4 citations · 10 across the 7 of their papers we have counts for
11 papers
Adaptive Tuning for Metropolis Adjusted Langevin Trajectories
Lionel Riou-Durand, Pavel Sountsov, Jure Vogrinc +2
Hamiltonian Monte Carlo (HMC) is a widely used sampler for continuous probability distributions. In many cases, the underlying Hamiltonian dynamics exhibit a phenomenon of resonanc…
Metropolis Adjusted Langevin Trajectories: a robust alternative to Hamiltonian Monte Carlo
Lionel Riou-Durand, Jure Vogrinc
We introduce MALT: a new Metropolis adjusted sampler built upon the (kinetic) Langevin diffusion. Compared to Generalized Hamiltonian Monte Carlo (GHMC), the Metropolis correction…
Optimal design of the Barker proposal and other locally-balanced Metropolis-Hastings algorithms
Jure Vogrinc, Samuel Livingstone, Giacomo Zanella
We study the class of first-order locally-balanced Metropolis--Hastings algorithms introduced in Livingstone & Zanella (2021). To choose a specific algorithm within the class the u…
Hopping between distant basins
Maldon Goodridge, John Moriarty, Jure Vogrinc +1
We present the Basin Hopping with Skipping (BH-S) algorithm for stochastic optimisation, which replaces the perturbation step of basin hopping (BH) with a so-called skipping propos…
Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities
Jure Vogrinc, Wilfrid Stephen Kendall
For sufficiently smooth targets of product form it is known that the variance of a single coordinate of the proposal in RWM (Random walk Metropolis) and MALA (Metropolis adjusted L…
A Metropolis-class sampler for targets with non-convex support
John Moriarty, Jure Vogrinc, Alessandro Zocca
We aim to improve upon the exploration of the general-purpose random walk Metropolis algorithm when the target has non-convex support , by reusing proposals…
Frequency violations from random disturbances: an MCMC approach
John Moriarty, Jure Vogrinc, Alessandro Zocca
The frequency stability of power systems is increasingly challenged by various types of disturbances. In particular, the increasing penetration of renewable energy sources is incre…
Asymptotic variance for Random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation
Aleksandar Mijatović, Jure Vogrinc
There are two ways of speeding up MCMC algorithms: (1) construct more complex samplers that use gradient and higher order information about the target and (2) design a control vari…
On the Poisson equation for Metropolis-Hastings chains
Aleksandar Mijatovic, Jure Vogrinc
This paper defines an approximation scheme for a solution of the Poisson equation of a geometrically ergodic Metropolis-Hastings chain . The approximations give rise to a natura…
Binomial Symbols and Prime Moduli
Manjil P. Saikia, Jure Vogrinc
We try to improve a problem asked in an Indian Math Olympiad. We give a brief overview of the work done in Saikia and Vogrinc (2011) and Saikia and Vogrinc where the authors have f…
A Simple Number Theoretic Result
Manjil P. Saikia, Jure Vogrinc
We derive an interesting congruence relation motivated by an Indian Olympiad problem. We give three different proofs of the theorem and mention a few interesting related results.