Related papers: Adaptive independent Metropolis--Hastings
MCMC algorithms such as Metropolis-Hastings algorithms are slowed down by the computation of complex target distributions as exemplified by huge datasets. We offer in this paper an approach to reduce the computational costs of such…
We present a novel adaptive optimization algorithm for large-scale machine learning problems. Equipped with a low-cost estimate of local curvature and Lipschitz smoothness, our method dynamically adapts the search direction and step-size.…
This paper describes sufficient conditions to ensure the correct ergodicity of the Adaptive Metropolis (AM) algorithm of Haario, Saksman and Tamminen [Bernoulli 7 (2001) 223--242] for target distributions with a noncompact support. The…
Convergence analysis of Markov chain Monte Carlo methods in high-dimensional statistical applications is increasingly recognized. In this paper, we develop general mixing time bounds for Metropolis-Hastings algorithms on discrete spaces by…
Distributed Opportunistic Scheduling (DOS) techniques have been recently proposed to improve the throughput performance of wireless networks. With DOS, each station contends for the channel with a certain access probability. If a contention…
The complexity of the Metropolis-Hastings (MH) algorithm arises from the requirement of a likelihood evaluation for the full data set in each iteration. Payne and Mallick (2015) propose to speed up the algorithm by a delayed acceptance…
The multiple-try Metropolis (MTM) algorithm is a generalization of the Metropolis-Hastings algorithm in which the transition kernel uses a compound proposal consisting of multiple candidate draws. Since its seminal paper there have been…
Importance sampling and independent Metropolis-Hastings (IMH) are among the fundamental building blocks of Monte Carlo methods. Both require a proposal distribution that globally approximates the target distribution. The Radon-Nikodym…
In order to construct accurate proposers for Metropolis-Hastings Markov Chain Monte Carlo, we integrate ideas from probabilistic graphical models and neural networks in an open-source framework we call Lightweight Inference Compilation…
In this paper, we consider sampling from a class of distributions with thin tails supported on $\mathbb{R}^d$ and make two primary contributions. First, we propose a new Metropolized Algorithm With Optimization Step (MAO), which is well…
In this paper we shall consider optimal scaling problems for high-dimensional Metropolis--Hastings algorithms where updates can be chosen to be lower dimensional than the target density itself. We find that the optimal scaling rule for the…
Process monitoring and control requires detection of structural changes in a data stream in real time. This article introduces an efficient sequential Monte Carlo algorithm designed for learning unknown changepoints in continuous time. The…
Adaptive importance sampling (AIS) algorithms are a rising methodology in signal processing, statistics, and machine learning. An effective adaptation of the proposals is key for the success of AIS. Recent works have shown that gradient…
Despite the enormous success of Hamiltonian Monte Carlo and related Markov Chain Monte Carlo (MCMC) methods, sampling often still represents the computational bottleneck in scientific applications. Availability of parallel resources can…
The world is not static: This causes real-world time series to change over time through external, and potentially disruptive, events such as macroeconomic cycles or the COVID-19 pandemic. We present an adaptive sampling strategy that…
Can we make Bayesian posterior MCMC sampling more efficient when faced with very large datasets? We argue that computing the likelihood for N datapoints in the Metropolis-Hastings (MH) test to reach a single binary decision is…
In distributed machine learning, data is dispatched to multiple machines for processing. Motivated by the fact that similar data points often belong to the same or similar classes, and more generally, classification rules of high accuracy…
We consider the simulation of distributions that are a mixture of discrete and continuous components. We extend a Metropolis-Hastings-based perfect sampling algorithm of Corcoran and Tweedie to allow for a broader class of transition…
An easy-to-implement form of the Metropolis Algorithm is described which, unlike most standard techniques, is well suited to sampling from multi-modal distributions on spaces with moderate numbers of dimensions (order ten) in environments…
Parameter estimation is a growing area of interest in statistical signal processing. Some parameters in real-life applications vary in space as opposed to those that are static. Most common methods in estimating parameters involve solving…