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1. On Approximate Thompson Sampling with Langevin Algorithms

   Mazumdar, Eric ; Pacchiano, Aldo ; Ma, Yian ; Jordan, Michael ; Bartlett, Peter ( January 2020 , Proceedings of the 37th International Conference on Machine Learning)

   Daumé III, Hal ; Singh, Aarti (Ed.)

   Thompson sampling for multi-armed bandit problems is known to enjoy favorable performance in both theory and practice. However, its wider deployment is restricted due to a significant computational limitation: the need for samples from posterior distributions at every iteration. In practice, this limitation is alleviated by making use of approximate sampling methods, yet provably incorporating approximate samples into Thompson Sampling algorithms remains an open problem. In this work we address this by proposing two efficient Langevin MCMC algorithms tailored to Thompson sampling. The resulting approximate Thompson Sampling algorithms are efficiently implementable and provably achieve optimal instance-dependent regret for the Multi-Armed Bandit (MAB) problem. To prove these results we derive novel posterior concentration bounds and MCMC convergence rates for log-concave distributions which may be of independent interest. 

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2. Projected Stochastic Gradient Langevin Algorithms for Constrained Sampling and Non-Convex Learning

   Lamperski, A. ( August 2021 , Proceedings of Thirty Fourth Conference on Learning Theory)

   Belkin, M. ; Kpotufe, S. (Ed.)

   Langevin algorithms are gradient descent methods with additive noise. They have been used for decades in Markov Chain Monte Carlo (MCMC) sampling, optimization, and learning. Their convergence properties for unconstrained non-convex optimization and learning problems have been studied widely in the last few years. Other work has examined projected Langevin algorithms for sampling from log-concave distributions restricted to convex compact sets. For learning and optimization, log-concave distributions correspond to convex losses. In this paper, we analyze the case of non-convex losses with compact convex constraint sets and IID external data variables. We term the resulting method the projected stochastic gradient Langevin algorithm (PSGLA). We show the algorithm achieves a deviation of 𝑂(𝑇−1/4(𝑙𝑜𝑔𝑇)1/2) from its target distribution in 1-Wasserstein distance. For optimization and learning, we show that the algorithm achieves 𝜖-suboptimal solutions, on average, provided that it is run for a time that is polynomial in 𝜖 and slightly super-exponential in the problem dimension. 

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3. Learning cycle-consistent cooperative networks via alternating MCMC teaching for unsupervised cross-domain translation

   Xie, J ; Zheng, Z ; Fang, X ; Zhu, S C ; Wu, Y N ( January 2021 , Proceedings of the AAAI Conference on Artificial Intelligence)

   This paper studies the unsupervised cross-domain translation problem by proposing a generative framework, in which the probability distribution of each domain is represented by a generative cooperative network that consists of an energy based model and a latent variable model. The use of generative cooperative network enables maximum likelihood learning of the domain model by MCMC teaching, where the energy-based model seeks to fit the data distribution of domain and distills its knowledge to the latent variable model via MCMC. Specifically, in the MCMC teaching process, the latent variable model parameterized by an encoder-decoder maps examples from the source domain to the target domain, while the energy-based model further refines the mapped results by Langevin revision such that the revised results match to the examples in the target domain in terms of the statistical properties, which are defined by the learned energy function. For the purpose of building up a correspondence between two unpaired domains, the proposed framework simultaneously learns a pair of cooperative networks with cycle consistency, accounting for a two-way translation between two domains, by alternating MCMC teaching. Experiments show that the proposed framework is useful for unsupervised image-to-image translation and unpaired image sequence translation. 

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4. On cyclical MCMC

   Liu, Xinru ; Wang, Liwei ; Smith, Aaron ; Atchade, Yves ( May 2024 , AISTATS 2024)

   Dasgupta, Sanjoy ; Mandt, Stephan ; Li, Yingzhen (Ed.)

   Cyclical MCMC is a novel MCMC framework recently proposed by Zhang et al. (2019) to address the challenge posed by high-dimensional multimodal posterior distributions like those arising in deep learning. The algorithm works by generating a nonhomogeneous Markov chain that tracks -- cyclically in time -- tempered versions of the target distribution. We show in this work that cyclical MCMC converges to the desired limit in settings where the Markov kernels used are fast mixing, and sufficiently long cycles are employed. However in the far more common settings of slow mixing kernels, the algorithm may fail to converge to the correct limit. In particular, in a simple mixture example with unequal variance where powering is known to produce slow mixing kernels, we show by simulation that cyclical MCMC fails to converge to the desired limit. Finally, we show that cyclical MCMC typically estimates well the local shape of the target distribution around each mode, even when we do not have convergence to the target. 

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5. hIPPYlib-MUQ: A Bayesian Inference Software Framework for Integration of Data with Complex Predictive Models under Uncertainty

   https://doi.org/10.1145/3580278  

   Kim, Ki-Tae ; Villa, Umberto ; Parno, Matthew ; Marzouk, Youssef ; Ghattas, Omar ; Petra, Noemi ( June 2023 , ACM Transactions on Mathematical Software)

   Bayesian inference provides a systematic framework for integration of data with mathematical models to quantify the uncertainty in the solution of the inverse problem. However, the solution of Bayesian inverse problems governed by complex forward models described by partial differential equations (PDEs) remains prohibitive with black-box Markov chain Monte Carlo (MCMC) methods. We present hIPPYlib-MUQ, an extensible and scalable software framework that contains implementations of state-of-the art algorithms aimed to overcome the challenges of high-dimensional, PDE-constrained Bayesian inverse problems. These algorithms accelerate MCMC sampling by exploiting the geometry and intrinsic low-dimensionality of parameter space via derivative information and low rank approximation. The software integrates two complementary open-source software packages, hIPPYlib and MUQ. hIPPYlib solves PDE-constrained inverse problems using automatically-generated adjoint-based derivatives, but it lacks full Bayesian capabilities. MUQ provides a spectrum of powerful Bayesian inversion models and algorithms, but expects forward models to come equipped with gradients and Hessians to permit large-scale solution. By combining these two complementary libraries, we created a robust, scalable, and efficient software framework that realizes the benefits of each and allows us to tackle complex large-scale Bayesian inverse problems across a broad spectrum of scientific and engineering disciplines. To illustrate the capabilities of hIPPYlib-MUQ, we present a comparison of a number of MCMC methods available in the integrated software on several high-dimensional Bayesian inverse problems. These include problems characterized by both linear and nonlinear PDEs, various noise models, and different parameter dimensions. The results demonstrate that large (∼ 50×) speedups over conventional black box and gradient-based MCMC algorithms can be obtained by exploiting Hessian information (from the log-posterior), underscoring the power of the integrated hIPPYlib-MUQ framework. 

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