Related papers: Analysis of a nonlinear importance sampling scheme…
Monte Carlo sampling methods are the standard procedure for approximating complicated integrals of multidimensional posterior distributions in Bayesian inference. In this work, we focus on the class of Layered Adaptive Importance Sampling…
The efficient importance sampling (EIS) method is a general principle for the numerical evaluation of high-dimensional integrals that uses the sequential structure of target integrands to build variance minimising importance samplers.…
Importance sampling (IS) is a powerful Monte Carlo methodology for the approximation of intractable integrals, very often involving a target probability density function. The performance of IS heavily depends on the appropriate selection of…
Model fitting is possibly the most extended problem in science. Classical approaches include the use of least-squares fitting procedures and maximum likelihood methods to estimate the value of the parameters in the model. However, in recent…
Sampling from a complex distribution $\pi$ and approximating its intractable normalizing constant Z are challenging problems. In this paper, a novel family of importance samplers (IS) and Markov chain Monte Carlo (MCMC) samplers is derived.…
We propose a Monte Carlo algorithm to sample from high dimensional probability distributions that combines Markov chain Monte Carlo and importance sampling. We provide a careful theoretical analysis, including guarantees on robustness to…
Statistical signal processing applications usually require the estimation of some parameters of interest given a set of observed data. These estimates are typically obtained either by solving a multi-variate optimization problem, as in the…
We introduce a new Markov chain Monte Carlo (MCMC) sampler called the Markov Interacting Importance Sampler (MIIS). The MIIS sampler uses conditional importance sampling (IS) approximations to jointly sample the current state of the Markov…
Importance sampling (IS) is a Monte Carlo technique that relies on weighted samples, simulated from a proposal distribution, to estimate intractable integrals. The quality of the estimators improves with the number of samples. However, for…
Nonlinear non-Gaussian state-space models are ubiquitous in statistics, econometrics, information engineering and signal processing. Particle methods, also known as Sequential Monte Carlo (SMC) methods, provide reliable numerical…
In the last decade, sequential Monte-Carlo methods (SMC) emerged as a key tool in computational statistics. These algorithms approximate a sequence of distributions by a sequence of weighted empirical measures associated to a weighted…
Importance sampling (IS) is a powerful Monte Carlo (MC) technique for approximating intractable integrals, for instance in Bayesian inference. The performance of IS relies heavily on the appropriate choice of the so-called proposal…
Evaluating expectations on an Ising model (or Boltzmann machine) is essential for various applications, including statistical machine learning. However, in general, the evaluation is computationally difficult because it involves intractable…
Monte Carlo methods are widely used for approximating complicated, multidimensional integrals for Bayesian inference. Population Monte Carlo (PMC) is an important class of Monte Carlo methods, which utilizes a population of proposals to…
We develop a theoretical framework for studying numerical estimation of lower previsions, generally applicable to two-level Monte Carlo methods, importance sampling methods, and a wide range of other sampling methods one might devise. We…
Bayesian inference for models that have an intractable partition function is known as a doubly intractable problem, where standard Monte Carlo methods are not applicable. The past decade has seen the development of auxiliary variable Monte…
This paper introduces a Bayesian framework that combines Markov chain Monte Carlo (MCMC) sampling, dimensionality reduction, and neural density estimation to efficiently handle inverse problems that (i) must be solved multiple times, and…
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…
We investigate the stability of a Sequential Monte Carlo (SMC) method applied to the problem of sampling from a target distribution on $\mathbb{R}^d$ for large $d$. It is well known that using a single importance sampling step one produces…
Adaptive importance samplers are adaptive Monte Carlo algorithms to estimate expectations with respect to some target distribution which \textit{adapt} themselves to obtain better estimators over a sequence of iterations. Although it is…