Related papers: Hit and Run ARMS: Adaptive Rejection Metropolis Sa…
One of the most widely used samplers in practice is the component-wise Metropolis-Hastings (CMH) sampler that updates in turn the components of a vector valued Markov chain using accept-reject moves generated from a proposal distribution.…
Metropolis Hastings nested sampling evolves a Markov chain, accepting new points along the chain according to a version of the Metropolis Hastings acceptance ratio, which has been modified to satisfy the nested sampling likelihood…
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…
The estimation of normalizing constants is a fundamental step in probabilistic model comparison. Sequential Monte Carlo methods may be used for this task and have the advantage of being inherently parallelizable. However, the standard…
Delayed-acceptance Metropolis-Hastings and delayed-acceptance pseudo-marginal Metropolis-Hastings algorithms can be applied when it is computationally expensive to calculate the true posterior or an unbiased stochastic approximation…
The multi-robot adaptive sampling problem aims at finding trajectories for a team of robots to efficiently sample the phenomenon of interest within a given endurance budget of the robots. In this paper, we propose a robust and scalable…
We analyse computational efficiency of Metropolis-Hastings algorithms with stochastic AR(1) process proposals. These proposals include, as a subclass, discretized Langevin diffusion (e.g. MALA) and discretized Hamiltonian dynamics (e.g.…
In this paper, we propose irreversible versions of the Metropolis Hastings (MH) and Metropolis adjusted Langevin algorithm (MALA) with a main focus on the latter. For the former, we show how one can simply switch between different proposal…
Sampling from distributions to find the one with the largest mean arises in a broad range of applications, and it can be mathematically modeled as a multi-armed bandit problem in which each distribution is associated with an arm. This paper…
Recently developed adaptive Markov chain Monte Carlo (MCMC) methods have been applied successfully to many problems in Bayesian statistics. Grapham is a new open source implementation covering several such methods, with emphasis on…
Probability measures supported on submanifolds can be sampled by adding an extra momentum variable to the state of the system, and discretizing the associated Hamiltonian dynamics with some stochastic perturbation in the extra variable. In…
The uniform sampling of convex regions in high dimension is an important computational issue, from both theoretical and applied point of view. The hit-and-run montecarlo algorithms are the most efficient methods known to perform it and one…
In this paper we study the asymptotic behavior of the Random-Walk Metropolis algorithm on probability densities with two different `scales', where most of the probability mass is distributed along certain key directions with the…
We propose an adaptive independent Metropolis--Hastings algorithm with the ability to learn from all previous proposals in the chain except the current location. It is an extension of the independent Metropolis--Hastings algorithm.…
This paper presents an advancement to an approach for model-independent surrogate-based optimization with adaptive batch sampling, known as Adaptive Model Refinement (AMR). While the original AMR method provides unique decisions with…
The Rugged Metropolis (RM) algorithm is a biased updating scheme, which aims at directly hitting the most likely configurations in a rugged free energy landscape. Details of the one-variable (RM$_1$) implementation of this algorithm are…
We propose a new sampling algorithm combining two quite powerful ideas in the Markov chain Monte Carlo literature -- adaptive Metropolis sampler and two-stage Metropolis-Hastings sampler. The proposed sampling method will be particularly…
Random walk sampling methods have been widely used in graph sampling in recent years, while it has bias towards higher degree nodes in the sample. To overcome this deficiency, classical methods such as MHRW design weighted walking by…
In this paper we introduce a new sampling algorithm which has the potential to be adopted as a universal replacement to the Metropolis--Hastings algorithm. It is related to the slice sampler, and motivated by an algorithm which is…
We propose a new randomized optimization method for high-dimensional problems which can be seen as a generalization of coordinate descent to random subspaces. We show that an adaptive sampling strategy for the random subspace significantly…