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Parameter inference is a fundamental problem in data-driven modeling. Given observed data that is believed to be a realization of some parameterized model, the aim is to find parameter values that are able to explain the observed data. In…

The sampling efficiency of MCMC methods in Bayesian inference for stochastic volatility (SV) models is known to highly depend on the actual parameter values, and the effectiveness of samplers based on different parameterizations varies…

We consider the efficient use of an approximation within Markov chain Monte Carlo (MCMC), with subsequent importance sampling (IS) correction of the Markov chain inexact output, leading to asymptotically exact inference. We detail…

Stochastic sampling algorithms, while an attractive alternative to exact algorithms in very large Bayesian network models, have been observed to perform poorly in evidential reasoning with extremely unlikely evidence. To address this…

We propose a novel approach to perform approximate Bayesian inference in complex models such as Bayesian neural networks. The approach is more scalable to large data than Markov Chain Monte Carlo, it embraces more expressive models than…

The Bayesian approach to inference stands out for naturally allowing borrowing information across heterogeneous populations, with different samples possibly sharing the same distribution. A popular Bayesian nonparametric model for…

Standard deep neural networks (DNNs) are commonly trained in an end-to-end fashion for specific tasks such as object recognition, face identification, or character recognition, among many examples. This specificity often leads to…

We consider the problem of Bayesian parameter estimation for deep neural networks, which is important in problem settings where we may have little data, and/ or where we need accurate posterior predictive densities, e.g., for applications…

Approximate Bayesian inference on the basis of summary statistics is well-suited to complex problems for which the likelihood is either mathematically or computationally intractable. However the methods that use rejection suffer from the…

In this paper we address the problem of performing Bayesian inference for the parameters of a nonlinear multi-output model and the covariance matrix of the different output signals. We propose an adaptive importance sampling (AIS) scheme…

The posterior over Bayesian neural network (BNN) parameters is extremely high-dimensional and non-convex. For computational reasons, researchers approximate this posterior using inexpensive mini-batch methods such as mean-field variational…

Bayesian analysis often concerns an evaluation of models with different dimensionality as is necessary in, for example, model selection or mixture models. To facilitate this evaluation, transdimensional Markov chain Monte Carlo (MCMC)…

Factors models are routinely used to analyze high-dimensional data in both single-study and multi-study settings. Bayesian inference for such models relies on Markov Chain Monte Carlo (MCMC) methods which scale poorly as the number of…

Metropolis nested sampling evolves a Markov chain from a current livepoint and accepts new points along the chain according to a version of the Metropolis acceptance ratio modified to satisfy the likelihood constraint, characteristic of…

In many applications, Bayesian inverse problems can give rise to probability distributions which contain complexities due to the Hessian varying greatly across parameter space. This complexity often manifests itself as lower dimensional…

Sample-based Bayesian inference provides a route to uncertainty quantification in the geosciences, and inverse problems in general, though is very computationally demanding in the naive form that requires simulating an accurate computer…

Frequentist and likelihood methods of inference based on the multivariate skew-normal model encounter several technical difficulties with this model. In spite of the popularity of this class of densities, there are no broadly satisfactory…

Deep neural networks (DNNs) have made a revolution in numerous fields during the last decade. However, in tasks with high safety requirements, such as medical or autonomous driving applications, providing an assessment of the models…

Bayesian max-margin models have shown superiority in various practical applications, such as text categorization, collaborative prediction, social network link prediction and crowdsourcing, and they conjoin the flexibility of Bayesian…

Bayesian methods have proved powerful in many applications for the inference of model parameters from data. These methods are based on Bayes' theorem, which itself is deceptively simple. However, in practice the computations required are…