Related papers: Driving Markov chain Monte Carlo with a dependent …
The trace of a matrix function f(A), most notably of the matrix inverse, can be estimated stochastically using samples< x,f(A)x> if the components of the random vectors x obey an appropriate probability distribution. However such a…
Generating random variates from high-dimensional distributions is often done approximately using Markov chain Monte Carlo. In certain cases, perfect simulation algorithms exist that allow one to draw exactly from the stationary…
It has become increasingly easy nowadays to collect approximate posterior samples via fast algorithms such as variational Bayes, but concerns exist about the estimation accuracy. It is tempting to build solutions that exploit approximate…
Although multivariate count data are routinely collected in many application areas, there is surprisingly little work developing flexible models for characterizing their dependence structure. This is particularly true when interest focuses…
A Markov chain update scheme using a machine-learned flow-based generative model is proposed for Monte Carlo sampling in lattice field theories. The generative model may be optimized (trained) to produce samples from a distribution…
A number of algorithms have been developed to solve probabilistic inference problems on belief networks. These algorithms can be divided into two main groups: exact techniques which exploit the conditional independence revealed when the…
In many situations it is important to be able to propose $N$ independent realizations of a given distribution law. We propose a strategy for making $N$ parallel Monte Carlo Markov Chains (MCMC) interact in order to get an approximation of…
Posterior sampling is a task of central importance in Bayesian inference. For many applications in Bayesian meta-analysis and Bayesian transfer learning, the prior distribution is unknown and needs to be estimated from samples. In practice,…
We present a new method for simulating Markovian jump processes with time-dependent transitions rates, which avoids the transformation of random numbers by inverting time integrals over the rates. It relies on constructing a sequence of…
Sampling from posterior distributions using Markov chain Monte Carlo (MCMC) methods can require an exhaustive number of iterations, particularly when the posterior is multi-modal as the MCMC sampler can become trapped in a local mode for a…
Numerical Generalized Randomized Hamiltonian Monte Carlo is introduced, as a robust, easy to use and computationally fast alternative to conventional Markov chain Monte Carlo methods for continuous target distributions. A wide class of…
We introduce a general Monte Carlo method based on Nested Sampling (NS), for sampling complex probability distributions and estimating the normalising constant. The method uses one or more particles, which explore a mixture of nested…
Markov chain Monte Carlo (MCMC) simulations are modeled as driven by true random numbers. We consider variance bounding Markov chains driven by a deterministic sequence of numbers. The star-discrepancy provides a measure of efficiency of…
Markov chain Monte Carlo methods are central in computational statistics, and typically rely on detailed balance to ensure invariance with respect to a target distribution. Although straightforward to construct by Metropolization, this can…
High-quality random samples of quantum states are needed for a variety of tasks in quantum information and quantum computation. Searching the high-dimensional quantum state space for a global maximum of an objective function with many local…
We propose a new framework for how to use sequential Monte Carlo (SMC) algorithms for inference in probabilistic graphical models (PGM). Via a sequential decomposition of the PGM we find a sequence of auxiliary distributions defined on a…
Recent advances in machine learning have led to the development of new methods for enhancing Monte Carlo methods such as Markov chain Monte Carlo (MCMC) and importance sampling (IS). One such method is normalizing flows, which use a neural…
Adaptive Markov chain Monte Carlo (MCMC) algorithms, which automatically tune their parameters based on past samples, have proved extremely useful in practice. The self-tuning mechanism makes them `non-Markovian', which means that their…
We devise a Monte Carlo based method for detecting whether a non-negative Markov chain is stable for a given set of parameter values. More precisely, for a given subset of the parameter space, we develop an algorithm that is capable of…
Closed-form stochastic filtering equations can be derived in a general setting where probability distributions are replaced by some specific outer measures. In this article, we study how the principles of the sequential Monte Carlo method…