Related papers: Can the Adaptive Metropolis Algorithm Collapse Wit…
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…
In applications of Gaussian processes where quantification of uncertainty is a strict requirement, it is necessary to accurately characterize the posterior distribution over Gaussian process covariance parameters. Normally, this is done by…
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…
We study decentralized learning over networks where data are distributed across nodes without a central coordinator. Random walk learning is a token-based approach in which a single model is propagated across the network and updated at each…
We describe two slice sampling methods for taking multivariate steps using the crumb framework. These methods use the gradients at rejected proposals to adapt to the local curvature of the log-density surface, a technique that can produce…
Adaptive multilevel splitting algorithms have been introduced rather recently for estimating tail distributions in a fast and efficient way. In particular, they can be used for computing the so-called reactive trajectories corresponding to…
In this paper, we introduce a new approach for integrating score-based models with the Metropolis-Hastings algorithm. While traditional score-based diffusion models excel in accurately learning the score function from data points, they lack…
The Metropolis-Hastings algorithm is a cornerstone of Markov Chain Monte Carlo methods, underpinning a wide range of applications in computational physics, Bayesian inference, and machine learning. Quantum variants of Metropolis-Hastings…
The ability to generate samples of the random effects from their conditional distributions is fundamental for inference in mixed effects models. Random walk Metropolis is widely used to conduct such sampling, but such a method can converge…
In this paper, we consider the problem of simultaneous testing of multivariate normal means under arbitrary covariance dependence. Specifically, let $\boldsymbol{X}\sim N_n(\boldsymbol{\theta},\boldsymbol{\Sigma})$, where…
This paper discusses the adaptive sampling problem in a nonholonomic mobile robotic sensor network for efficiently monitoring a spatial field. It is proposed to employ Gaussian process to model a spatial phenomenon and predict it at…
We study the problem of approximating the eigenspectrum of a symmetric matrix $\mathbf A \in \mathbb{R}^{n \times n}$ with bounded entries (i.e., $\|\mathbf A\|_{\infty} \leq 1$). We present a simple sublinear time algorithm that…
We study the integration of functions with respect to an unknown density. We compare the simple Monte Carlo method (which is almost optimal for a certain large class of inputs) and compare it with the Metropolis algorithm (based on a…
Markov Chain Monte Carlo (MCMC) methods are a powerful tool for computation with complex probability distributions. However the performance of such methods is critically dependant on properly tuned parameters, most of which are difficult if…
Adaptive algorithms belong to an important class of algorithms used in radar target detection to overcome prior uncertainty of interference covariance. The contamination of the empirical covariance matrix by the useful signal leads to…
Adaptive algorithms based on in-network processing over networks are useful for online parameter estimation of historical data (e.g., noise covariance) in predictive control and machine learning areas. This paper focuses on the distributed…
Adaptive Moment Estimation (ADAM) is a very popular training algorithm for deep neural networks and belongs to the family of adaptive gradient descent optimizers. However to the best of the authors knowledge no complete convergence analysis…
The Metropolis implementation of the Monte Carlo algorithm has been developed to study the equilibrium thermodynamics of many-body systems. Choosing small trial moves, the trajectories obtained applying this algorithm agree with those…
We analyse computational efficiency of Metropolis-Hastings algorithms with stochastic AR(1) process proposals. These proposals include, as a subclass, discretized Langevin diffusion (e.g. MALA) and discretized Hamiltonian dynamics (e.g.…
Particle Metropolis-Hastings enables Bayesian parameter inference in general nonlinear state space models (SSMs). However, in many implementations a random walk proposal is used and this can result in poor mixing if not tuned correctly…