Related papers: Graphical Comparison of MCMC Performance

Monte Carlo sampling methods often suffer from long correlation times. Consequently, these methods must be run for many steps to generate an independent sample. In this paper a method is proposed to overcome this difficulty. The method…

In this contribution, we propose a new computationally efficient method to combine Variational Inference (VI) with Markov Chain Monte Carlo (MCMC). This approach can be used with generic MCMC kernels, but is especially well suited to…

As it has become common to use many computer cores in routine applications, finding good ways to parallelize popular algorithms has become increasingly important. In this paper, we present a parallelization scheme for Markov chain Monte…

Generative artificial intelligence (AI) has made unprecedented advances in vision language models over the past two years. During the generative process, new samples (images) are generated from an unknown high-dimensional distribution.…

To date, the comparison of Statistical Shape Models (SSMs) is often solely performance-based, carried out by means of simplistic metrics such as compactness, generalization, or specificity. Any similarities or differences between the actual…

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 address the problem of parameter estimation for diffusion driven stochastic volatility models through Markov chain Monte Carlo (MCMC). To avoid degeneracy issues we introduce an innovative reparametrisation defined through…

The answers to data assimilation questions can be expressed as path integrals over all possible state and parameter histories. We show how these path integrals can be evaluated numerically using a Markov Chain Monte Carlo method designed to…

In this paper, we address technical difficulties that arise when applying Markov chain Monte Carlo (MCMC) to hierarchical models designed to perform clustering in the space of latent parameters of subject-wise generative models.…

Markov chain Monte Carlo (MCMC) is a powerful methodology for the approximation of posterior distributions. However, the iterative nature of MCMC does not naturally facilitate its use with modern highly parallel computation on HPC and cloud…

We present a case-study on the utility of graphics cards to perform massively parallel simulation of advanced Monte Carlo methods. Graphics cards, containing multiple Graphics Processing Units (GPUs), are self-contained parallel…

An efficient simulation-based methodology is proposed for the rolling window estimation of state space models, called particle rolling Markov chain Monte Carlo (MCMC) with double block sampling. In our method, which is based on Sequential…

Performing numerical integration when the integrand itself cannot be evaluated point-wise is a challenging task that arises in statistical analysis, notably in Bayesian inference for models with intractable likelihood functions. Markov…

At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric random walk, the increment distribution depending on the sign of…

We present a formalism of the transition matrix Monte Carlo method. A stochastic matrix in the space of energy can be estimated from Monte Carlo simulation. This matrix is used to compute the density of states, as well as to construct…

Markov chain Monte Carlo (MCMC) methods are sampling methods that have become a commonly used tool in statistics, for example to perform Monte Carlo integration. As a consequence of the increase in computational power, many variations of…

We present a new class of interacting Markov chain Monte Carlo algorithms for solving numerically discrete-time measure-valued equations. The associated stochastic processes belong to the class of self-interacting Markov chains. In contrast…

We examine a variety of graphical models to construct optimal portfolios. Graphical models such as PCA-KMeans, autoencoders, dynamic clustering, and structural learning can capture the time varying patterns in the covariance matrix and…

Computer power is a constantly increasing demand in scientific data analyses, in particular when Markov Chain Monte Carlo (MCMC) methods are involved, for example for estimating integral functions or Bayesian posterior probabilities. In…

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…