Markov Chain Monte Carlo (MCMC) methods are a powerful tool for computation with complex probability distributions. However the performance of such methods is critically dependent on properly tuned parameters, most of which are difficult if not impossible to know a priori for a given target distribution. Adaptive MCMC methods aim to address this by allowing the parameters to be updated during sampling based on previous samples from the chain at the expense of requiring a new theoretical analysis to ensure convergence. In this work we extend the convergence theory of adaptive MCMC methods to a new class of methods built on a powerful class of parametric density estimators known as normalizing flows. In particular, we consider an independent Metropolis-Hastings sampler where the proposal distribution is represented by a normalizing flow whose parameters are updated using stochastic gradient descent. We explore the practical performance of this procedure on both synthetic settings and in the analysis of a physical field system, and compare it against both adaptive and non-adaptive MCMC methods.

Riemannian manifold Hamiltonian Monte Carlo is traditionally carried out using the generalized leapfrog integrator. However, this integrator is not the only choice and other integrators yielding valid Markov chain transition operators may be considered. In this work, we examine the implicit midpoint integrator as an alternative to the generalized leapfrog integrator. We discuss advantages and disadvantages of the implicit midpoint integrator for Hamiltonian Monte Carlo, its theoretical properties, and an empirical assessment of the critical attributes of such an integrator for Hamiltonian Monte Carlo: energy conservation, volume preservation, and reversibility. Empirically, we find that while leapfrog iterations are faster, the implicit midpoint integrator has better energy conservation, leading to higher acceptance rates, as well as better conservation of volume and better reversibility, arguably yielding a more accurate sampling procedure.

In this paper, we address the problem of multimodal signal processing and present a manifold learning method to extract the common source of variability from multiple measurements. This method is based on alternating-diffusion and is particularly adapted to time series. We show that the common source of variability is extracted from multiple sensors as if it were the only source of variability, extracted by a standard manifold learning method from a single sensor, without the influence of the sensor-specific variables. In addition, we present application to sleep stage assessment. We demonstrate that, indeed, through alternating-diffusion, the sleep information hidden inside multimodal respiratory signals can be better captured compared to single-modal methods.

BACKGROUND: Read alignment is a computational bottleneck in some sequencing projects. Most of the existing software packages for read alignment are based on two algorithmic approaches: prefix-trees and hash-tables. We propose a new approach to read alignment using random permutations of strings. RESULTS: We present a prototype implementation and experiments performed with simulated and real reads of human DNA. Our experiments indicate that this permutations-based prototype is several times faster than comparable programs for fast read alignment and that it aligns more reads correctly. CONCLUSIONS: This approach may lead to improved speed, sensitivity, and accuracy in read alignment. The algorithm can also be used for specialized alignment applications and it can be extended to other related problems, such as assembly.More information: http://alignment.commons.yale.edu.