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An efficient simulation-based methodology is proposed for the rolling window estimation of state space models, called particle rolling Markov chain Monte Carlo (MCMC) with double block sampling. In our method, which is based on Sequential…
Many problems in the physical sciences, machine learning, and statistical inference necessitate sampling from a high-dimensional, multi-modal probability distribution. Markov Chain Monte Carlo (MCMC) algorithms, the ubiquitous tool for this…
A Bayesian approach to the classification problem is proposed in which random partitions play a central role. It is argued that the partitioning approach has the capacity to take advantage of a variety of large-scale spatial structures, if…
The discrete nature of transmitted symbols poses challenges for achieving optimal detection in multiple-input multiple-output (MIMO) systems associated with a large number of antennas. Recently, the combination of two powerful machine…
Markov Chain Monte Carlo (MCMC) methods have become a cornerstone of many modern scientific analyses by providing a straightforward approach to numerically estimate uncertainties in the parameters of a model using a sequence of random…
Most of Markov Chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) algorithms in existing probabilistic programming systems suboptimally use only model priors as proposal distributions. In this work, we describe an approach for…
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…
Markov chain Monte Carlo (MCMC) algorithms have become powerful tools for Bayesian inference. However, they do not scale well to large-data problems. Divide-and-conquer strategies, which split the data into batches and, for each batch, run…
Recent advances in stochastic gradient techniques have made it possible to estimate posterior distributions from large datasets via Markov Chain Monte Carlo (MCMC). However, when the target posterior is multimodal, mixing performance is…
Semantic image segmentation is an important computer vision task that is difficult because it consists of both recognition and segmentation. The task is often cast as a structured output problem on an exponentially large output-space, which…
Recent developments in big data and analytics research have produced an abundance of large data sets that are too big to be analyzed in their entirety, due to limits on computer memory or storage capacity. To address these issues,…
We consider the task of MCMC sampling from a distribution defined on a discrete space. Building on recent insights provided in [Zan19], we devise a class of efficient continuous-time, non-reversible algorithms which make active use of the…
Markov Chain Monte Carlo (MCMC) techniques have long been studied in computational geometry subjects whereabouts the problems to be studied are complex geometric objects which by their nature require optimized techniques to be deployed or…
Estimating high-quality images while also quantifying their uncertainty are two desired features in an image reconstruction algorithm for solving ill-posed inverse problems. In this paper, we propose plug-and-play Monte Carlo (PMC) as a…
Markov chain Monte Carlo (MCMC) methods asymptotically sample from complex probability distributions. The pseudo-marginal MCMC framework only requires an unbiased estimator of the unnormalized probability distribution function to construct…
A new Bayesian state and parameter learning algorithm for multiple target tracking (MTT) models with image observations is proposed. Specifically, a Markov chain Monte Carlo algorithm is designed to sample from the posterior distribution of…
In this work, we examine sampling problems with non-smooth potentials. We propose a novel Markov chain Monte Carlo algorithm for sampling from non-smooth potentials. We provide a non-asymptotical analysis of our algorithm and establish a…
We introduce a Markov Chain Monte Carlo (MCMC) method that is designed to sample from target distributions with irregular geometry using an adaptive scheme. In cases where targets exhibit non-Gaussian behaviour, we propose that adaption…
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…
Markov chain Monte Carlo (MCMC) provides a feasible method for inferring Hidden Markov models, however, it is often computationally prohibitive, especially constrained by the curse of dimensionality, as the Monte Carlo sampler traverses…