Related papers: Adaptive Gibbs samplers
The supervised learning problem to determine a neural network approximation $\mathbb{R}^d\ni x\mapsto\sum_{k=1}^K\hat\beta_k e^{{\mathrm{i}}\omega_k\cdot x}$ with one hidden layer is studied as a random Fourier features algorithm. The…
Given observations from a circular random variable contaminated by an additive measurement error, we consider the problem of minimax optimal goodness-of-fit testing in a non-asymptotic framework. We propose direct and indirect testing…
The ordered allocation sampler is a Gibbs sampler designed to explore the posterior distribution in nonparametric mixture models. It encompasses both infinite mixtures and finite mixtures with random number of components, and it has be…
Latent autoregressive processes are a popular choice to model time varying parameters. These models can be formulated as nonlinear state space models for which inference is not straightforward due to the high number of parameters. Therefore…
In this paper we address the questions of perfectly sampling a Gibbs measure with infinite range interactions and of perfectly sampling the measure together with its finite range approximations. We solve these questions by introducing a…
Gibbs samplers are preeminent Markov chain Monte Carlo algorithms used in computational physics and statistical computing. Yet, their most fundamental properties, such as relations between convergence characteristics of their various…
The widespread popularity of replica exchange and expanded ensemble algorithms for simulating complex molecular systems in chemistry and biophysics has generated much interest in enhancing phase space mixing of these protocols, thus…
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…
In this paper, we present a novel approach to fitting mixture models based on estimating first the posterior distribution of the auxiliary variables that assign each observation to a group in the mixture. The posterior distributions of the…
We study asymptotic behavior of Monte Carlo method. Local consistency is one of an ideal property of Monte Carlo method. However, it may fail to hold local consistency for several reason. In fact, in practice, it is more important to study…
The pairwise influence matrix of Dobrushin has long been used as an analytical tool to bound the rate of convergence of Gibbs sampling. In this work, we use Dobrushin influence as the basis of a practical tool to certify and efficiently…
Gibbs-type random probability measures, or Gibbs-type priors, are arguably the most "natural" generalization of the celebrated Dirichlet prior. Among them the two parameter Poisson-Dirichlet prior certainly stands out for the mathematical…
Gaussian Markov random fields (GMRFs) are popular for modeling dependence in large areal datasets due to their ease of interpretation and computational convenience afforded by the sparse precision matrices needed for random variable…
Gibbs sampling is a widely used Markov chain Monte Carlo (MCMC) method for numerically approximating integrals of interest in Bayesian statistics and other mathematical sciences. Many implementations of MCMC methods do not extend easily to…
We propose an adaptive importance sampling scheme for Gaussian approximations of intractable posteriors. Optimization-based approximations like variational inference can be too inaccurate while existing Monte Carlo methods can be too slow.…
We consider Bayesian inference from multiple time series described by a common state-space model (SSM) structure, but where different subsets of parameters are shared between different submodels. An important example is disease-dynamics,…
Asynchronous Gibbs sampling has been recently shown to be fast-mixing and an accurate method for estimating probabilities of events on a small number of variables of a graphical model satisfying Dobrushin's condition~\cite{DeSaOR16}. We…
This work focuses on the convergence analysis of adaptive distributed beamforming schemes that can be reformulated as local random search algorithms via a random search framework. Once reformulated as local random search algorithms, it is…
Gibbs sampling is the de facto Markov chain Monte Carlo method used for inference and learning on large scale graphical models. For complicated factor graphs with lots of factors, the performance of Gibbs sampling can be limited by the…
Metropolis simulations of all-atom models of peptides (i.e. small proteins) are considered. Inspired by the funnel picture of Bryngelson and Wolyness, a transformation of the updating probabilities of the dihedral angles is defined, which…