Related papers: Intracluster Moves for Constrained Discrete-Space …
We consider the task of MCMC sampling from a distribution defined on a discrete space. Building on recent insights provided in [Zan19], we devise a class of efficient continuous-time, non-reversible algorithms which make active use of the…
Markov chain Monte Carlo methods have become standard tools in statistics to sample from complex probability measures. Many available techniques rely on discrete-time reversible Markov chains whose transition kernels build up over the…
Inference after model selection presents computational challenges when dealing with intractable conditional distributions. Markov chain Monte Carlo (MCMC) is a common method for sampling from these distributions, but its slow convergence…
We introduce a Markov Chain Monte Carlo (MCMC) algorithm to generate samples from probability distributions supported on a $d$-dimensional lattice $\Lambda = \mathbf{B}\mathbb{Z}^d$, where $\mathbf{B}$ is a full-rank matrix. Specifically,…
We explain the fundamental challenges of sampling from multimodal distributions, particularly for high-dimensional problems. We present the major types of MCMC algorithms that are designed for this purpose, including parallel tempering,…
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…
Markov chain Monte Carlo (MCMC) methods have existed for a long time and the field is well-explored. The purpose of MCMC methods is to approximate a distribution through repeated sampling; most MCMC algorithms exhibit asymptotically optimal…
In this paper we consider fully Bayesian inference in general state space models. Existing particle Markov chain Monte Carlo (MCMC) algorithms use an augmented model that takes into account all the variable sampled in a sequential Monte…
We describe an MCMC method for sampling distributions with soft constraints, which are constraints that are almost but not exactly satisfied. We sample a total distribution that is a convex combination of the target soft distribution with…
An easy-to-implement form of the Metropolis Algorithm is described which, unlike most standard techniques, is well suited to sampling from multi-modal distributions on spaces with moderate numbers of dimensions (order ten) in environments…
Markov chain Monte Carlo (MCMC) algorithms are indispensable when sampling from a complex, high-dimensional distribution by a conventional method is intractable. Even though MCMC is a powerful tool, it is also hard to control and tune in…
Markov chain Monte Carlo (MCMC) methods are widely used in machine learning. One of the major problems with MCMC is the question of how to design chains that mix fast over the whole state space; in particular, how to select the parameters…
An efficient MCMC algorithm is presented to cluster the nodes of a network such that nodes with similar role in the network are clustered together. This is known as block-modelling or block-clustering. The model is the stochastic blockmodel…
For Bayesian computation in big data contexts, the divide-and-conquer MCMC concept splits the whole data set into batches, runs MCMC algorithms separately over each batch to produce samples of parameters, and combines them to produce an…
A defining feature of sampling-based motion planning is the reliance on an implicit representation of the state space, which is enabled by a set of probing samples. Traditionally, these samples are drawn either probabilistically or…
Ising formulations are widely utilized to solve combinatorial optimization problems, and a variety of quantum or semiconductor-based hardware has recently been made available. In combinatorial optimization problems, the existence of local…
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…
Traditional MCMC algorithms are computationally intensive and do not scale well to large data. In particular, the Metropolis-Hastings (MH) algorithm requires passing over the entire dataset to evaluate the likelihood ratio in each…
In this paper, we propose a novel class of Piecewise Deterministic Markov Processes (PDMPs) that are designed to sample from probability distributions $\pi$ supported on a convex set $\mathcal{M}$. This class of PDMPs adapts the concept of…
A state-space model is a time-series model that has an unobserved latent process from which we take noisy measurements over time. The observations are conditionally independent given the latent process and the latent process itself is…