Related papers: Normalizations of the Proposal Density in Markov C…
In order to construct accurate proposers for Metropolis-Hastings Markov Chain Monte Carlo, we integrate ideas from probabilistic graphical models and neural networks in an open-source framework we call Lightweight Inference Compilation…
Various Markov chain Monte Carlo (MCMC) methods are studied to improve upon random walk Metropolis sampling, for simulation from complex distributions. Examples include Metropolis-adjusted Langevin algorithms, Hamiltonian Monte Carlo, and…
We compare convergence rates of Metropolis--Hastings chains to multi-modal target distributions when the proposal distributions can be of ``local'' and ``small world'' type. In particular, we show that by adding occasional long-range jumps…
Global search and optimization of long-duration, low-thrust spacecraft trajectories with the indirect method is challenging due to a complex solution space and the difficulty of generating good initial guesses for the costate variables.…
The Metropolis algorithm is a Markov chain Monte Carlo (MCMC) algorithm used to simulate from parameter distributions of interest, such as generalized linear model parameters. The "Metropolis step" is a keystone concept that underlies…
We introduce Markov chain Monte Carlo (MCMC) algorithms based on numerical approximations of piecewise-deterministic Markov processes obtained with the framework of splitting schemes. We present unadjusted as well as adjusted algorithms,…
Bayesian modelling and computational inference by Markov chain Monte Carlo (MCMC) is a principled framework for large-scale uncertainty quantification, though is limited in practice by computational cost when implemented in the simplest…
In this paper we study the ergodicity properties of some adaptive Markov chain Monte Carlo algorithms (MCMC) that have been recently proposed in the literature. We prove that under a set of verifiable conditions, ergodic averages calculated…
Non-Gaussian distributions in cosmology are commonly evaluated with Monte Carlo Markov-chain methods, as the Fisher-matrix formalism is restricted to the Gaussian case. The Metropolis-Hastings algorithm will provide samples from the…
We present a Metropolis-Hastings Markov chain Monte Carlo (MCMC) algorithm for detecting hidden variables in a continuous time Bayesian network (CTBN), which uses reversible jumps in the sense defined by (Green 1995). In common with several…
Hamiltonian Monte Carlo (HMC) has been progressively incorporated within the statistician's toolbox as an alternative sampling method in settings when standard Metropolis-Hastings is inefficient. HMC generates a Markov chain on an augmented…
We prove explicit, i.e., non-asymptotic, error bounds for Markov Chain Monte Carlo methods, such as the Metropolis algorithm. The problem is to compute the expectation (or integral) of f with respect to a measure which can be given by a…
We propose an efficient Markov Chain Monte Carlo method for sampling equilibrium distributions for stochastic lattice models, capable of handling correctly long and short-range particle interactions. The proposed method is a Metropolis-type…
In this work we detail the application of a fast convolution algorithm computing high dimensional integrals to the context of multiplicative noise stochastic processes. The algorithm provides a numerical solution to the problem of…
In engineering examples, one often encounters the need to sample from unnormalized distributions with complex shapes that may also be implicitly defined through a physical or numerical simulation model, making it computationally expensive…
Markov chain Monte Carlo algorithms are used to simulate from complex statistical distributions by way of a local exploration of these distributions. This local feature avoids heavy requests on understanding the nature of the target, but it…
Markov Chain Monte Carlo (MCMC) methods have a drawback when working with a target distribution or likelihood function that is computationally expensive to evaluate, specially when working with big data. This paper focuses on…
Adaptive and interacting Markov chain Monte Carlo algorithms (MCMC) have been recently introduced in the literature. These novel simulation algorithms are designed to increase the simulation efficiency to sample complex distributions.…
The parameters of a discrete stationary Markov model are transition probabilities between states. Traditionally, data consist in sequences of observed states for a given number of individuals over the whole observation period. In such a…
Smoothing in state-space models amounts to computing the conditional distribution of the latent state trajectory, given observations, or expectations of functionals of the state trajectory with respect to this distributions. For models that…