Related papers: On nonlinear Markov chain Monte Carlo

Path integral Monte Carlo (PIMC) simulations have become an important tool for the investigation of the statistical mechanics of quantum systems. I discuss some of the history of applying the Monte Carlo method to non-relativistic quantum…

Markov chain Monte Carlo (MCMC) algorithms provide a very general recipe for estimating properties of complicated distributions. While their use has become commonplace and there is a large literature on MCMC theory and practice, MCMC users…

The development of algorithms for unsupervised pattern recognition by nonlinear clustering is a notable problem in data science. Markov clustering (MCL) is a renowned algorithm that simulates stochastic flows on a network of sample…

Markov chain Monte Carlo (MCMC) methods are a powerful but computationally expensive way of performing non-parametric Bayesian inference. MCMC proposals which utilise gradients, such as Hamiltonian Monte Carlo (HMC), can better explore the…

The Markov chain Monte Carlo (MCMC) method is used to evaluate the imaginary-time path integral of a quantum oscillator with a potential that includes both a quadratic term and a quartic term whose coupling is varied by several orders of…

Let $P$ be a Markov kernel on a measurable space $\X$ and let $V:\X\r[1,+\infty)$. This paper provides explicit connections between the $V$-geometric ergodicity of $P$ and that of finite-rank nonnegative sub-Markov kernels $\Pc_k$…

We propose a Markov Chain Monte Carlo (MCMC) algorithm based on Gibbs sampling with parallel tempering to solve nonlinear optimal control problems. The algorithm is applicable to nonlinear systems with dynamics that can be approximately…

We apply Monte Carlo Markov Chain methods to the stellar parameter estimation problem. This technique is useful when dealing with non-linear models and allows to derive realistic error bars on the inferred parameters. We give the first…

We develop a novel advanced Particle Markov chain Monte Carlo algorithm that is capable of sampling from the posterior distribution of non-linear state space models for both the unobserved latent states and the unknown model parameters. We…

Sequential Monte Carlo (SMC) methods, also known as particle filters, are simulation-based recursive algorithms for the approximation of the a posteriori probability measures generated by state-space dynamical models. At any given time $t$,…

Bayesian inference in state-space models is challenging due to high-dimensional state trajectories. A viable approach is particle Markov chain Monte Carlo, combining MCMC and sequential Monte Carlo to form "exact approximations" to…

The concentration profiles of monomers and counterions in star-branched polyelectrolyte micelles are calculated through Monte-Carlo simulations, using the simplest freely-jointed chain model. We have investigated the onset of different…

Adaptive and interacting Markov chain Monte Carlo algorithms (MCMC) have been recently introduced in the literature. These novel simulation algorithms are designed to increase the simulation efficiency to sample complex distributions.…

This paper considers uncertainty quantification for an elliptic nonlocal equation. In particular, it is assumed that the parameters which define the kernel in the nonlocal operator are uncertain and a priori distributed according to a…

Bayesian analysis for Markov jump processes is a non-trivial and challenging problem. Although exact inference is theoretically possible, it is computationally demanding thus its applicability is limited to a small class of problems. In…

Markov Chain Monte Carlo (MCMC) techniques are now widely used for cosmological parameter estimation. Chains are generated to sample the posterior probability distribution obtained following the Bayesian approach. An important issue is how…

In the following article we consider approximate Bayesian parameter inference for observation driven time series models. Such statistical models appear in a wide variety of applications, including econometrics and applied mathematics. This…

Bayesian inference for Markov processes has become increasingly relevant in recent years. Problems of this type often have intractable likelihoods and prior knowledge about model rate parameters is often poor. Markov Chain Monte Carlo…

A novel class of non-reversible Markov chain Monte Carlo schemes relying on continuous-time piecewise-deterministic Markov Processes has recently emerged. In these algorithms, the state of the Markov process evolves according to a…

We design generative neural networks that generate Monte Carlo configurations with complete absence of autocorrelation from which only short Markov chains are needed before making measurements for physical observables, irrespective of the…