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Employing Bayesian inference to calibrate constitutive model parameters has grown substantially in recent years. Among the available techniques, Markov Chain Monte Carlo (MCMC) sampling remains one of the most widely used approaches for…

We address the approximation of functionals depending on a system of particles, described by stochastic differential equations (SDEs), in the mean-field limit when the number of particles approaches infinity. This problem is equivalent to…

Markov chain Monte Carlo (MCMC) methods are foundational algorithms for Bayesian inference and probabilistic modeling. However, most MCMC algorithms are inherently sequential and their time complexity scales linearly with the sequence…

Developing an efficient computational scheme for high-dimensional Bayesian variable selection in generalised linear models and survival models has always been a challenging problem due to the absence of closed-form solutions for the…

Bayesian inference for doubly-intractable pairwise exponential graphical models typically involves variations of the exchange algorithm or approximate Markov chain Monte Carlo (MCMC) samplers. However, existing methods for both classes of…

We present a simulation methodology for Bayesian estimation of rate parameters in Markov jump processes arising for example in stochastic kinetic models. To handle the problem of missing components and measurement errors in observed data,…

Our article deals with Bayesian inference for a general state space model with the simulated likelihood computed by the particle filter. We show empirically that the partially or fully adapted particle filters can be much more efficient…

In the stochastic gradient descent (SGD) for sequential simulations such as the neural stochastic differential equations, the Multilevel Monte Carlo (MLMC) method is known to offer better theoretical computational complexity compared to the…

The generalized linear mixed model (GLMM) is widely used for analyzing correlated data, particularly in large-scale biomedical and social science applications. Scalable Bayesian inference for GLMMs is challenging because the marginal…

We provide performance guarantees for a variant of simulation-based policy iteration for controlling Markov decision processes that involves the use of stochastic approximation algorithms along with state-of-the-art techniques that are…

In simulation-based inferences for partially observed Markov process models (POMP), the by-product of the Monte Carlo filtering is an approximation of the log likelihood function. Recently, iterated filtering [14, 13] has originally been…

Markov chain Monte Carlo (MCMC) algorithms have become powerful tools for Bayesian inference. However, they do not scale well to large-data problems. Divide-and-conquer strategies, which split the data into batches and, for each batch, run…

We introduce a new micro-macro Markov chain Monte Carlo method (mM-MCMC) with indirect reconstruction to sample invariant distributions of molecular dynamics systems that exhibit a time-scale separation between the microscopic (fast)…

We propose a new class of learning algorithms that combines variational approximation and Markov chain Monte Carlo (MCMC) simulation. Naive algorithms that use the variational approximation as proposal distribution can perform poorly…

Markov Chain Monte Carlo (MCMC) and Belief Propagation (BP) are the most popular algorithms for computational inference in Graphical Models (GM). In principle, MCMC is an exact probabilistic method which, however, often suffers from…

Reversible jump Markov chain Monte Carlo (RJMCMC) proposals that achieve reasonable acceptance rates and mixing are notoriously difficult to design in most applications. Inspired by recent advances in deep neural network-based normalizing…

Markov chain Monte Carlo (MCMC) is an established approach for uncertainty quantification and propagation in scientific applications. A key challenge in applying MCMC to scientific domains is computation: the target density of interest is…

We propose a novel Continuation Multi Level Monte Carlo (CMLMC) algorithm for weak approximation of stochastic models. The CMLMC algorithm solves the given approximation problem for a sequence of decreasing tolerances, ending when the…

Applying standard Markov chain Monte Carlo (MCMC) algorithms to large data sets is computationally expensive. Both the calculation of the acceptance probability and the creation of informed proposals usually require an iteration through the…

Bernoulli factory MCMC algorithms implement accept-reject Markov chains without explicit computation of acceptance probabilities, and are used to target posterior distributions associated with intractable likelihood models. Intractable…