Related papers: Hastings-Metropolis algorithm on Markov chains for…
Monte Carlo statistical ray-tracing methods are commonly employed to simulate carrier transport in nanostructured materials. In the case of a large degree of nanostructuring and under linear response (small driving fields), these…
We propose a fast potential splitting Markov Chain Monte Carlo method which costs $O(1)$ time each step for sampling from equilibrium distributions (Gibbs measures) corresponding to particle systems with singular interacting kernels. We…
We propose a new class of interacting Markov chain Monte Carlo (MCMC) algorithms designed for increasing the efficiency of a modified multiple-try Metropolis (MTM) algorithm. The extension with respect to the existing MCMC literature is…
Motivated by Bayesian inference with highly informative data we analyze the performance of random walk-like Metropolis-Hastings algorithms for approximate sampling of increasingly concentrating target distributions. We focus on Gaussian…
Metropolis-Hastings estimates intractable expectations - can differentiating the algorithm estimate their gradients? The challenge is that Metropolis-Hastings trajectories are not conventionally differentiable due to the discrete…
Hamiltonian Monte Carlo (HMC) is a powerful Markov chain Monte Carlo (MCMC) algorithm for estimating expectations with respect to continuous un-normalized probability distributions. MCMC estimators typically have higher variance than…
The self-learning Metropolis-Hastings algorithm is a powerful Monte Carlo method that, with the help of machine learning, adaptively generates an easy-to-sample probability distribution for approximating a given hard-to-sample distribution.…
Finding and sampling rare trajectories in dynamical systems is a difficult computational task underlying numerous problems and applications. In this paper we show how to construct Metropolis- Hastings Monte Carlo methods that can…
This paper develops a Bayesian computational platform at the interface between posterior sampling and optimization in models whose marginal likelihoods are difficult to evaluate. Inspired by adversarial optimization, namely Generative…
The general applicability and ease of use of the pseudo-marginal Metropolis--Hastings (PMMH) algorithm, and particle Metropolis--Hastings in particular, makes it a popular method for inference on discretely observed Markovian stochastic…
Gradient-based Monte Carlo sampling algorithms, like Langevin dynamics and Hamiltonian Monte Carlo, are important methods for Bayesian inference. In large-scale settings, full-gradients are not affordable and thus stochastic gradients…
Markov chain Monte Carlo (MCMC) methods to sample from a probability distribution $\pi$ defined on a space $(\Theta,\mathcal{T})$ consist of the simulation of realisations of Markov chains $\{\theta_{n},n\geq1\}$ of invariant distribution…
This paper introduces a class of Monte Carlo algorithms which are based upon the simulation of a Markov process whose quasi-stationary distribution coincides with a distribution of interest. This differs fundamentally from, say, current…
We propose a class of discrete state sampling algorithms based on Nesterov's accelerated gradient method, which extends the classical Metropolis-Hastings (MH) algorithm. The evolution of the discrete states probability distribution governed…
This paper studies a non-random-walk Markov Chain Monte Carlo method, namely the Hamiltonian Monte Carlo (HMC) method in the context of Subset Simulation used for structural reliability analysis. The HMC method relies on a deterministic…
In this article we propose multiplication based random walk Metropolis Hastings (MH) algorithm on the real line. We call it the random dive MH (RDMH) algorithm. This algorithm, even if simple to apply, was not studied earlier in Markov…
Couplings play a central role in the analysis of Markov chain convergence and in the construction of novel Markov chain Monte Carlo estimators, diagnostics, and variance reduction techniques. The set of possible couplings is often…
We present a reduced-dimension, ballistic deposition, Monte Carlo particle packing algorithm and discuss its application to the analysis of the microstructure of hard-sphere systems with broad particle size distributions. We extend our…
Many problems in materials science and biology involve particles interacting with strong, short-ranged bonds, that can break and form on experimental timescales. Treating such bonds as constraints can significantly speed up sampling their…
Parameter estimation is a growing area of interest in statistical signal processing. Some parameters in real-life applications vary in space as opposed to those that are static. Most common methods in estimating parameters involve solving…