Related papers: Interacting Markov chain Monte Carlo methods for s…
Statisticians often use Monte Carlo methods to approximate probability distributions, primarily with Markov chain Monte Carlo and importance sampling. Sequential Monte Carlo samplers are a class of algorithms that combine both techniques to…
Many random processes can be simulated as the output of a deterministic model accepting random inputs. Such a model usually describes a complex mathematical or physical stochastic system and the randomness is introduced in the input…
In parameter estimation problems one computes a posterior distribution over uncertain parameters defined jointly by a prior distribution, a model, and noisy data. Markov Chain Monte Carlo (MCMC) is often used for the numerical solution of…
Adaptive and interacting Markov Chains Monte Carlo (MCMC) algorithms are a novel class of non-Markovian algorithms aimed at improving the simulation efficiency for complicated target distributions. In this paper, we study a general…
We study the large-scale dynamics of event chain Monte Carlo algorithms in one dimension, and their relation to the true self-avoiding walk. In particular, we study the influence of stress, and different forms of interaction on the…
We propose a new method for Monte Carlo solution of non-linear integral equations by combining the Newton-Kantorovich method for solving non-linear equations with the Markov Chain Monte Carlo (MCMC) method for solving linear equations. The…
Markov chain Monte Carlo is widely used in a variety of scientific applications to generate approximate samples from intractable distributions. A thorough understanding of the convergence and mixing properties of these Markov chains can be…
Closed-form stochastic filtering equations can be derived in a general setting where probability distributions are replaced by some specific outer measures. In this article, we study how the principles of the sequential Monte Carlo method…
In this paper we investigate the continuum limits of a class of Markov chains. The investigation of such limits is motivated by the desire to model very large networks. We show that under some conditions, a sequence of Markov chains…
Historically time-reversibility of the transitions or processes underpinning Markov chain Monte Carlo methods (MCMC) has played a key r\^ole in their development, while the self-adjointness of associated operators together with the use of…
Markov Chain Monte Carlo (MCMC) methods are employed to sample from a given distribution of interest, whenever either the distribution does not exist in closed form, or, if it does, no efficient method to simulate an independent sample from…
We propose a Monte Carlo algorithm to sample from high dimensional probability distributions that combines Markov chain Monte Carlo and importance sampling. We provide a careful theoretical analysis, including guarantees on robustness to…
We study a recently introduced gradient-based Markov chain Monte Carlo method based on 'Barker dynamics'. We provide a full derivation of the method from first principles, placing it within a wider class of continuous-time Markov jump…
In the last years, many authors studied a class of continuous time semi-Markov processes obtained by time-changing Markov processes by hitting times of independent subordinators. Such processes are governed by integro-differential…
In this paper we address the problem of Monte Carlo approximation of posterior probability distributions in stochastic kinetic models (SKMs). SKMs are multivariate Markov jump processes that model the interactions among species in…
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…
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…
Markov chain Monte Carlo is a widely-used technique for generating a dependent sequence of samples from complex distributions. Conventionally, these methods require a source of independent random variates. Most implementations use…
In this paper we propose an efficient variance reduction approach for additive functionals of Markov chains relying on a novel discrete time martingale representation. Our approach is fully non-asymptotic and does not require the knowledge…
Sequential Monte Carlo (SMC) methods are a class of techniques to sample approximately from any sequence of probability distributions using a combination of importance sampling and resampling steps. This paper is concerned with the…