Related papers: Sequential Monte Carlo on large binary sampling sp…

Approximate Bayesian computation (ABC) has gained popularity over the past few years for the analysis of complex models arising in population genetic, epidemiology and system biology. Sequential Monte Carlo (SMC) approaches have become work…

Hamiltonian Monte Carlo (HMC) is widely used for sampling from high dimensional target distributions with densities known up to proportionality. While HMC exhibits favorable scaling properties in high dimensions, it struggles with strongly…

Modern macroeconometrics often relies on time series models for which it is time-consuming to evaluate the likelihood function. We demonstrate how Bayesian computations for such models can be drastically accelerated by reweighting and…

This paper introduces a Bayesian framework that combines Markov chain Monte Carlo (MCMC) sampling, dimensionality reduction, and neural density estimation to efficiently handle inverse problems that (i) must be solved multiple times, and…

Many scientific and engineering problems require to perform Bayesian inferences in function spaces, in which the unknowns are of infinite dimension. In such problems, many standard Markov Chain Monte Carlo (MCMC) algorithms become arbitrary…

Approximate Bayesian computation allows for inference of complicated probabilistic models with intractable likelihoods using model simulations. The Markov chain Monte Carlo implementation of approximate Bayesian computation is often…

Hamiltonian Monte Carlo (HMC) samples efficiently from high-dimensional posterior distributions with proposed parameter draws obtained by iterating on a discretized version of the Hamiltonian dynamics. The iterations make HMC…

We review the basic outline of the highly successful diffusion Monte Carlo technique commonly used in contexts ranging from electronic structure calculations to rare event simulation and data assimilation, and propose a new class of…

This paper concerns the approximation of smooth, high-dimensional functions from limited samples using polynomials. This task lies at the heart of many applications in computational science and engineering - notably, some of those arising…

Markov chain Monte Carlo is a class of algorithms for drawing Markovian samples from high-dimensional target densities to approximate the numerical integration associated with computing statistical expectation, especially in Bayesian…

Adaptive importance sampling (AIS) methods are increasingly used for the approximation of distributions and related intractable integrals in the context of Bayesian inference. Population Monte Carlo (PMC) algorithms are a subclass of AIS…

Binary optimization has a wide range of applications in combinatorial optimization problems such as MaxCut, MIMO detection, and MaxSAT. However, these problems are typically NP-hard due to the binary constraints. We develop a novel…

Discrete data are abundant and often arise as counts or rounded data. These data commonly exhibit complex distributional features such as zero-inflation, over-/under-dispersion, boundedness, and heaping, which render many parametric models…

We present a new Subset Simulation approach using Hamiltonian neural network-based Monte Carlo sampling for reliability analysis. The proposed strategy combines the superior sampling of the Hamiltonian Monte Carlo method with…

We consider posterior sampling in the very common Bayesian hierarchical model in which observed data depends on high-dimensional latent variables that, in turn, depend on relatively few hyperparameters. When the full conditional over the…

We analyse a multilevel Monte Carlo method for the approximation of distribution functions of univariate random variables. Since, by assumption, the target distribution is not known explicitly, approximations have to be used. We provide an…

The paper proposes a Riemannian Manifold Hamiltonian Monte Carlo sampler to resolve the shortcomings of existing Monte Carlo algorithms when sampling from target densities that may be high dimensional and exhibit strong correlations. The…

Standard MCMC methods can scale poorly to big data settings due to the need to evaluate the likelihood at each iteration. There have been a number of approximate MCMC algorithms that use sub-sampling ideas to reduce this computational…

Markov chain Monte Carlo methods are often deemed too computationally intensive to be of any practical use for big data applications, and in particular for inference on datasets containing a large number $n$ of individual data points, also…

Adaptive Monte Carlo methods are very efficient techniques designed to tune simulation estimators on-line. In this work, we present an alternative to stochastic approximation to tune the optimal change of measure in the context of…