Related papers: Speeding Up MCMC by Delayed Acceptance and Data Su…
Bayesian inference in the presence of an intractable likelihood function is computationally challenging. When following a Markov chain Monte Carlo (MCMC) approach to approximate the posterior distribution in this context, one typically…
Markov Chain Monte Carlo (MCMC) algorithms are routinely used to draw samples from distributions with intractable normalization constants. However, standard MCMC algorithms do not apply to doubly-intractable distributions in which there are…
We consider Metropolis Hastings MCMC in cases where the log of the ratio of target distributions is replaced by an estimator. The estimator is based on m samples from an independent online Monte Carlo simulation. Under some conditions on…
Hamiltonian Monte Carlo (HMC) samples efficiently from high-dimensional posterior distributions with proposed parameter draws obtained by iterating on a discretized version of the Hamiltonian dynamics. The iterations make HMC…
The Hastings algorithm is a key tool in computational science. While mathematically justified by detailed balance, it can be conceptually difficult to grasp. Here, we present two complementary and intuitive ways to derive and understand the…
The multiple-try Metropolis (MTM) algorithm is a generalization of the Metropolis-Hastings algorithm in which the transition kernel uses a compound proposal consisting of multiple candidate draws. Since its seminal paper there have been…
The Metropolis algorithm is one of the Markov chain Monte Carlo (MCMC) methods that realize sampling from the target probability distribution. In this paper, we are concerned with the sampling from the distribution in non-identifiable cases…
We construct a new framework for accelerating Markov chain Monte Carlo in posterior sampling problems where standard methods are limited by the computational cost of the likelihood, or of numerical models embedded therein. Our approach…
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…
Component-wise MCMC algorithms, including Gibbs and conditional Metropolis-Hastings samplers, are commonly used for sampling from multivariate probability distributions. A long-standing question regarding Gibbs algorithms is whether a…
We present an adaptive method for the automatic scaling of Random-Walk Metropolis-Hastings algorithms, which quickly and robustly identifies the scaling factor that yields a specified overall sampler acceptance probability. Our method…
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…
The Hawkes process is a widely used model in many areas, such as finance, seismology, neuroscience, epidemiology, and social sciences. Estimation of the Hawkes process from continuous observations of a sample path is relatively…
Markov chain Monte Carlo methods have become standard tools in statistics to sample from complex probability measures. Many available techniques rely on discrete-time reversible Markov chains whose transition kernels build up over the…
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…
Pseudo-marginal Metropolis-Hastings (pmMH) is a versatile algorithm for sampling from target distributions which are not easy to evaluate point-wise. However, pmMH requires good proposal distributions to sample efficiently from the target,…
Powerful ideas recently appeared in the literature are adjusted and combined to design improved samplers for Bayesian exponential random graph models. Different forms of adaptive Metropolis-Hastings proposals (vertical, horizontal and…
Practitioners of Markov chain Monte Carlo (MCMC) may hesitate to use random walk Metropolis-Hastings algorithms, especially variable-at-a-time algorithms with many parameters, because these algorithms require users to select values of…
Markov chain Monte Carlo (MCMC) methods are one of the most popular classes of algorithms for sampling from a target probability distribution. A rising trend in recent years consists in analyzing the convergence of MCMC algorithms using…
The performance of Metropolis-Hastings algorithms is highly sensitive to the choice of step size, and miss-specification can lead to severe loss of efficiency. We study algorithms with randomized step sizes, considering both…