Christopher Nemeth

Connie Trojan, Pavel Myshkov, Paul Fearnhead et al.

In online clustering problems, there is often a large amount of uncertainty over possible cluster assignments that cannot be resolved until more data are observed. This difficulty is compounded when clusters follow complex distributions, as is the case with text data. Sequential Monte Carlo (SMC) methods give a natural way of representing and updating this uncertainty over time, but have prohibitive memory requirements for large-scale problems. We propose a novel SMC algorithm that decomposes clustering problems into approximately independent subproblems, allowing a more compact representation of the algorithm state. Our approach is motivated by the knowledge base construction problem, and we show that our method is able to accurately and efficiently solve clustering problems in this setting and others where traditional SMC struggles.

Paul Fearnhead, Christopher Nemeth, Chris J. Oates et al.

This book aims to provide a graduate-level introduction to advanced topics in Markov chain Monte Carlo (MCMC) algorithms, as applied broadly in the Bayesian computational context. Most, if not all of these topics (stochastic gradient MCMC, non-reversible MCMC, continuous time MCMC, and new techniques for convergence assessment) have emerged as recently as the last decade, and have driven substantial recent practical and theoretical advances in the field. A particular focus is on methods that are scalable with respect to either the amount of data, or the data dimension, motivated by the emerging high-priority application areas in machine learning and AI.

Srshti Putcha, Christopher Nemeth, Paul Fearnhead

Stochastic gradient MCMC (SGMCMC) offers a scalable alternative to traditional MCMC, by constructing an unbiased estimate of the gradient of the log-posterior with a small, uniformly-weighted subsample of the data. While efficient to compute, the resulting gradient estimator may exhibit a high variance and impact sampler performance. The problem of variance control has been traditionally addressed by constructing a better stochastic gradient estimator, often using control variates. We propose to use a discrete, non-uniform probability distribution to preferentially subsample data points that have a greater impact on the stochastic gradient. In addition, we present a method of adaptively adjusting the subsample size at each iteration of the algorithm, so that we increase the subsample size in areas of the sample space where the gradient is harder to estimate. We demonstrate that such an approach can maintain the same level of accuracy while substantially reducing the average subsample size that is used.

Louis Sharrock, Christopher Nemeth

In recent years, particle-based variational inference (ParVI) methods such as Stein variational gradient descent (SVGD) have grown in popularity as scalable methods for Bayesian inference. Unfortunately, the properties of such methods invariably depend on hyperparameters such as the learning rate, which must be carefully tuned by the practitioner in order to ensure convergence to the target measure at a suitable rate. In this paper, we introduce a suite of new particle-based methods for scalable Bayesian inference based on coin betting, which are entirely learning-rate free. We illustrate the performance of our approach on a range of numerical examples, including several high-dimensional models and datasets, demonstrating comparable performance to other ParVI algorithms with no need to tune a learning rate.

Henry Moss, Lachlan Astfalck, Thomas Cowperthwaite et al.

Gaussian processes (GPs) offer a principled probabilistic model over functions, but exact inference is restricted to the linear-Gaussian regime. We establish an explicit equivalence between GPs and a class of linear diffusion models, recasting predictive sampling as an ODE with closed-form Gaussian dynamics and a likelihood-dependent guidance term that admits a simple Monte Carlo approximation. In the linear-Gaussian setting, we recover standard GP conditioning exactly; beyond conjugacy, the same machinery handles any conditioning statement admitting point-wise likelihood evaluation -- including non-linear physics, and, for the first time, natural language via large language models. Whitening isolates the irreducible non-Gaussian dynamics, minimising Wasserstein-2 transport cost and eliminating numerical stiffness. The result is a general-purpose GP inference scheme requiring no bespoke derivations. Together, these results provide a general mechanism for incorporating the full richness of real-world knowledge as conditioning information, opening a new frontier for the probabilistic modelling of real-world problems.

Christopher Nemeth, Paul Fearnhead

Markov chain Monte Carlo (MCMC) algorithms are generally regarded as the gold standard technique for Bayesian inference. They are theoretically well-understood and conceptually simple to apply in practice. The drawback of MCMC is that in general performing exact inference requires all of the data to be processed at each iteration of the algorithm. For large data sets, the computational cost of MCMC can be prohibitive, which has led to recent developments in scalable Monte Carlo algorithms that have a significantly lower computational cost than standard MCMC. In this paper, we focus on a particular class of scalable Monte Carlo algorithms, stochastic gradient Markov chain Monte Carlo (SGMCMC) which utilises data subsampling techniques to reduce the per-iteration cost of MCMC. We provide an introduction to some popular SGMCMC algorithms and review the supporting theoretical results, as well as comparing the efficiency of SGMCMC algorithms against MCMC on benchmark examples. The supporting R code is available online.

Jamie Fairbrother, Christopher Nemeth, Maxime Rischard et al.

Gaussian processes are a class of flexible nonparametric Bayesian tools that are widely used across the sciences, and in industry, to model complex data sources. Key to applying Gaussian process models is the availability of well-developed open source software, which is available in many programming languages. In this paper, we present a tutorial of the GaussianProcesses.jl package that has been developed for the Julia programming language. GaussianProcesses.jl utilises the inherent computational benefits of the Julia language, including multiple dispatch and just-in-time compilation, to produce a fast, flexible and user-friendly Gaussian processes package. The package provides many mean and kernel functions with supporting inference tools to fit exact Gaussian process models, as well as a range of alternative likelihood functions to handle non-Gaussian data (e.g. binary classification models) and sparse approximations for scalable Gaussian processes. The package makes efficient use of existing Julia packages to provide users with a range of optimization and plotting tools.

Theodore Papamarkou, Maria Skoularidou, Konstantina Palla et al.

In the current landscape of deep learning research, there is a predominant emphasis on achieving high predictive accuracy in supervised tasks involving large image and language datasets. However, a broader perspective reveals a multitude of overlooked metrics, tasks, and data types, such as uncertainty, active and continual learning, and scientific data, that demand attention. Bayesian deep learning (BDL) constitutes a promising avenue, offering advantages across these diverse settings. This paper posits that BDL can elevate the capabilities of deep learning. It revisits the strengths of BDL, acknowledges existing challenges, and highlights some exciting research avenues aimed at addressing these obstacles. Looking ahead, the discussion focuses on possible ways to combine large-scale foundation models with BDL to unlock their full potential.

Christopher Nemeth

Hypergraphs model higher-order interactions, but realistic hypergraph generation remains difficult because incidence, hyperedge-size heterogeneity, and overlap structure are not faithfully captured by pairwise reductions. We propose \HEDGE, a generative model defined directly on relaxed incidence matrices via a structured stochastic diffusion. The forward process combines a hypergraph-specific two-sided heat operator with an Ornstein--Uhlenbeck component, preserving structure-aware noising near the data while yielding an explicit Gaussian terminal law. Conditional on an observed hypergraph, this forward process is linear-Gaussian, so conditional means, covariances, scores, and reverse-drift targets are available in closed form. We therefore learn a permutation-equivariant state-only reverse-drift field in incidence space by regressing onto exact conditional targets, and generate samples by simulating a learned reverse-time SDE from the Gaussian base law. We establish exactness in the ideal state-only setting together with finite-horizon stability guarantees, and empirically show improved hypergraph generation quality relative to strong baselines.

Alberto Cabezas, Louis Sharrock, Christopher Nemeth

Continuous normalizing flows (CNFs) learn the probability path between a reference distribution and a target distribution by modeling the vector field generating said path using neural networks. Recently, Lipman et al. (2022) introduced a simple and inexpensive method for training CNFs in generative modeling, termed flow matching (FM). In this paper, we repurpose this method for probabilistic inference by incorporating Markovian sampling methods in evaluating the FM objective, and using the learned CNF to improve Monte Carlo sampling. Specifically, we propose an adaptive Markov chain Monte Carlo (MCMC) algorithm, which combines a local Markov transition kernel with a non-local, flow-informed transition kernel, defined using a CNF. This CNF is adapted on-the-fly using samples from the Markov chain, which are used to specify the probability path for the FM objective. Our method also includes an adaptive tempering mechanism that allows the discovery of multiple modes in the target distribution. Under mild assumptions, we establish convergence of our method to a local optimum of the FM objective. We then benchmark our approach on several synthetic and real-world examples, achieving similar performance to other state-of-the-art methods, but often at a significantly lower computational cost.

Anthony Stephenson, Ian Gallagher, Christopher Nemeth

Graph generative modelling has become an essential task due to the wide range of applications in chemistry, biology, social networks, and knowledge representation. In this work, we propose a novel framework for generating graphs by adapting the Generator Matching (arXiv:2410.20587) paradigm to graph-structured data. We leverage the graph Laplacian and its associated heat kernel to define a continous-time diffusion on each graph. The Laplacian serves as the infinitesimal generator of this diffusion, and its heat kernel provides a family of conditional perturbations of the initial graph. A neural network is trained to match this generator by minimising a Bregman divergence between the true generator and a learnable surrogate. Once trained, the surrogate generator is used to simulate a time-reversed diffusion process to sample new graph structures. Our framework unifies and generalises existing diffusion-based graph generative models, injecting domain-specific inductive bias via the Laplacian, while retaining the flexibility of neural approximators. Experimental studies demonstrate that our approach captures structural properties of real and synthetic graphs effectively.

Thomas Newman, Christopher Nemeth, Matthew Jones et al.

Real-time identification and quantification of greenhouse-gas emissions under transient atmospheric conditions is a critical challenge in environmental monitoring. We introduce a spatio-temporal inversion framework that embeds a deep-learning surrogate of computational fluid dynamics (CFD) within a sequential Monte Carlo algorithm to perform Bayesian inference of both emission rate and source location in dynamic flow fields. By substituting costly numerical solvers with a multilayer perceptron trained on high-fidelity CFD outputs, our surrogate captures spatial heterogeneity and temporal evolution of gas dispersion, while delivering near-real-time predictions. Validation on the Chilbolton methane release dataset demonstrates comparable accuracy to full CFD solvers and Gaussian plume models, yet achieves orders-of-magnitude faster runtimes. Further experiments under simulated obstructed-flow scenarios confirm robustness in complex environments. This work reconciles physical fidelity with computational feasibility, offering a scalable solution for industrial emissions monitoring and other time-sensitive spatio-temporal inversion tasks in environmental and scientific modeling.

Daniel Dodd, Louis Sharrock, Christopher Nemeth

In recent years, interest in gradient-based optimization over Riemannian manifolds has surged. However, a significant challenge lies in the reliance on hyperparameters, especially the learning rate, which requires meticulous tuning by practitioners to ensure convergence at a suitable rate. In this work, we introduce innovative learning-rate-free algorithms for stochastic optimization over Riemannian manifolds, eliminating the need for hand-tuning and providing a more robust and user-friendly approach. We establish high probability convergence guarantees that are optimal, up to logarithmic factors, compared to the best-known optimally tuned rate in the deterministic setting. Our approach is validated through numerical experiments, demonstrating competitive performance against learning-rate-dependent algorithms.

Louis Sharrock, Lester Mackey, Christopher Nemeth

We introduce a suite of new particle-based algorithms for sampling in constrained domains which are entirely learning rate free. Our approach leverages coin betting ideas from convex optimisation, and the viewpoint of constrained sampling as a mirrored optimisation problem on the space of probability measures. Based on this viewpoint, we also introduce a unifying framework for several existing constrained sampling algorithms, including mirrored Langevin dynamics and mirrored Stein variational gradient descent. We demonstrate the performance of our algorithms on a range of numerical examples, including sampling from targets on the simplex, sampling with fairness constraints, and constrained sampling problems in post-selection inference. Our results indicate that our algorithms achieve competitive performance with existing constrained sampling methods, without the need to tune any hyperparameters.

Louis Sharrock, Daniel Dodd, Christopher Nemeth

We introduce two new particle-based algorithms for learning latent variable models via marginal maximum likelihood estimation, including one which is entirely tuning-free. Our methods are based on the perspective of marginal maximum likelihood estimation as an optimization problem: namely, as the minimization of a free energy functional. One way to solve this problem is via the discretization of a gradient flow associated with the free energy. We study one such approach, which resembles an extension of Stein variational gradient descent, establishing a descent lemma which guarantees that the free energy decreases at each iteration. This method, and any other obtained as the discretization of the gradient flow, necessarily depends on a learning rate which must be carefully tuned by the practitioner in order to ensure convergence at a suitable rate. With this in mind, we also propose another algorithm for optimizing the free energy which is entirely learning rate free, based on coin betting techniques from convex optimization. We validate the performance of our algorithms across several numerical experiments, including several high-dimensional settings. Our results are competitive with existing particle-based methods, without the need for any hyperparameter tuning.

Thomas Pinder, Kathryn Turnbull, Christopher Nemeth et al.

We derive a Matern Gaussian process (GP) on the vertices of a hypergraph. This enables estimation of regression models of observed or latent values associated with the vertices, in which the correlation and uncertainty estimates are informed by the hypergraph structure. We further present a framework for embedding the vertices of a hypergraph into a latent space using the hypergraph GP. Finally, we provide a scheme for identifying a small number of representative inducing vertices that enables scalable inference through sparse GPs. We demonstrate the utility of our framework on three challenging real-world problems that concern multi-class classification for the political party affiliation of legislators on the basis of voting behaviour, probabilistic matrix factorisation of movie reviews, and embedding a hypergraph of animals into a low-dimensional latent space.

Jeremie Coullon, Leah South, Christopher Nemeth

Stochastic gradient Markov chain Monte Carlo (SGMCMC) is a popular class of algorithms for scalable Bayesian inference. However, these algorithms include hyperparameters such as step size or batch size that influence the accuracy of estimators based on the obtained posterior samples. As a result, these hyperparameters must be tuned by the practitioner and currently no principled and automated way to tune them exists. Standard MCMC tuning methods based on acceptance rates cannot be used for SGMCMC, thus requiring alternative tools and diagnostics. We propose a novel bandit-based algorithm that tunes the SGMCMC hyperparameters by minimizing the Stein discrepancy between the true posterior and its Monte Carlo approximation. We provide theoretical results supporting this approach and assess various Stein-based discrepancies. We support our results with experiments on both simulated and real datasets, and find that this method is practical for a wide range of applications.

Thomas Pinder, Christopher Nemeth, David Leslie

We show how to use Stein variational gradient descent (SVGD) to carry out inference in Gaussian process (GP) models with non-Gaussian likelihoods and large data volumes. Markov chain Monte Carlo (MCMC) is extremely computationally intensive for these situations, but the parametric assumptions required for efficient variational inference (VI) result in incorrect inference when they encounter the multi-modal posterior distributions that are common for such models. SVGD provides a non-parametric alternative to variational inference which is substantially faster than MCMC. We prove that for GP models with Lipschitz gradients the SVGD algorithm monotonically decreases the Kullback-Leibler divergence from the sampling distribution to the true posterior. Our method is demonstrated on benchmark problems in both regression and classification, a multimodal posterior, and an air quality example with 550,134 spatiotemporal observations, showing substantial performance improvements over MCMC and VI.

Christopher Aicher, Srshti Putcha, Christopher Nemeth et al.

State space models (SSMs) provide a flexible framework for modeling complex time series via a latent stochastic process. Inference for nonlinear, non-Gaussian SSMs is often tackled with particle methods that do not scale well to long time series. The challenge is two-fold: not only do computations scale linearly with time, as in the linear case, but particle filters additionally suffer from increasing particle degeneracy with longer series. Stochastic gradient MCMC methods have been developed to scale Bayesian inference for finite-state hidden Markov models and linear SSMs using buffered stochastic gradient estimates to account for temporal dependencies. We extend these stochastic gradient estimators to nonlinear SSMs using particle methods. We present error bounds that account for both buffering error and particle error in the case of nonlinear SSMs that are log-concave in the latent process. We evaluate our proposed particle buffered stochastic gradient using stochastic gradient MCMC for inference on both long sequential synthetic and minute-resolution financial returns data, demonstrating the importance of this class of methods.

Jack Baker, Paul Fearnhead, Emily B Fox et al.

Stochastic gradient Markov chain Monte Carlo (SGMCMC) has become a popular method for scalable Bayesian inference. These methods are based on sampling a discrete-time approximation to a continuous time process, such as the Langevin diffusion. When applied to distributions defined on a constrained space the time-discretization error can dominate when we are near the boundary of the space. We demonstrate that because of this, current SGMCMC methods for the simplex struggle with sparse simplex spaces; when many of the components are close to zero. Unfortunately, many popular large-scale Bayesian models, such as network or topic models, require inference on sparse simplex spaces. To avoid the biases caused by this discretization error, we propose the stochastic Cox-Ingersoll-Ross process (SCIR), which removes all discretization error and we prove that samples from the SCIR process are asymptotically unbiased. We discuss how this idea can be extended to target other constrained spaces. Use of the SCIR process within a SGMCMC algorithm is shown to give substantially better performance for a topic model and a Dirichlet process mixture model than existing SGMCMC approaches.

Jack Baker, Paul Fearnhead, Emily B. Fox et al.

This paper introduces the R package sgmcmc; which can be used for Bayesian inference on problems with large datasets using stochastic gradient Markov chain Monte Carlo (SGMCMC). Traditional Markov chain Monte Carlo (MCMC) methods, such as Metropolis-Hastings, are known to run prohibitively slowly as the dataset size increases. SGMCMC solves this issue by only using a subset of data at each iteration. SGMCMC requires calculating gradients of the log likelihood and log priors, which can be time consuming and error prone to perform by hand. The sgmcmc package calculates these gradients itself using automatic differentiation, making the implementation of these methods much easier. To do this, the package uses the software library TensorFlow, which has a variety of statistical distributions and mathematical operations as standard, meaning a wide class of models can be built using this framework. SGMCMC has become widely adopted in the machine learning literature, but less so in the statistics community. We believe this may be partly due to lack of software; this package aims to bridge this gap.

Christopher Nemeth, Fredrik Lindsten, Maurizio Filippone et al.

Sampling from posterior distributions using Markov chain Monte Carlo (MCMC) methods can require an exhaustive number of iterations, particularly when the posterior is multi-modal as the MCMC sampler can become trapped in a local mode for a large number of iterations. In this paper, we introduce the pseudo-extended MCMC method as a simple approach for improving the mixing of the MCMC sampler for multi-modal posterior distributions. The pseudo-extended method augments the state-space of the posterior using pseudo-samples as auxiliary variables. On the extended space, the modes of the posterior are connected, which allows the MCMC sampler to easily move between well-separated posterior modes. We demonstrate that the pseudo-extended approach delivers improved MCMC sampling over the Hamiltonian Monte Carlo algorithm on multi-modal posteriors, including Boltzmann machines and models with sparsity-inducing priors.

Jack Baker, Paul Fearnhead, Emily B. Fox et al.

It is well known that Markov chain Monte Carlo (MCMC) methods scale poorly with dataset size. A popular class of methods for solving this issue is stochastic gradient MCMC. These methods use a noisy estimate of the gradient of the log posterior, which reduces the per iteration computational cost of the algorithm. Despite this, there are a number of results suggesting that stochastic gradient Langevin dynamics (SGLD), probably the most popular of these methods, still has computational cost proportional to the dataset size. We suggest an alternative log posterior gradient estimate for stochastic gradient MCMC, which uses control variates to reduce the variance. We analyse SGLD using this gradient estimate, and show that, under log-concavity assumptions on the target distribution, the computational cost required for a given level of accuracy is independent of the dataset size. Next we show that a different control variate technique, known as zero variance control variates can be applied to SGMCMC algorithms for free. This post-processing step improves the inference of the algorithm by reducing the variance of the MCMC output. Zero variance control variates rely on the gradient of the log posterior; we explore how the variance reduction is affected by replacing this with the noisy gradient estimate calculated by SGMCMC.

Christopher Nemeth, Chris Sherlock

Markov chain Monte Carlo (MCMC) algorithms have become powerful tools for Bayesian inference. However, they do not scale well to large-data problems. Divide-and-conquer strategies, which split the data into batches and, for each batch, run independent MCMC algorithms targeting the corresponding subposterior, can spread the computational burden across a number of separate workers. The challenge with such strategies is in recombining the subposteriors to approximate the full posterior. By creating a Gaussian-process approximation for each log-subposterior density we create a tractable approximation for the full posterior. This approximation is exploited through three methodologies: firstly a Hamiltonian Monte Carlo algorithm targeting the expectation of the posterior density provides a sample from an approximation to the posterior; secondly, evaluating the true posterior at the sampled points leads to an importance sampler that, asymptotically, targets the true posterior expectations; finally, an alternative importance sampler uses the full Gaussian-process distribution of the approximation to the log-posterior density to re-weight any initial sample and provide both an estimate of the posterior expectation and a measure of the uncertainty in it.

Christopher Nemeth, Chris Sherlock, Paul Fearnhead

This paper proposes a new sampling scheme based on Langevin dynamics that is applicable within pseudo-marginal and particle Markov chain Monte Carlo algorithms. We investigate this algorithm's theoretical properties under standard asymptotics, which correspond to an increasing dimension of the parameters, $n$. Our results show that the behaviour of the algorithm depends crucially on how accurately one can estimate the gradient of the log target density. If the error in the estimate of the gradient is not sufficiently controlled as dimension increases, then asymptotically there will be no advantage over the simpler random-walk algorithm. However, if the error is sufficiently well-behaved, then the optimal scaling of this algorithm will be $O(n^{-1/6})$ compared to $O(n^{-1/2})$ for the random walk. Our theory also gives guidelines on how to tune the number of Monte Carlo samples in the likelihood estimate and the proposal step-size.

Christopher Nemeth, Paul Fearnhead, Lyudmila Mihaylova

Poyiadjis et al. (2011) show how particle methods can be used to estimate both the score and the observed information matrix for state space models. These methods either suffer from a computational cost that is quadratic in the number of particles, or produce estimates whose variance increases quadratically with the amount of data. This paper introduces an alternative approach for estimating these terms at a computational cost that is linear in the number of particles. The method is derived using a combination of kernel density estimation, to avoid the particle degeneracy that causes the quadratically increasing variance, and Rao-Blackwellisation. Crucially, we show the method is robust to the choice of bandwidth within the kernel density estimation, as it has good asymptotic properties regardless of this choice. Our estimates of the score and observed information matrix can be used within both online and batch procedures for estimating parameters for state space models. Empirical results show improved parameter estimates compared to existing methods at a significantly reduced computational cost. Supplementary materials including code are available.