Related papers: Efficient computational strategies for doubly intr…

Bayesian methods and their implementations by means of sophisticated Monte Carlo techniques, such as Markov chain Monte Carlo (MCMC) and particle filters, have become very popular in signal processing over the last years. However, in many…

Bayesian inference in deep neural networks is challenging due to the high-dimensional, strongly multi-modal parameter posterior density landscape. Markov chain Monte Carlo approaches asymptotically recover the true posterior but are…

Collected data, which is used for analysis or prediction tasks, often have a hierarchical structure, for example, data from various people performing the same task. Modeling the data's structure can improve the reliability of the derived…

To sample from a given target distribution, Markov chain Monte Carlo (MCMC) sampling relies on constructing an ergodic Markov chain with the target distribution as its invariant measure. For any MCMC method, an important question is how to…

This paper considers Bayesian parameter estimation of dynamic systems using a Markov Chain Monte Carlo (MCMC) approach. The Metroplis-Hastings (MH) algorithm is employed, and the main contribution of the paper is to examine and illustrate…

We propose a method to construct a proposal density for the Metropolis-Hastings algorithm in Markov Chain Monte Carlo (MCMC) simulations of the GARCH model. The proposal density is constructed adaptively by using the data sampled by the…

Doubly intractable distributions arise in many settings, for example in Markov models for point processes and exponential random graph models for networks. Bayesian inference for these models is challenging because they involve intractable…

There has been considerable interest in designing Markov chain Monte Carlo algorithms by exploiting numerical methods for Langevin dynamics, which includes Hamiltonian dynamics as a deterministic case. A prominent approach is Hamiltonian…

In this study, we investigate the performance of the Metropolis-adjusted Langevin algorithm in a setting with constraints on the support of the target distribution. We provide a rigorous analysis of the resulting Markov chain, establishing…

This work is driven by the ubiquitous dissent over the abilities and contributions of the Metropolis-Hastings and reversible jump algorithm within the context of trans dimensional sampling. We demystify this topic by taking a deeper look…

The classical Metropolis-Hastings (MH) algorithm can be extended to generate non-reversible Markov chains. This is achieved by means of a modification of the acceptance probability, using the notion of vorticity matrix. The resulting Markov…

The Metropolis-Hastings algorithm is a fundamental Markov chain Monte Carlo (MCMC) method for sampling and inference. With the advent of Big Data, distributed and parallel variants of MCMC methods are attracting increased attention. In this…

We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies (Yu and Meng, Journal of Computational…

The purpose of this paper is to introduce a new Markov chain Monte Carlo method and exhibit its efficiency by simulation and high-dimensional asymptotic theory. Key fact is that our algorithm has a reversible proposal transition kernel,…

In various industrial contexts, estimating the distribution of unobserved random vectors Xi from some noisy indirect observations H(Xi) + Ui is required. If the relation between Xi and the quantity H(Xi), measured with the error Ui, is…

We introduce a novel combination of Bayesian Models (BMs) and Neural Networks (NNs) for making predictions with a minimum expected risk. Our approach combines the best of both worlds, the data efficiency and interpretability of a BM with…

Bayesian Decision Trees (DTs) are generally considered a more advanced and accurate model than a regular Decision Tree (DT) because they can handle complex and uncertain data. Existing work on Bayesian DTs uses Markov Chain Monte Carlo…

We construct an adaptive independent Metropolis-Hastings sampler that uses a mixture of normals as a proposal distribution. To take full advantage of the potential of adaptive sampling our algorithm updates the mixture of normals…

We consider the optimal scaling problem for high-dimensional random walk Metropolis (RWM) algorithms where the target distribution has a discontinuous probability density function. Almost all previous analysis has focused upon continuous…

Sequential optimization methods are often confronted with the curse of dimensionality in high-dimensional spaces. Current approaches under the Gaussian process framework are still burdened by the computational complexity of tracking…