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

Practical Volume Estimation by a New Annealing Schedule for Cooling Convex Bodies

We study the problem of estimating the volume of convex polytopes, focusing on H- and V-polytopes, as well as zonotopes. Although a lot of effort is devoted to practical algorithms for H-polytopes there is no such method for the latter two representations. We propose a new, practical algorithm for all representations, which is faster than existing methods. It relies on Hit-and-Run sampling, and combines a new simulated annealing method with the Multiphase Monte Carlo (MMC) approach. Our method introduces the following key features to make it adaptive: (a) It defines a sequence of convex bodies in MMC by introducing a new annealing schedule, whose length is shorter than in previous methods with high probability, and the need of computing an enclosing and an inscribed ball is removed; (b) It exploits statistical properties in rejection-sampling and proposes a better empirical convergence criterion for specifying each step; (c) For zonotopes, it may use a sequence of convex bodies for MMC different than balls, where the chosen body adapts to the input. We offer an open-source, optimized C++ implementation, and analyze its performance to show that it outperforms state-of-the-art software for H-polytopes by Cousins-Vempala (2016) and Emiris-Fisikopoulos (2018), while it undertakes volume computations that were intractable until now, as it is the first polynomial-time, practical method for V-polytopes and zonotopes that scales to high dimensions (currently 100). We further focus on zonotopes, and characterize them by their order (number of generators over dimension), because this largely determines sampling complexity. We analyze a related application, where we evaluate methods of zonotope approximation in engineering.Comment: 20 pages, 12 figures, 3 table

Variable Annealing Length and Parallelism in Simulated Annealing

In this paper, we propose: (a) a restart schedule for an adaptive simulated annealer, and (b) parallel simulated annealing, with an adaptive and parameter-free annealing schedule. The foundation of our approach is the Modified Lam annealing schedule, which adaptively controls the temperature parameter to track a theoretically ideal rate of acceptance of neighboring states. A sequential implementation of Modified Lam simulated annealing is almost parameter-free. However, it requires prior knowledge of the annealing length. We eliminate this parameter using restarts, with an exponentially increasing schedule of annealing lengths. We then extend this restart schedule to parallel implementation, executing several Modified Lam simulated annealers in parallel, with varying initial annealing lengths, and our proposed parallel annealing length schedule. To validate our approach, we conduct experiments on an NP-Hard scheduling problem with sequence-dependent setup constraints. We compare our approach to fixed length restarts, both sequentially and in parallel. Our results show that our approach can achieve substantial performance gains, throughout the course of the run, demonstrating our approach to be an effective anytime algorithm.Comment: Tenth International Symposium on Combinatorial Search, pages 2-10. June 201

Simulated Annealing with Tsallis Weights - A Numerical Comparison

We discuss the use of Tsallis generalized mechanics in simulated annealing algorithms. For a small peptide it is shown that older implementations are not more effective than regular simulated annealing in finding ground state configurations. We propose a new implementation which leads to an improvement over regular simulated annealing.Comment: Late

Optimization by Quantum Annealing: Lessons from hard 3-SAT cases

The Path Integral Monte Carlo simulated Quantum Annealing algorithm is applied to the optimization of a large hard instance of the Random 3-SAT Problem (N=10000). The dynamical behavior of the quantum and the classical annealing are compared, showing important qualitative differences in the way of exploring the complex energy landscape of the combinatorial optimization problem. At variance with the results obtained for the Ising spin glass and for the Traveling Salesman Problem, in the present case the linear-schedule Quantum Annealing performance is definitely worse than Classical Annealing. Nevertheless, a quantum cooling protocol based on field-cycling and able to outperform standard classical simulated annealing over short time scales is introduced.Comment: 10 pages, 6 figures, submitted to PR

Readiness of Quantum Optimization Machines for Industrial Applications

There have been multiple attempts to demonstrate that quantum annealing and, in particular, quantum annealing on quantum annealing machines, has the potential to outperform current classical optimization algorithms implemented on CMOS technologies. The benchmarking of these devices has been controversial. Initially, random spin-glass problems were used, however, these were quickly shown to be not well suited to detect any quantum speedup. Subsequently, benchmarking shifted to carefully crafted synthetic problems designed to highlight the quantum nature of the hardware while (often) ensuring that classical optimization techniques do not perform well on them. Even worse, to date a true sign of improved scaling with the number of problem variables remains elusive when compared to classical optimization techniques. Here, we analyze the readiness of quantum annealing machines for real-world application problems. These are typically not random and have an underlying structure that is hard to capture in synthetic benchmarks, thus posing unexpected challenges for optimization techniques, both classical and quantum alike. We present a comprehensive computational scaling analysis of fault diagnosis in digital circuits, considering architectures beyond D-wave quantum annealers. We find that the instances generated from real data in multiplier circuits are harder than other representative random spin-glass benchmarks with a comparable number of variables. Although our results show that transverse-field quantum annealing is outperformed by state-of-the-art classical optimization algorithms, these benchmark instances are hard and small in the size of the input, therefore representing the first industrial application ideally suited for testing near-term quantum annealers and other quantum algorithmic strategies for optimization problems.Comment: 22 pages, 12 figures. Content updated according to Phys. Rev. Applied versio

Application of Quantum Annealing to Nurse Scheduling Problem

Quantum annealing is a promising heuristic method to solve combinatorial optimization problems, and efforts to quantify performance on real-world problems provide insights into how this approach may be best used in practice. We investigate the empirical performance of quantum annealing to solve the Nurse Scheduling Problem (NSP) with hard constraints using the D-Wave 2000Q quantum annealing device. NSP seeks the optimal assignment for a set of nurses to shifts under an accompanying set of constraints on schedule and personnel. After reducing NSP to a novel Ising-type Hamiltonian, we evaluate the solution quality obtained from the D-Wave 2000Q against the constraint requirements as well as the diversity of solutions. For the test problems explored here, our results indicate that quantum annealing recovers satisfying solutions for NSP and suggests the heuristic method is sufficient for practical use. Moreover, we observe that solution quality can be greatly improved through the use of reverse annealing, in which it is possible to refine a returned results by using the annealing process a second time. We compare the performance NSP using both forward and reverse annealing methods and describe how these approach might be used in practice.Comment: 20 pages, 13 figure