Related papers: Efficiency of delayed-acceptance random walk Metro…
We investigate the use of the Metropolis-Hastings algorithm to sample posterior distribution in a Bayesian inverse problem, where the likelihood function is random. Concretely, we consider the case where one has full field observations of a…
We propose a new class of learning algorithms that combines variational approximation and Markov chain Monte Carlo (MCMC) simulation. Naive algorithms that use the variational approximation as proposal distribution can perform poorly…
Couplings play a central role in contemporary Markov chain Monte Carlo methods and in the analysis of their convergence to stationarity. In most cases, a coupling must induce relatively fast meeting between chains to ensure good…
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…
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…
Latent world models can contain the state needed for control, yet their terminal-cost interface can expose the planner to the wrong decision-relevant information. In common latent MPC, candidate sequences are ranked by Euclidean distance…
Randomized algorithms for low-rank approximation of quaternion matrices have gained increasing attention in recent years. However, existing methods overlook pass efficiency, the ability to limit the number of passes over the input…
Global fits of physics models require efficient methods for exploring high-dimensional and/or multimodal posterior functions. We introduce a novel method for accelerating Markov Chain Monte Carlo (MCMC) sampling by pairing a…
Maximum consensus estimation plays a critically important role in robust fitting problems in computer vision. Currently, the most prevalent algorithms for consensus maximization draw from the class of randomized hypothesize-and-verify…
Greedy algorithms are widely used for problems in machine learning such as feature selection and set function optimization. Unfortunately, for large datasets, the running time of even greedy algorithms can be quite high. This is because for…
A run of the deferred acceptance (DA) algorithm may contain proposals that are sure to be rejected. We introduce the accelerated deferred acceptance algorithm that proceeds in a similar manner to DA but with sure-to-be rejected proposals…
Multiple Importance Sampling (MIS) methods approximate moments of complicated distributions by drawing samples from a set of proposal distributions. Several ways to compute the importance weights assigned to each sample have been recently…
Can we make Bayesian posterior MCMC sampling more efficient when faced with very large datasets? We argue that computing the likelihood for N datapoints in the Metropolis-Hastings (MH) test to reach a single binary decision is…
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 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…
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.…
We consider a Metropolis--Hastings method with proposal $\mathcal{N}(x, hG(x)^{-1})$, where $x$ is the current state, and study its ergodicity properties. We show that suitable choices of $G(x)$ can change these compared to the Random Walk…
We investigate the properties of the Hybrid Monte-Carlo algorithm (HMC) in high dimensions. HMC develops a Markov chain reversible w.r.t. a given target distribution $\Pi$ by using separable Hamiltonian dynamics with potential $-\log\Pi$.…
Random Walk is a basic algorithm to explore the structure of networks, which can be used in many tasks, such as local community detection and network embedding. Existing random walk methods are based on single networks that contain limited…
The pseudo-marginal algorithm is a popular variant of the Metropolis--Hastings scheme which allows us to sample asymptotically from a target probability density $\pi$, when we are only able to estimate an unnormalized version of $\pi$…