Related papers: Multilevel Monte Carlo in Approximate Bayesian Com…
Practitioners of Bayesian statistics have long depended on Markov chain Monte Carlo (MCMC) to obtain samples from intractable posterior distributions. Unfortunately, MCMC algorithms are typically serial, and do not scale to the large…
Approximate Bayesian Computation (ABC) methods are commonly used to approximate posterior distributions in models with unknown or computationally intractable likelihoods. Classical ABC methods are based on nearest neighbor type algorithms…
This article considers the sequential Monte Carlo (SMC) approximation of ratios of normalizing constants associated to posterior distributions which in principle rely on continuum models. Therefore, the Monte Carlo estimation error and the…
While multilevel Monte Carlo (MLMC) methods for the numerical approximation of partial differential equations with random coefficients enjoy great popularity, combinations with spatial adaptivity seem to be rare. We present an adaptive MLMC…
Hamiltonian Monte Carlo is a widely used algorithm for sampling from posterior distributions of complex Bayesian models. It can efficiently explore high-dimensional parameter spaces guided by simulated Hamiltonian flows. However, the…
In this paper we consider fully Bayesian inference in general state space models. Existing particle Markov chain Monte Carlo (MCMC) algorithms use an augmented model that takes into account all the variable sampled in a sequential Monte…
Given the complexity of modern cosmological parameter inference where we are faced with non-Gaussian data and noise, correlated systematics and multi-probe correlated data sets, the Approximate Bayesian Computation (ABC) method is a…
Bayesian inference allows us to define a posterior distribution over the weights of a generic neural network (NN). Exact posteriors are usually intractable, in which case approximations can be employed. One such approximation - variational…
This paper proposes a Sequential Monte Carlo approach for the Bayesian estimation of mixed causal and noncausal models. Unlike previous Bayesian estimation methods developed for these models, Sequential Monte Carlo offers extensive…
In the stochastic gradient descent (SGD) for sequential simulations such as the neural stochastic differential equations, the Multilevel Monte Carlo (MLMC) method is known to offer better theoretical computational complexity compared to the…
In this paper, we examine the Sample Average Approximation (SAA) procedure within a framework where the Monte Carlo estimator of the expectation is biased. We also introduce Multilevel Monte Carlo (MLMC) in the SAA setup to enhance the…
Sequential Monte Carlo (SMC) methods comprise one of the most successful approaches to approximate Bayesian filtering. However, SMC without good proposal distributions struggle in high dimensions. We propose nested sequential Monte Carlo…
We discuss an approach for deriving robust posterior distributions from $M$-estimating functions using Approximate Bayesian Computation (ABC) methods. In particular, we use $M$-estimating functions to construct suitable summary statistics…
We consider the problem of estimating a nested structure of two expectations taking the form $U_0 = E[\max\{U_1(Y), \pi(Y)\}]$, where $U_1(Y) = E[X\ |\ Y]$. Terms of this form arise in financial risk estimation and option pricing. When…
We present a novel technique for tailoring Bayesian quadrature (BQ) to model selection. The state-of-the-art for comparing the evidence of multiple models relies on Monte Carlo methods, which converge slowly and are unreliable for…
Modern macroeconometrics often relies on time series models for which it is time-consuming to evaluate the likelihood function. We demonstrate how Bayesian computations for such models can be drastically accelerated by reweighting and…
Approximate Bayesian computation (ABC) is a family of computational techniques in Bayesian statistics. These techniques allow to fi t a model to data without relying on the computation of the model likelihood. They instead require to…
Bayesian inference is often used in cosmology and astrophysics to derive constraints on model parameters from observations. This approach relies on the ability to compute the likelihood of the data given a choice of model parameters. In…
The past decades have seen enormous improvements in computational inference based on statistical models, with continual enhancement in a wide range of computational tools, in competition. In Bayesian inference, first and foremost, MCMC…
Models of stochastic processes are widely used in almost all fields of science. Theory validation, parameter estimation, and prediction all require model calibration and statistical inference using data. However, data are almost always…