents new quadrature rules for functions in a reproducing
kernel Hilbert space using nodes drawn by a sampling algorithm known as
randomly pivoted Cholesky. The resulting computational procedure compares
favorably to previous kernel quadrature methods, which either achieve low
accuracy or require solving a computationally challenging sampling problem.
Theoretical and numerical results show that randomly pivoted Cholesky is fast
and achieves comparable quadrature error rates to more computationally
expensive quadrature schemes based on continuous volume sampling, thinning, and
recombination. Randomly pivoted Cholesky is easily adapted to complicated
geometries with arbitrary kernels, unlocking new potential for kernel
quadrature.Comment: 19 pages, 3 figures; NeurIPS 2023 (spotlight), camera-ready versio
Unbiased and Consistent Nested Sampling via Sequential Monte Carlo
We introduce a new class of sequential Monte Carlo methods called Nested
Sampling via Sequential Monte Carlo (NS-SMC), which reframes the Nested
Sampling method of Skilling (2006) in terms of sequential Monte Carlo
techniques. This new framework allows convergence results to be obtained in the
setting when Markov chain Monte Carlo (MCMC) is used to produce new samples. An
additional benefit is that marginal likelihood estimates are unbiased. In
contrast to NS, the analysis of NS-SMC does not require the (unrealistic)
assumption that the simulated samples be independent. As the original NS
algorithm is a special case of NS-SMC, this provides insights as to why NS
seems to produce accurate estimates despite a typical violation of its
assumptions. For applications of NS-SMC, we give advice on tuning MCMC kernels
in an automated manner via a preliminary pilot run, and present a new method
for appropriately choosing the number of MCMC repeats at each iteration.
Finally, a numerical study is conducted where the performance of NS-SMC and
temperature-annealed SMC is compared on several challenging and realistic
problems. MATLAB code for our experiments is made available at
https://github.com/LeahPrice/SMC-NS .Comment: 45 pages, some minor typographical errors fixed since last versio
Bayesian Quadrature for Multiple Related Integrals
Bayesian probabilistic numerical methods are a set of tools providing
posterior distributions on the output of numerical methods. The use of these
methods is usually motivated by the fact that they can represent our
uncertainty due to incomplete/finite information about the continuous
mathematical problem being approximated. In this paper, we demonstrate that
this paradigm can provide additional advantages, such as the possibility of
transferring information between several numerical methods. This allows users
to represent uncertainty in a more faithful manner and, as a by-product,
provide increased numerical efficiency. We propose the first such numerical
method by extending the well-known Bayesian quadrature algorithm to the case
where we are interested in computing the integral of several related functions.
We then prove convergence rates for the method in the well-specified and
misspecified cases, and demonstrate its efficiency in the context of
multi-fidelity models for complex engineering systems and a problem of global
illumination in computer graphics.Comment: Proceedings of the 35th International Conference on Machine Learning
(ICML), PMLR 80:5369-5378, 201
Quadrature Points via Heat Kernel Repulsion
We discuss the classical problem of how to pick weighted points on a
dimensional manifold so as to obtain a reasonable quadrature rule
This problem, naturally, has a long history; the purpose of our paper is to
propose selecting points and weights so as to minimize the energy functional
\sum_{i,j =1}^{N}{ a_i a_j \exp\left(-\frac{d(x_i,x_j)^2}{4t}\right) }
\rightarrow \min, \quad \mbox{where}~t \sim N^{-2/d}, is the
geodesic distance and is the dimension of the manifold. This yields point
sets that are theoretically guaranteed, via spectral theoretic properties of
the Laplacian , to have good properties. One nice aspect is that the
energy functional is universal and independent of the underlying manifold; we
show several numerical examples
Building Proteins in a Day: Efficient 3D Molecular Reconstruction
Discovering the 3D atomic structure of molecules such as proteins and viruses
is a fundamental research problem in biology and medicine. Electron
Cryomicroscopy (Cryo-EM) is a promising vision-based technique for structure
estimation which attempts to reconstruct 3D structures from 2D images. This
paper addresses the challenging problem of 3D reconstruction from 2D Cryo-EM
images. A new framework for estimation is introduced which relies on modern
stochastic optimization techniques to scale to large datasets. We also
introduce a novel technique which reduces the cost of evaluating the objective
function during optimization by over five orders or magnitude. The net result
is an approach capable of estimating 3D molecular structure from large scale
datasets in about a day on a single workstation.Comment: To be presented at IEEE Conference on Computer Vision and Pattern
Recognition (CVPR) 201
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