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Mental map of Markov Chain Monte Carlo (MCMC) algorithms, and analogous machine learning (ML) algorithms [dashed = especially loose analogy]. Grey boxes are basic tools, and each arrow is annotated with the "delta" between algorithms.
100,691 просмотров • 1 год назад •via X (Twitter)
Комментарии: 10

I'm developing this "map" as part of a new course on Monte Carlo Methods and Applications, taught at @CarnegieMellon this fall: (See also last year's offering:

Very glad to hear from seasoned travelers about errors in my cartography! Likewise glad to know about papers that make some of the MCMC <=> ML connections precise/rigorous. I know a bunch that touch on these connections, like Welling & Teh 2011:

(For related posts, see the tag #MCMA2023.)

Recently, there are MCMC (and importance sampling) algorithms that use neural density estimation to act as a good proposal distribution.

Is there a good derivation of Langevin Monte-Carlo from first principles which is independent from Hamiltonian Dynamics? The only one I know is “We just do one-step HMC and by making step sizes smaller over time we make sure that acceptance probability approaches 1”

Yeah, definitely. You don't need the symplectic picture do develop LMC: just "gradient descent plus noise" (more or less). If you don't want it to totally fall out of the sky, you can use motivation from physics. The tough part is proving it *works*, which takes 1/2 a semester!

I'd love a non-animated version of this so I can read it before the animation resets ;)

I think if you fullscreen it you may get a pause button. (But I totally hear you!)

I can see how the cooling schedule captures the essence of simulated annealing, but it's supposed to be a gradientless metaheuristic, is there some more general definition of simulated annealing that can be considered the global optimizer in conjunction with some local optimizer?

Yeah, that’s actually a good point. That box should probably be something like Simulated Annealing with Langevin Sampling. It’s indeed important that simulated annealing (e.g., with Metropolis/normal proposals) can be applied without derivatives.
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