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Improving the Asymptotic Performance of Markov Chain Monte-Carlo by Inserting Vortices
Yi Sun · Faustino Gomez · Jürgen Schmidhuber

Tue Dec 07 12:00 AM -- 12:00 AM (PST) @ None #None

We present a new way of converting a reversible finite Markov chain into a nonreversible one, with a theoretical guarantee that the asymptotic variance of the MCMC estimator based on the non-reversible chain is reduced. The method is applicable to any reversible chain whose states are not connected through a tree, and can be interpreted graphically as inserting vortices into the state transition graph. Our result confirms that non-reversible chains are fundamentally better than reversible ones in terms of asymptotic performance, and suggests interesting directions for further improving MCMC.

Author Information

Yi Sun (IDSIA)
Faustino Gomez (IDSIA)
Jürgen Schmidhuber (Swiss AI Lab, IDSIA (USI & SUPSI) - NNAISENSE)

Since age 15, his main goal has been to build an Artificial Intelligence smarter than himself, then retire. The Deep Learning Artificial Neural Networks developed since 1991 by his research groups have revolutionised handwriting recognition, speech recognition, machine translation, image captioning, and are now available to billions of users through Google, Microsoft, IBM, Baidu, and many other companies (DeepMind also was heavily influenced by his lab). His team's Deep Learners were the first to win object detection and image segmentation contests, and achieved the world's first superhuman visual classification results, winning nine international competitions in machine learning & pattern recognition. His formal theory of fun & creativity & curiosity explains art, science, music, and humor. He has published 333 papers, earned 7 best paper/best video awards, the 2013 Helmholtz Award of the International Neural Networks Society, and the 2016 IEEE Neural Networks Pioneer Award. He is also president of NNAISENSE, which aims at building the first practical general purpose AI.

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