Related papers: MCMC for Hierarchical Semi-Markov Conditional Rand…

Inference for Dirichlet process hierarchical models is typically performed using Markov chain Monte Carlo methods, which can be roughly categorised into marginal and conditional methods. The former integrate out analytically the…

We introduce the Hamming Ball Sampler, a novel Markov Chain Monte Carlo algorithm, for efficient inference in statistical models involving high-dimensional discrete state spaces. The sampling scheme uses an auxiliary variable construction…

We develop a new algorithm for the estimation of rare event probabilities associated with the steady-state of a Markov stochastic process with continuous state space $\mathbb R^d$ and discrete time steps (i.e. a discrete-time $\mathbb…

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…

A novel computationally efficient Markov chain Monte Carlo (MCMC) scheme for latent Gaussian models (LGMs) is proposed in this paper. The sampling scheme is a two block Gibbs sampling scheme designed to exploit the model structure of LGMs.…

Detecting broken time-reversibility at micro- and nanoscale is often difficult when experiments offer limited state resolution. We introduce a lumping method that builds an effective semi-Markov model able to reproduce exactly the full…

Since Hamming distances can be calculated by bitwise computations, they can be calculated with less computational load than L2 distances. Similarity searches can therefore be performed faster in Hamming distance space. The elements of…

Statistical inference methods are fundamentally important in machine learning. Most state-of-the-art inference algorithms are variants of Markov chain Monte Carlo (MCMC) or variational inference (VI). However, both methods struggle with…

Hamiltonian Monte Carlo (HMC) is a powerful Markov Chain Monte Carlo (MCMC) method for sampling from complex high-dimensional continuous distributions. However, in many situations it is necessary or desirable to combine HMC with other…

Monte Carlo algorithms simulate some prescribed number of samples, taking some random real time to complete the computations necessary. This work considers the converse: to impose a real-time budget on the computation, which results in the…

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…

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…

Generative artificial intelligence (AI) has made unprecedented advances in vision language models over the past two years. During the generative process, new samples (images) are generated from an unknown high-dimensional distribution.…

A state-space model is a time-series model that has an unobserved latent process from which we take noisy measurements over time. The observations are conditionally independent given the latent process and the latent process itself is…

Cyclical MCMC is a novel MCMC framework recently proposed by Zhang et al. (2019) to address the challenge posed by high-dimensional multimodal posterior distributions like those arising in deep learning. The algorithm works by generating a…

Restricted Boltzmann machines (RBMs) are powerful machine learning models, but learning and some kinds of inference in the model require sampling-based approximations, which, in classical digital computers, are implemented using expensive…

MCMC methods (Monte Carlo Markov Chain) are a class of methods used to perform simulations per a probability distribution $P$. These methods are often used when we have difficulties to directly sample per a given probability distribution…

Markov chain Monte Carlo (MCMC) provides a feasible method for inferring Hidden Markov models, however, it is often computationally prohibitive, especially constrained by the curse of dimensionality, as the Monte Carlo sampler traverses…

Markov Chain Monte Carlo (MCMC) techniques are now widely used for cosmological parameter estimation. Chains are generated to sample the posterior probability distribution obtained following the Bayesian approach. An important issue is how…

The modern scale of data has brought new challenges to Bayesian inference. In particular, conventional MCMC algorithms are computationally very expensive for large data sets. A promising approach to solve this problem is embarrassingly…