Related papers: Adaptive Gibbs samplers and related MCMC methods

I show how Markov chain sampling with the Metropolis-Hastings algorithm can be modified so as to take bigger steps when the distribution being sampled from has the characteristic that its density can be quickly recomputed for a new point if…

The Hamiltonian Monte Carlo (HMC) algorithm is often lauded for its ability to effectively sample from high-dimensional distributions. In this paper we challenge the presumed domination of HMC for the Bayesian analysis of GLMs. By utilizing…

Selecting between different dependency structures of hidden Markov random field can be very challenging, due to the intractable normalizing constant in the likelihood. We answer this question with approximate Bayesian computation (ABC)…

This paper outlines a Bayesian approach to estimate finite mixtures of Tobit models. The method consists of an MCMC approach that combines Gibbs sampling with data augmentation and is simple to implement. I show through simulations that the…

We consider a Bayesian hierarchical version of the normal theory general linear model which is practically relevant in the sense that it is general enough to have many applications and it is not straightforward to sample directly from the…

Kelly (2007, hereafter K07) described an efficient algorithm, using Gibbs sampling, for performing linear regression in the fairly general case where non-zero measurement errors exist for both the covariates and response variables, where…

We consider versions of the Metropolis algorithm which avoid the inefficiency of rejections. We first illustrate that a natural Uniform Selection Algorithm might not converge to the correct distribution. We then analyse the use of Markov…

In this work, minibatch MCMC sampling for feedforward neural networks is made more feasible. To this end, it is proposed to sample subgroups of parameters via a blocked Gibbs sampling scheme. By partitioning the parameter space, sampling is…

Sampling is a fundamental problem in computer science and statistics. However, for a given task and stream, it is often not possible to choose good sampling probabilities in advance. We derive a general framework for adaptively changing the…

We build a theoretical framework for designing and understanding practical meta-learning methods that integrates sophisticated formalizations of task-similarity with the extensive literature on online convex optimization and sequential…

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 ability to generate samples of the random effects from their conditional distributions is fundamental for inference in mixed effects models. Random walk Metropolis is widely used to conduct such sampling, but such a method can converge…

State-space models (SSMs) are commonly used to model time series data where the observations depend on an unobserved latent process. However, inference on the model parameters of an SSM can be challenging, especially when the likelihood of…

Hamiltonian Monte Carlo (HMC) is a powerful Markov Chain Monte Carlo (MCMC) method for sampling from complex high-dimensional continuous distributions. However, in many situations it is necessary or desirable to combine HMC with other…

We consider the problem of inference in discrete probabilistic models, that is, distributions over subsets of a finite ground set. These encompass a range of well-known models in machine learning, such as determinantal point processes and…

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…

A fundamental task in machine learning and related fields is to perform inference on Bayesian networks. Since exact inference takes exponential time in general, a variety of approximate methods are used. Gibbs sampling is one of the most…

Bayesian inference with Markov Chain Monte Carlo (MCMC) is challenging when the likelihood function is irregular and expensive to compute. We explore several sampling algorithms that make use of subset evaluations to reduce computational…

In this paper, we present the Bayesian inference procedures for the parameters of the multivariate random effects model derived under the assumption of an elliptically contoured distribution when the Berger and Bernardo reference and the…

A simple and efficient adaptive Markov Chain Monte Carlo (MCMC) method, called the Metropolized Adaptive Subspace (MAdaSub) algorithm, is proposed for sampling from high-dimensional posterior model distributions in Bayesian variable…