Related papers: Minimum-Variance Importance-Sampling Bernoulli Est…

Change point detection plays a fundamental role in many real-world applications, where the goal is to analyze and monitor the behaviour of a data stream. In this paper, we study change detection in binary streams. To this end, we use a…

The problem of blind identification of channel codes at a receiver involves identifying a code chosen by a transmitter from a known code-family, by observing the transmitted codewords through the channel. Most existing approaches for…

We propose a simulated annealing algorithm (called SNICA for "stochastic non-negative independent component analysis") for blind decomposition of linear mixtures of non-negative sources with non-negative coefficients. The de-mixing is based…

Minimum Bayes-risk (MBR) decoding has recently gained renewed attention in text generation. MBR decoding considers texts sampled from a model as pseudo-references and selects the text with the highest similarity to the others. Therefore,…

The Bayesian estimation of the unknown parameters of state-space (dynamical) systems has received considerable attention over the past decade, with a handful of powerful algorithms being introduced. In this paper we tackle the theoretical…

Accept-reject based Markov chain Monte Carlo (MCMC) methods are the workhorse algorithm for Bayesian inference. These algorithms, like Metropolis-Hastings, require choosing a proposal distribution which is typically informed by the desired…

Accurate approximation of the sampling distribution of nonparametric kernel density estimators is crucial for many statistical inference problems. Since these estimators have complex asymptotic distributions, bootstrap methods are often…

We consider $N$ Bernoulli random variables, which are independent conditional on a common random factor determining their probability distribution. We show that certain expected functionals of the proportion $L_N$ of variables in a given…

We propose to use deep neural networks for generating samples in Monte Carlo integration. Our work is based on non-linear independent components estimation (NICE), which we extend in numerous ways to improve performance and enable its…

We introduce a new Markov chain Monte Carlo (MCMC) sampler called the Markov Interacting Importance Sampler (MIIS). The MIIS sampler uses conditional importance sampling (IS) approximations to jointly sample the current state of the Markov…

In Part I (arXiv:1911.00619) of this article, we proposed an importance sampling algorithm to compute rare-event probabilities in forward uncertainty quantification problems. The algorithm, which we termed the "Bayesian Inverse Monte Carlo…

We consider a problem of statistical mean estimation in which the samples are not observed directly, but are instead observed by a relay (``teacher'') that transmits information through a memoryless channel to the decoder (``student''), who…

This paper derives the analytical solution of a novel distributed node-specific block-diagonal linearly constrained minimum variance beamformer from the centralized linearly constrained minimum variance (LCMV) beamformer when considering…

We consider the problem of estimating rare event probabilities, focusing on systems whose evolution is governed by differential equations with uncertain input parameters. If the system dynamics is expensive to compute, standard sampling…

The problem of estimating the probability p=P(g(X<0) is considered when X represents a multivariate stochastic input of a monotone function g. First, a heuristic method to bound p is formally described, involving a specialized design of…

Thanks to its superior features of fast read/write speed and low power consumption, spin-torque transfer magnetic random access memory (STT-MRAM) has become a promising non-volatile memory (NVM) technology that is suitable for many…

Bayesian neural networks (BNNs) have received an increased interest in the last years. In BNNs, a complete posterior distribution of the unknown weight and bias parameters of the network is produced during the training stage. This…

Quantum mechanics for many-body systems may be reduced to the evaluation of integrals in 3N dimensions using Monte-Carlo, providing the Quantum Monte Carlo ab initio methods. Here we limit ourselves to expectation values for trial…

We describe an adaptive importance sampling algorithm for rare events that is based on a dual stochastic control formulation of a path sampling problem. Specifically, we focus on path functionals that have the form of cumulate generating…

Importance sampling is a widely used technique to reduce the variance of a Monte Carlo estimator by an appropriate change of measure. In this work, we study importance sam- pling in the framework of diffusion process and consider the change…