Related papers: Spherical Hamiltonian Monte Carlo for Constrained …

Hamiltonian Monte Carlo has emerged as a standard tool for posterior computation. In this article, we present an extension that can efficiently explore target distributions with discontinuous densities. Our extension in particular enables…

Markov Chain Monte Carlo (MCMC) algorithms play an important role in statistical inference problems dealing with intractable probability distributions. Recently, many MCMC algorithms such as Hamiltonian Monte Carlo (HMC) and Riemannian…

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…

Monte Carlo algorithms, such as Markov chain Monte Carlo (MCMC) and Hamiltonian Monte Carlo (HMC), are routinely used for Bayesian inference in generalized linear models; however, these algorithms are prohibitively slow in massive data…

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…

Stochastic billiards can be used for approximate sampling from the boundary of a bounded convex set through the Markov Chain Monte Carlo (MCMC) paradigm. This paper studies how many steps of the underlying Markov chain are required to get…

Markov Chain Monte Carlo (MCMC) methods are employed to sample from a given distribution of interest, whenever either the distribution does not exist in closed form, or, if it does, no efficient method to simulate an independent sample from…

This paper considers a new approach to using Markov chain Monte Carlo (MCMC) in contexts where one may adopt multilevel (ML) Monte Carlo. The underlying problem is to approximate expectations w.r.t. an underlying probability measure that is…

Sequential Monte Carlo methods, also known as particle methods, are a popular set of techniques for approximating high-dimensional probability distributions and their normalizing constants. These methods have found numerous applications in…

Sequential Monte Carlo (SMC) is a methodology for sampling approximately from a sequence of probability distributions of increasing dimension and estimating their normalizing constants. We propose here an alternative methodology named…

The Monte Carlo within Metropolis (MCwM) algorithm, interpreted as a perturbed Metropolis-Hastings (MH) algorithm, provides an approach for approximate sampling when the target distribution is intractable. Assuming the unperturbed Markov…

Propagation of charged cosmic-rays in the Galaxy depends on the transport parameters, whose number can be large depending on the propagation model under scrutiny. A standard approach for determining these parameters is a manual scan,…

We present a new framework to derandomise certain Markov chain Monte Carlo (MCMC) algorithms. As in MCMC, we first reduce counting problems to sampling from a sequence of marginal distributions. For the latter task, we introduce a method…

In Hamiltonian Monte Carlo sampling, the shape of the potential and the choice of the momentum distribution jointly give rise to the Hamiltonian dynamics of the sampler. An efficient sampler propagates quickly in all regions of the…

Due to its constrained support, the Dirichlet distribution is uniquely suited to many applications. The constraints that make it powerful, however, can also hinder practical implementations, particularly those utilizing Markov Chain Monte…

Sequential Monte Carlo (SMC), or particle filtering, is widely used in nonlinear state-space systems, but its performance often suffers from poorly approximated proposal and state-transition distributions. This work introduces a…

We propose a Markov chain Monte Carlo (MCMC) algorithm based on third-order Langevin dynamics for sampling from distributions with log-concave and smooth densities. The higher-order dynamics allow for more flexible discretization schemes,…

Constrained decoding enables Language Models (LMs) to produce samples that provably satisfy hard constraints. However, existing constrained-decoding approaches often distort the underlying model distribution, a limitation that is especially…

The Markov Chain Monte Carlo (MCMC) algorithm is a widely recognised as an efficient method for sampling a specified posterior distribution. However, when the posterior is multi-modal, conventional MCMC algorithms either tend to become…

Particle Markov Chain Monte Carlo (PMCMC) is a general computational approach to Bayesian inference for general state space models. Our article scales up PMCMC in terms of the number of observations and parameters by generating the…