Related papers: Improved Adaptive Rejection Metropolis Sampling Al…
In recent years, Cross-Modal Hashing (CMH) has aroused much attention due to its fast query speed and efficient storage. Previous literatures have achieved promising results for Cross-Modal Retrieval (CMR) by discovering discriminative hash…
Scaling of proposals for Metropolis algorithms is an important practical problem in MCMC implementation. Criteria for scaling based on empirical acceptance rates of algorithms have been found to work consistently well across a broad range…
The Adaptive Multiple Importance Sampling (AMIS) algorithm is aimed at an optimal recycling of past simulations in an iterated importance sampling scheme. The difference with earlier adaptive importance sampling implementations like…
Markov Chain Monte Carlo (MCMC) sampling methods are widely used but often encounter either slow convergence or biased sampling when applied to multimodal high dimensional distributions. In this paper, we present a general framework of…
We develop a modular approach to Markov chain Monte Carlo (MCMC) sampling for unnormalized target densities. In this approach, Markov chains are constructed in parallel, each constrained to a subset of the target space. The Monte Carlo…
This paper presents an advancement to an approach for model-independent surrogate-based optimization with adaptive batch sampling, known as Adaptive Model Refinement (AMR). While the original AMR method provides unique decisions with…
We develop a novel Markov chain Monte Carlo (MCMC) method that exploits a hierarchy of models of increasing complexity to efficiently generate samples from an unnormalized target distribution. Broadly, the method rewrites the Multilevel…
Markov chain Monte Carlo methods have become popular in statistics as versatile techniques to sample from complicated probability distributions. In this work, we propose a method to parameterize and train transition kernels of Markov chains…
Delayed-acceptance Metropolis-Hastings and delayed-acceptance pseudo-marginal Metropolis-Hastings algorithms can be applied when it is computationally expensive to calculate the true posterior or an unbiased stochastic approximation…
The computation of Bayesian estimates of system parameters and functions of them on the basis of observed system performance data is a common problem within system identification. This is a previously studied issue where stochastic…
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesian CVAR models, involving griddy Gibbs,…
In applications of Gaussian processes where quantification of uncertainty is a strict requirement, it is necessary to accurately characterize the posterior distribution over Gaussian process covariance parameters. Normally, this is done by…
Among Monte Carlo techniques, the importance sampling requires fine tuning of a proposal distribution, which is now fluently resolved through iterative schemes. The Adaptive Multiple Importance Sampling (AMIS) of Cornuet et al. (2012)…
In parameter estimation problems one computes a posterior distribution over uncertain parameters defined jointly by a prior distribution, a model, and noisy data. Markov Chain Monte Carlo (MCMC) is often used for the numerical solution of…
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…
Particle Markov Chain Monte Carlo methods are used to carry out inference in non-linear and non-Gaussian state space models, where the posterior density of the states is approximated using particles. Current approaches usually perform…
Bayesian inference promises to ground and improve the performance of deep neural networks. It promises to be robust to overfitting, to simplify the training procedure and the space of hyperparameters, and to provide a calibrated measure of…
Protein structure prediction is a critical problem linked to drug design, mutation detection, and protein synthesis, among other applications. To this end, evolutionary data has been used to build contact maps which are traditionally…
Markov Chain Monte Carlo (MCMC) is a well-established family of algorithms primarily used in Bayesian statistics to sample from a target distribution when direct sampling is challenging. Existing work on Bayesian decision trees uses MCMC.…
Markov Chain Monte Carlo (MCMC) is a class of algorithms to sample complex and high-dimensional probability distributions. The Metropolis-Hastings (MH) algorithm, the workhorse of MCMC, provides a simple recipe to construct reversible…