Related papers: Efficient Markov Chain Monte Carlo Sampling for Hi…

We propose a new scheme for selecting pool states for the embedded Hidden Markov Model (HMM) Markov Chain Monte Carlo (MCMC) method. This new scheme allows the embedded HMM method to be used for efficient sampling in state space models…

Non-linear state space models are a widely-used class of models for biological, economic, and physical processes. Fitting these models to observed data is a difficult inference problem that has no straightforward solution. We take a…

I describe a new Markov chain method for sampling from the distribution of the state sequences in a non-linear state space model, given the observation sequence. This method updates all states in the sequence simultaneously using an…

This work presents an efficient approach for accelerating multilevel Markov Chain Monte Carlo (MCMC) sampling for large-scale problems using low-fidelity machine learning models. While conventional techniques for large-scale Bayesian…

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 embedded hidden Markov model (EHMM) sampling method is a Markov chain Monte Carlo (MCMC) technique for state inference in non-linear non-Gaussian state-space models which was proposed in Neal (2003); Neal et al. (2004) and extended in…

We consider posterior sampling in the very common Bayesian hierarchical model in which observed data depends on high-dimensional latent variables that, in turn, depend on relatively few hyperparameters. When the full conditional over the…

Markov chain Monte Carlo (MCMC) sampling is an important and commonly used tool for the analysis of hierarchical models. Nevertheless, practitioners generally have two options for MCMC: utilize existing software that generates a black-box…

The Hamiltonian Monte Carlo (HMC) sampling algorithm exploits Hamiltonian dynamics to construct efficient Markov Chain Monte Carlo (MCMC), which has become increasingly popular in machine learning and statistics. Since HMC uses the gradient…

We introduce the Hamming Ball Sampler, a novel Markov Chain Monte Carlo algorithm, for efficient inference in statistical models involving high-dimensional discrete state spaces. The sampling scheme uses an auxiliary variable construction…

State space models (SSM) have been widely applied for the analysis and visualization of large sequential datasets. Sequential Monte Carlo (SMC) is a very popular particle-based method to sample latent states from intractable posteriors.…

Sequence analysis is being more and more widely used for the analysis of social sequences and other multivariate categorical time series data. However, it is often complex to describe, visualize, and compare large sequence data, especially…

Markov chain Monte Carlo (MCMC) algorithms offer various strategies for sampling; the Hamiltonian Monte Carlo (HMC) family of samplers are MCMC algorithms which often exhibit improved mixing properties. The recently introduced magnetic HMC,…

The need to calibrate increasingly complex statistical models requires a persistent effort for further advances on available, computationally intensive Monte Carlo methods. We study here an advanced version of familiar Markov Chain Monte…

Bayesian inference for factorial hidden Markov models is challenging due to the exponentially sized latent variable space. Standard Monte Carlo samplers can have difficulties effectively exploring the posterior landscape and are often…

Hamiltonian Monte Carlo (HMC) has emerged as a powerful Markov Chain Monte Carlo (MCMC) method to sample from complex continuous distributions. However, a fundamental limitation of HMC is that it can not be applied to distributions with…

The hidden Markov model (HMM) is a fundamental tool for sequence modeling that cleanly separates the hidden state from the emission structure. However, this separation makes it difficult to fit HMMs to large datasets in modern NLP, and they…

The problem of sampling constrained continuous distributions has frequently appeared in many machine/statistical learning models. Many Monte Carlo Markov Chain (MCMC) sampling methods have been adapted to handle different types of…

State-space models (SSMs) are commonly used to model time series data where the observations depend on an unobserved latent process. However, inference on the model parameters of an SSM can be challenging, especially when the likelihood of…

In this paper, we explore the class of the Hidden Semi-Markov Model (HSMM), a flexible extension of the popular Hidden Markov Model (HMM) that allows the underlying stochastic process to be a semi-Markov chain. HSMMs are typically used less…