Related papers: Particle Gibbs with Ancestor Sampling

We here consider the subset simulation method which approaches a failure event using a decreasing sequence of nested intermediate failure events. The method resembles importance sampling, which actively explores a probability space by…

Switching dynamical systems are an expressive model class for the analysis of time-series data. As in many fields within the natural and engineering sciences, the systems under study typically evolve continuously in time, it is natural to…

Gaussian processes (GPs) are commonly used for prediction and inference for spatial data analyses. However, since estimation and prediction tasks have cubic time and quadratic memory complexity in number of locations, GPs are difficult to…

Sequential Monte Carlo (SMC) algorithms were originally designed for estimating intractable conditional expectations within state-space models, but are now routinely used to generate approximate samples in the context of general-purpose…

This paper introduces a concept of approximate spectral gap to analyze the mixing time of Markov Chain Monte Carlo (MCMC) algorithms for which the usual spectral gap is degenerate or almost degenerate. We use the idea to analyze a class of…

Dirichlet Process Mixture Models (DPMMs) are widely used to address clustering problems. Their main advantage lies in their ability to automatically estimate the number of clusters during the inference process through the Bayesian…

Non-linear state-space models, also known as general hidden Markov models, are ubiquitous in statistical machine learning, being the most classical generative models for serial data and sequences in general. The particle-based, rapid…

Bayesian phylogenetic inference is often conducted via local or sequential search over topologies and branch lengths using algorithms such as random-walk Markov chain Monte Carlo (MCMC) or Combinatorial Sequential Monte Carlo (CSMC).…

Partial Bayesian neural networks (pBNNs) have been shown to perform competitively with fully Bayesian neural networks while only having a subset of the parameters be stochastic. Using sequential Monte Carlo (SMC) samplers as the inference…

Performing numerical integration when the integrand itself cannot be evaluated point-wise is a challenging task that arises in statistical analysis, notably in Bayesian inference for models with intractable likelihood functions. Markov…

Particle MCMC is a class of algorithms that can be used to analyse state-space models. They use MCMC moves to update the parameters of the models, and particle filters to propose values for the path of the state-space model. Currently the…

The analysis of data from gravitational wave detectors can be divided into three phases: search, characterization, and evaluation. The evaluation of the detection - determining whether a candidate event is astrophysical in origin or some…

Global fits of physics models require efficient methods for exploring high-dimensional and/or multimodal posterior functions. We introduce a novel method for accelerating Markov Chain Monte Carlo (MCMC) sampling by pairing a…

Cognitive diagnosis models (CDMs) are useful statistical tools to provide rich information relevant for intervention and learning. As a popular approach to estimate and make inference of CDMs, the Markov chain Monte Carlo (MCMC) algorithm…

We present an original simulation-based method to estimate likelihood ratios efficiently for general state-space models. Our method relies on a novel use of the conditional Sequential Monte Carlo (cSMC) algorithm introduced in…

This paper introduces the R package sgmcmc; which can be used for Bayesian inference on problems with large datasets using stochastic gradient Markov chain Monte Carlo (SGMCMC). Traditional Markov chain Monte Carlo (MCMC) methods, such as…

We propose a unifying view of two different Bayesian inference algorithms, Stochastic Gradient Markov Chain Monte Carlo (SG-MCMC) and Stein Variational Gradient Descent (SVGD), leading to improved and efficient novel sampling schemes. We…

In the past decade, many Bayesian shrinkage models have been developed for linear regression problems where the number of covariates, $p$, is large. Computing the intractable posterior are often done with three-block Gibbs samplers (3BG),…

An intriguing new class of piecewise deterministic Markov processes (PDMPs) has recently been proposed as an alternative to Markov chain Monte Carlo (MCMC). In order to facilitate the application to a larger class of problems, we propose a…

Markov chain Monte Carlo (MCMC) algorithms are generally regarded as the gold standard technique for Bayesian inference. They are theoretically well-understood and conceptually simple to apply in practice. The drawback of MCMC is that in…