12 citations · 59 across the 18 of their papers we have counts for
18 papers
Systematic approaches to generate reversiblizations of Markov chains
Michael C. H. Choi, Geoffrey Wolfer
Given a target distribution and an arbitrary Markov infinitesimal generator on a finite state space , we develop three structured and inter-related approaches…
Improved Langevin Monte Carlo for stochastic optimization via landscape modification
Michael C. H. Choi, Youjia Wang
Given a target function to minimize or a target Gibbs distribution to sample from in the low temperature, in this paper we propose and analyze Langevin…
Landscape modification meets spin systems: from torpid to rapid mixing, tunneling and annealing in the low-temperature regime
Michael C. H. Choi
Given a target Gibbs distribution to sample from in the low-temperature regime on , in this paper we propose and analyze Metro…
Improved annealing for sampling from multimodal distributions via landscape modification
Michael C. H. Choi, Jing Zhang
Given a target distribution to sample from with Hamiltonian , in this paper we propose and analyze new Metropolis-Hastings sampling algorit…
Improved Metropolis-Hastings algorithms via landscape modifcation with applications to simulated annealing and the Curie-Weiss model
Michael C. H. Choi
In this paper, we propose new Metropolis-Hastings and simulated annealing algorithms on finite state space via modifying the energy landscape. The core idea of landscape modificati…
On the convergence of an improved and adaptive kinetic simulated annealing
Michael C. H. Choi
Inspired by the work of [Fang et al.. An improved annealing method and its large-time behaviour. Stochastic Process. Appl. (1997), Volume 71 Issue 1 Page 55-74.], who propose an im…
Analysis of non-reversible Markov chains via similarity orbit
Michael C. H. Choi, Pierre Patie
In this paper, we develop an in-depth analysis of non-reversible Markov chains on denumerable state space from a similarity orbit perspective. In particular, we study the class of…
Universality of the Langevin diffusion as scaling limit of a family of Metropolis-Hastings processes I: fixed dimension
Michael C. H. Choi
Given a target distribution on a general state space and a proposal Markov jump process with generator , the purpose of this paper is to investigate two univer…
A Hoeffding's inequality for uniformly ergodic diffusion process
Michael C. H. Choi, Evelyn Li
In this note, we present a version of Hoeffding's inequality in a continuous-time setting, where the data stream comes from a uniformly ergodic diffusion process. Similar to the we…
Entropy flow and De Bruijn's identity for a class of stochastic differential equations driven by fractional Brownian motion
Michael C. H. Choi, Chihoon Lee, Jian Song
Motivated by the classical De Bruijn's identity for the additive Gaussian noise channel, in this paper we consider a generalized setting where the channel is modelled via stochasti…
Skip-free Markov chains
Michael C. H. Choi, Pierre Patie
The aim of this paper is to develop a general theory for the class of skip-free Markov chains on denumerable state space. This encompasses their potential theory via an explicit ch…
On resistance distance of Markov chain and its sum rules
Michael C. H. Choi
Motivated by the notion of resistance distance on graph, we define a new resistance distance between two states on a given finite ergodic Markov chain based on its fundamental matr…
An improved variant of simulated annealing that converges under fast cooling
Michael C. H. Choi
Given a target function to minimize on a finite state space , a proposal chain with generator and a cooling schedule that depends on time , in this p…
On hitting time, mixing time and geometric interpretations of Metropolis-Hastings reversiblizations
Michael C. H. Choi, Lu-Jing Huang
Given a target distribution and a proposal chain with generator on a finite state space, in this paper we study two types of Metropolis-Hastings (MH) generator a…
Hitting time, access time and optimal transport on graphs
Michael C. H. Choi
Given a discrete source distribution and discrete target distribution on a common finite state space , we are tasked with transporting to using a given…
Velocity formulae between entropy and hitting time for Markov chains
Michael C. H. Choi
In the absence of acceleration, the velocity formula gives "distance travelled equals speed multiplied by time". For a broad class of Markov chains such as circulant Markov chains…
Hitting time and mixing time bounds of Stein's factors
Michael C. H. Choi
For any discrete target distribution, we exploit the connection between Markov chains and Stein's method via the generator approach and express the solution of Stein's equation in…
Metropolis-Hastings reversiblizations of non-reversible Markov chains
Michael C. H. Choi
We study two types of Metropolis-Hastings (MH) reversiblizations for non-reversible Markov chains with Markov kernel . While the first type is the classical Metropolised version…