Related papers: A Monte-Carlo Implementation of the SAGE Algorithm…
We develop a novel Markov chain Monte Carlo (MCMC) method that exploits a hierarchy of models of increasing complexity to efficiently generate samples from an unnormalized target distribution. Broadly, the method rewrites the Multilevel…
In geostatistics, Gaussian random fields are often used to model heterogeneities of soil or subsurface parameters. To give spatial approximations of these random fields, they are discretized. Then, different techniques of geostatistical…
Recently-proposed particle MCMC methods provide a flexible way of performing Bayesian inference for parameters governing stochastic kinetic models defined as Markov (jump) processes (MJPs). Each iteration of the scheme requires an estimate…
Data augmentation improves the convergence of iterative algorithms, such as the EM algorithm and Gibbs sampler by introducing carefully designed latent variables. In this article, we first propose a data augmentation scheme for the…
In the context of Bayesian inversion for scientific and engineering modeling, Markov chain Monte Carlo sampling strategies are the benchmark due to their flexibility and robustness in dealing with arbitrary posterior probability density…
This paper concerns the use of sequential Monte Carlo methods (SMC) for smoothing in general state space models. A well-known problem when applying the standard SMC technique in the smoothing mode is that the resampling mechanism introduces…
Markov chain Monte Carlo (MCMC) methods asymptotically sample from complex probability distributions. The pseudo-marginal MCMC framework only requires an unbiased estimator of the unnormalized probability distribution function to construct…
To achieve high data rates defined in 5G, the use of millimeter-waves and massive-MIMO are indispensable. To benefit from these technologies, an accurate estimation of the channel parameters is crucial. We propose a novel two-stage…
Monte Carlo methods -- such as Markov chain Monte Carlo (MCMC) and piecewise deterministic Markov process (PDMP) samplers -- provide asymptotically exact estimators of expectations under a target distribution. There is growing interest in…
Synthetic likelihood (SL) is a strategy for parameter inference when the likelihood function is analytically or computationally intractable. In SL, the likelihood function of the data is replaced by a multivariate Gaussian density over…
Particle Markov Chain Monte Carlo methods are used to carry out inference in non-linear and non-Gaussian state space models, where the posterior density of the states is approximated using particles. Current approaches usually perform…
We study Monte Carlo estimation of the expected value of sample information (EVSI) which measures the expected benefit of gaining additional information for decision making under uncertainty. EVSI is defined as a nested expectation in which…
Many applications in signal processing require the estimation of some parameters of interest given a set of observed data. More specifically, Bayesian inference needs the computation of {\it a-posteriori} estimators which are often…
MCMC methods (Monte Carlo Markov Chain) are a class of methods used to perform simulations per a probability distribution $P$. These methods are often used when we have difficulties to directly sample per a given probability distribution…
Monte Carlo methods represent the "de facto" standard for approximating complicated integrals involving multidimensional target distributions. In order to generate random realizations from the target distribution, Monte Carlo techniques use…
In wideband millimeter wave (mmWave) massive multiple-input multiple-output (MIMO) systems, channel estimation is challenging due to the hybrid analog-digital architecture, which compresses the received pilot signal and makes channel…
We consider posterior sampling in the very common Bayesian hierarchical model in which observed data depends on high-dimensional latent variables that, in turn, depend on relatively few hyperparameters. When the full conditional over the…
In dynamic Monte Carlo simulations, using for example the Metropolis dynamic, it is often required to simulate for long times and to simulate large systems. We present an overview of advanced algorithms to simulate for larger times and to…
We introduce a Markov Chain Monte Carlo (MCMC) method that is designed to sample from target distributions with irregular geometry using an adaptive scheme. In cases where targets exhibit non-Gaussian behaviour, we propose that adaption…
Random sampling of graph partitions under constraints has become a popular tool for evaluating legislative redistricting plans. Analysts detect partisan gerrymandering by comparing a proposed redistricting plan with an ensemble of sampled…