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Bayesian inference provides a methodology for parameter estimation and uncertainty quantification in machine learning and deep learning methods. Variational inference and Markov Chain Monte-Carlo (MCMC) sampling methods are used to…

The methodology developed in this article is motivated by a wide range of prediction and uncertainty quantification problems that arise in Statistics, Machine Learning and Applied Mathematics, such as non-parametric regression, multi-class…

Performing Bayesian inference via Markov chain Monte Carlo (MCMC) can be exceedingly expensive when posterior evaluations invoke the evaluation of a computationally expensive model, such as a system of partial differential equations. In…

Advances in digital sensors, digital data storage and communications have resulted in systems being capable of accumulating large collections of data. In the light of dealing with the challenges that massive data present, this work proposes…

Parallel Markov Chain Monte Carlo (pMCMC) algorithms generate clouds of proposals at each step to efficiently resolve a target probability distribution. We build a rigorous foundational framework for pMCMC algorithms that situates these…

Bayesian inference in deep neural networks is challenging due to the high-dimensional, strongly multi-modal parameter posterior density landscape. Markov chain Monte Carlo approaches asymptotically recover the true posterior but are…

Recently there have been exciting developments in Monte Carlo methods, with the development of new MCMC and sequential Monte Carlo (SMC) algorithms which are based on continuous-time, rather than discrete-time, Markov processes. This has…

In this paper, we address the challenge of Markov Chain Monte Carlo (MCMC) algorithms within the approximate Bayesian Computation (ABC) framework, which often get trapped in local optima due to their inherent local exploration mechanism. We…

Posterior sampling is a task of central importance in Bayesian inference. For many applications in Bayesian meta-analysis and Bayesian transfer learning, the prior distribution is unknown and needs to be estimated from samples. In practice,…

In this article we consider a Bayesian inverse problem associated to elliptic partial differential equations (PDEs) in two and three dimensions. This class of inverse problems is important in applications such as hydrology, but the…

Gaussian random fields play an important role in many areas of science and engineering. In practice, they are often simulated by sampling from a high-dimensional multivariate normal distribution, which arises from the discretisation of a…

Many scientific and engineering problems require to perform Bayesian inferences for unknowns of infinite dimension. In such problems, many standard Markov Chain Monte Carlo (MCMC) algorithms become arbitrary slow under the mesh refinement,…

In the context of Bayesian inversion for scientific and engineering modeling, Markov chain Monte Carlo sampling strategies are the benchmark due to their flexibility and robustness in dealing with arbitrary posterior probability density…

The Bayesian approach to Inverse Problems relies predominantly on Markov Chain Monte Carlo methods for posterior inference. The typical nonlinear concentration of posterior measure observed in many such Inverse Problems presents severe…

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…

Stochastic gradient Markov chain Monte Carlo (MCMC) algorithms have received much attention in Bayesian computing for big data problems, but they are only applicable to a small class of problems for which the parameter space has a fixed…

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…

Multidimensional scaling (MDS) is widely used to reconstruct a low-dimensional representation of high-dimensional data while preserving pairwise distances. However, Bayesian MDS approaches based on Markov chain Monte Carlo (MCMC) face…

Markov chain Monte Carlo (MCMC) algorithms provide a very general recipe for estimating properties of complicated distributions. While their use has become commonplace and there is a large literature on MCMC theory and practice, MCMC users…

The Markov Chain Monte Carlo (MCMC) algorithm is a widely recognised as an efficient method for sampling a specified posterior distribution. However, when the posterior is multi-modal, conventional MCMC algorithms either tend to become…