Related papers: Fast Hamiltonian sampling for large scale structur…
In this paper we propose to evaluate and compare Markov chain Monte Carlo (MCMC) methods to estimate the parameters in a generalized extreme value model. We employed the Bayesian approach using traditional Metropolis-Hastings methods,…
We propose a novel sampling framework for inference in probabilistic models: an active learning approach that converges more quickly (in wall-clock time) than Markov chain Monte Carlo (MCMC) benchmarks. The central challenge in…
Markov chain Monte Carlo (MCMC) methods are a powerful but computationally expensive way of performing non-parametric Bayesian inference. MCMC proposals which utilise gradients, such as Hamiltonian Monte Carlo (HMC), can better explore the…
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…
Markov Chain Monte Carlo (MCMC) sampling methods are widely used but often encounter either slow convergence or biased sampling when applied to multimodal high dimensional distributions. In this paper, we present a general framework of…
We unify slice sampling and Hamiltonian Monte Carlo (HMC) sampling, demonstrating their connection via the Hamiltonian-Jacobi equation from Hamiltonian mechanics. This insight enables extension of HMC and slice sampling to a broader family…
Likelihood-free inference methods based on neural conditional density estimation were shown to drastically reduce the simulation burden in comparison to classical methods such as ABC. When applied in the context of any latent variable…
Bayesian inference in deep neural networks is challenging due to the high-dimensional, strongly multi-modal parameter posterior density landscape. Markov chain Monte Carlo approaches asymptotically recover the true posterior but are…
Sequential Monte Carlo (SMC) samplers are powerful tools for Bayesian inference but suffer from high computational costs due to their reliance on large particle ensembles for accurate estimates. We introduce persistent sampling (PS), an…
Sampling from an unnormalized probability distribution is a fundamental problem in machine learning with applications including Bayesian modeling, latent factor inference, and energy-based model training. After decades of research,…
Solving ill-posed inverse problems by Bayesian inference has recently attracted considerable attention. Compared to deterministic approaches, the probabilistic representation of the solution by the posterior distribution can be exploited to…
Bayesian reasoning in linear mixed-effects models (LMMs) is challenging and often requires advanced sampling techniques like Markov chain Monte Carlo (MCMC). A common approach is to write the model in a probabilistic programming language…
Multimodality of the likelihood in Gaussian mixtures is a well-known problem. The choice of the initial parameter vector for the numerical optimizer may affect whether the optimizer finds the global maximum, or gets trapped in a local…
Inference after model selection presents computational challenges when dealing with intractable conditional distributions. Markov chain Monte Carlo (MCMC) is a common method for sampling from these distributions, but its slow convergence…
This paper presents a study using the Bayesian approach in stochastic volatility models for modeling financial time series, using Hamiltonian Monte Carlo methods (HMC). We propose the use of other distributions for the errors in the…
Generating samples from a continuous probability density is a central algorithmic problem across statistics, engineering, and the sciences. For high-dimensional settings, Hamiltonian Monte Carlo (HMC) is the default algorithm across…
The need to calibrate increasingly complex statistical models requires a persistent effort for further advances on available, computationally intensive Monte Carlo methods. We study here an advanced version of familiar Markov Chain Monte…
In Bayesian inverse problems, one aims at characterizing the posterior distribution of a set of unknowns, given indirect measurements. For non-linear/non-Gaussian problems, analytic solutions are seldom available: Sequential Monte Carlo…
Hamiltonian Monte Carlo (HMC) is a powerful tool for Bayesian computation. In comparison with the traditional Metropolis-Hastings algorithm, HMC offers greater computational efficiency, especially in higher dimensional or more complex…
Markov chain Monte Carlo (MCMC) sampling of densities restricted to linearly constrained domains is an important task arising in Bayesian treatment of inverse problems in the natural sciences. While efficient algorithms for uniform polytope…