Related papers: Convergence Rates for Hierarchical Gibbs Samplers
We consider a stochastic image restoration model proposed by A. Gibbs (2004), and give an upper bound on the time it takes for a Markov chain defined by this model to be \epsilon - close in total variation to equilibrium. We use Gibbs'…
The Gibbs sampler (a.k.a. Glauber dynamics and heat-bath algorithm) is a popular Markov Chain Monte Carlo algorithm which iteratively samples from the conditional distributions of a probability measure $\pi$ of interest. Under the…
Herding is a technique to sequentially generate deterministic samples from a probability distribution. In this work, we propose a continuous herded Gibbs sampler that combines kernel herding on continuous densities with the Gibbs sampling…
The Bayesian evidence, crucial ingredient for model selection, is arguably the most important quantity in Bayesian data analysis: at the same time, however, it is also one of the most difficult to compute. In this paper we present a…
Finite mixture models are frequently used to uncover latent structures in high-dimensional datasets (e.g.\ identifying clusters of patients in electronic health records). The inference of such structures can be performed in a Bayesian…
The popularity of Adaptive MCMC has been fueled on the one hand by its success in applications, and on the other hand, by mathematically appealing and computationally straightforward optimisation criteria for the Metropolis algorithm…
This article focuses on Bayesian estimation of a hierarchical linear model (HLM) from incomplete data assumed missing at random where continuous covariates C and discrete categorical covariates $D$ have interaction effects on a continuous…
Approximate Bayesian computation methods are useful for generative models with intractable likelihoods. These methods are however sensitive to the dimension of the parameter space, requiring exponentially increasing resources as this…
The gapped local alignment score of two random sequences follows a Gumbel distribution. If computers could estimate the parameters of the Gumbel distribution within one second, the use of arbitrary alignment scoring schemes could increase…
We study the convergence rates of empirical Bayes posterior distributions for nonparametric and high-dimensional inference. We show that as long as the hyperparameter set is discrete, the empirical Bayes posterior distribution induced by…
Gibbs sampling is a common procedure used to fit finite mixture models. However, it is known to be slow to converge when exploring correlated regions of a parameter space and so blocking correlated parameters is sometimes implemented in…
We study the convergence of a random iterative sequence of a family of operators on infinite dimensional Hilbert spaces, inspired by the Stochastic Gradient Descent (SGD) algorithm in the case of the noiseless regression, as studied in [1].…
We present a Bayesian scheme for the approximate diagonalisation of several square matrices which are not necessarily symmetric. A Gibbs sampler is derived to simulate samples of the common eigenvectors and the eigenvalues for these…
Hierarchical structures, which include multiple levels, are prevalent in statistical and machine-learning models as well as physical systems. Extending the foundational result that the maximum entropy distribution under mean constraints is…
Bayesian shrinkage methods have generated a lot of recent interest as tools for high-dimensional regression and model selection. These methods naturally facilitate tractable uncertainty quantification and incorporation of prior information.…
This work is concerned with the convergence of Gaussian process regression. A particular focus is on hierarchical Gaussian process regression, where hyper-parameters appearing in the mean and covariance structure of the Gaussian process…
Posterior computation in hierarchical Dirichlet process (HDP) mixture models is an active area of research in nonparametric Bayes inference of grouped data. Existing literature almost exclusively focuses on the Chinese restaurant franchise…
The rate of convergence of weighted kernel herding (WKH) and sequential Bayesian quadrature (SBQ), two kernel-based sampling algorithms for estimating integrals with respect to some target probability measure, is investigated. Under…
Variational inference methods for latent variable statistical models have gained popularity because they are relatively fast, can handle large data sets, and have deterministic convergence guarantees. However, in practice it is unclear…
Selecting between different dependency structures of hidden Markov random field can be very challenging, due to the intractable normalizing constant in the likelihood. We answer this question with approximate Bayesian computation (ABC)…