Related papers: Ensuring Rapid Mixing and Low Bias for Asynchronou…

We present a Gibbs sampling solution to the map-making problem for CMB measurements, building on existing destriping methodology. Gibbs sampling breaks the computationally heavy destriping problem into two separate steps; noise filtering…

We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to existing literature is manifold. First, we discuss different multi-move sampling techniques for Markov Switching (MS) state…

We present a new Monte Carlo Markov Chain algorithm for CMB analysis in the low signal-to-noise regime. This method builds on and complements the previously described CMB Gibbs sampler, and effectively solves the low signal-to-noise…

The Gibbs ensemble of the truncated KdV (TKdV) equation has been shown to accurately describe the anomalous wave statistics observed in laboratory experiments, in particular the emergence of extreme events. Here, we introduce a novel…

We consider stochastic optimization problems where data is drawn from a Markov chain. Existing methods for this setting crucially rely on knowing the mixing time of the chain, which in real-world applications is usually unknown. We propose…

Gibbs sampling is a workhorse for Bayesian inference but has several limitations when used for parameter estimation, and is often much slower than non-sampling inference methods. SAME (State Augmentation for Marginal Estimation)…

In the past decade, many Bayesian shrinkage models have been developed for linear regression problems where the number of covariates, $p$, is large. Computing the intractable posterior are often done with three-block Gibbs samplers (3BG),…

Posterior computation in hierarchical Dirichlet process (HDP) mixture models is an active area of research in nonparametric Bayes inference of grouped data. Existing literature almost exclusively focuses on the Chinese restaurant franchise…

Finite mixtures are a cornerstone of Bayesian modelling, and it is well-known that sampling from the resulting posterior distribution can be a hard task. In particular, popular reversible Markov chain Monte Carlo schemes are often slow to…

The PAC-Bayesian approach is a powerful set of techniques to derive non- asymptotic risk bounds for random estimators. The corresponding optimal distribution of estimators, usually called the Gibbs posterior, is unfortunately intractable.…

Bayesian inference of Gibbs random fields (GRFs) is often referred to as a doubly intractable problem, since the likelihood function is intractable. The exploration of the posterior distribution of such models is typically carried out with…

MCMC algorithms offer empirically efficient tools for sampling from a target distribution $\pi(x) \propto \exp(-V(x))$. However, on the theory side, MCMC algorithms suffer from slow mixing rate when $\pi(x)$ is non-log-concave. Our work…

Stochastic differential equations (SDEs) are an important class of time-series models, used to describe stochastic systems evolving in continuous time. Simulating paths from these processes, particularly after conditioning on noisy…

Modern problems in astronomical Bayesian inference require efficient methods for sampling from complex, high-dimensional, often multi-modal probability distributions. Most popular methods, such as Markov chain Monte Carlo sampling, perform…

In this paper, we present a novel approach to fitting mixture models based on estimating first the posterior distribution of the auxiliary variables that assign each observation to a group in the mixture. The posterior distributions of the…

In this paper, we study sampling from a posterior derived from a neural network. We propose a new probabilistic model consisting of adding noise at every pre- and post-activation in the network, arguing that the resulting posterior can be…

Markov chain Monte Carlo (MCMC) is a powerful methodology for the approximation of posterior distributions. However, the iterative nature of MCMC does not naturally facilitate its use with modern highly parallel computation on HPC and cloud…

The ordered allocation sampler is a Gibbs sampler designed to explore the posterior distribution in nonparametric mixture models. It encompasses both infinite mixtures and finite mixtures with random number of components, and it has be…

In geostatistics, Gaussian random fields are often used to model heterogeneities of soil or subsurface parameters. To give spatial approximations of these random fields, they are discretized. Then, different techniques of geostatistical…

We study the computational complexity of a Metropolis-Hastings algorithm for Bayesian community detection. We first establish a posterior strong consistency result for a natural prior distribution on stochastic block models under the…