Related papers: Interacting Multiple Try Algorithms with Different…
Tasks such as record linkage and multi-target tracking, which involve reconstructing the set of objects that underlie some observed data, are particularly challenging for probabilistic inference. Recent work has achieved efficient and…
We propose a weighting scheme for the proposals within Markov chain Monte Carlo algorithms and show how this can improve statistical efficiency at no extra computational cost. These methods are most powerful when combined with…
We propose a new class of learning algorithms that combines variational approximation and Markov chain Monte Carlo (MCMC) simulation. Naive algorithms that use the variational approximation as proposal distribution can perform poorly…
We explore a general framework in Markov chain Monte Carlo (MCMC) sampling where sequential proposals are tried as a candidate for the next state of the Markov chain. This sequential-proposal framework can be applied to various existing…
Multiproposal MCMC (MP-MCMC) algorithms use clouds of proposals to efficiently traverse state spaces and overcome complex target geometries. While MCMC methods are embarrassingly parallel by nature, the non-trivial forms of parallelism…
Markov Chain Monte Carlo (MCMC) algorithms are commonly used for their versatility in sampling from complicated probability distributions. However, as the dimension of the distribution gets larger, the computational costs for a satisfactory…
We present a new multiple-try Metropolis-Hastings algorithm designed to be especially beneficial when a tailored proposal distribution is available. The algorithm is based on a given acyclic graph $G$, where one of the nodes in $G$, $k$…
We propose new Markov Chain Monte Carlo algorithms to sample probability distributions on submanifolds, which generalize previous methods by allowing the use of set-valued maps in the proposal step of the MCMC algorithms. The motivation for…
Accept-reject based Markov chain Monte Carlo (MCMC) methods are the workhorse algorithm for Bayesian inference. These algorithms, like Metropolis-Hastings, require choosing a proposal distribution which is typically informed by the desired…
Markov Chain Monte Carlo (MCMC) methods sample from unnormalized probability distributions and offer guarantees of exact sampling. However, in the continuous case, unfavorable geometry of the target distribution can greatly limit the…
Sampling from complicated probability distributions is a hard computational problem arising in many fields, including statistical physics, optimization, and machine learning. Quantum computers have recently been used to sample from…
Markov chain Monte Carlo (MCMC) methods are powerful computational tools for analysis of complex statistical problems. However, their computational efficiency is highly dependent on the chosen proposal distribution, which is generally…
The Metropolis algorithm is a Markov chain Monte Carlo (MCMC) algorithm used to simulate from parameter distributions of interest, such as generalized linear model parameters. The "Metropolis step" is a keystone concept that underlies…
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…
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…
In this work, we present, analyze, and implement a class of Multi-Level Markov chain Monte Carlo (ML-MCMC) algorithms based on independent Metropolis-Hastings proposals for Bayesian inverse problems. In this context, the likelihood function…
The Multiple-try Metropolis (MTM) method is an interesting extension of the classical Metropolis-Hastings algorithm. However, theoretical understandings of its convergence behavior as well as whether and how it may help are still unknown.…
The problem of optimally scaling the proposal distribution in a Markov chain Monte Carlo algorithm is critical to the quality of the generated samples. Much work has gone into obtaining such results for various Metropolis-Hastings (MH)…
We introduce a new micro-macro Markov chain Monte Carlo method (mM-MCMC) to sample invariant distributions of molecular dynamics systems that exhibit a time-scale separation between the microscopic (fast) dynamics, and the macroscopic…
There is a lack of methodological results to design efficient Markov chain Monte Carlo (MCMC) algorithms for statistical models with discrete-valued high-dimensional parameters. Motivated by this consideration, we propose a simple framework…