Related papers: Efficient simulation of high dimensional Gaussian …
Standard Markov chain Monte Carlo methods struggle to explore distributions that are concentrated in the neighbourhood of low-dimensional structures. These pathologies naturally occur in a number of situations. For example, they are common…
The Markov chain Monte Carlo method (MCMC), especially the Metropolis-Hastings (MH) algorithm, is a widely used technique for sampling from a target probability distribution $P$ on a state space $\Omega$ and applied to various problems such…
Multifidelity Monte Carlo methods often rely on a preprocessing phase consisting of standard Monte Carlo sampling to estimate correlation coefficients between models of different fidelity to determine the weights and number of samples for…
Markov chain Monte Carlo (MCMC) methods are a powerful but computationally expensive way of performing non-parametric Bayesian inference. MCMC proposals which utilise gradients, such as Hamiltonian Monte Carlo (HMC), can better explore the…
Probabilistic models are conceptually powerful tools for finding structure in data, but their practical effectiveness is often limited by our ability to perform inference in them. Exact inference is frequently intractable, so approximate…
Approximate Bayesian computation (ABC) using a sequential Monte Carlo method provides a comprehensive platform for parameter estimation, model selection and sensitivity analysis in differential equations. However, this method, like other…
Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used by financial risk managers across the globe. However, they are time consuming and sometimes inaccurate. In this paper, a fast and accurate Monte Carlo…
Matrix square roots and their inverses arise frequently in machine learning, e.g., when sampling from high-dimensional Gaussians $\mathcal{N}(\mathbf 0, \mathbf K)$ or whitening a vector $\mathbf b$ against covariance matrix $\mathbf K$.…
We propose a method to efficiently integrate truncated probability densities. The method uses Markov chain Monte Carlo method to sample from a probability density matching the function being integrated. The required normalisation or…
We apply a Bayesian data analysis scheme known as the Markov Chain Monte Carlo (MCMC) to the tomographic reconstruction of quantum states. This method yields a vector, known as the Markov chain, which contains the full statistical…
A number of problems in a variety of fields are characterised by target distributions with a multimodal structure in which the presence of several isolated local maxima dramatically reduces the efficiency of Markov Chain Monte Carlo…
In this paper, we develop Bayesian Hamiltonian Monte Carlo methods for inference in asymmetric GARCH models under different distributions for the error term. We implemented Zero-variance and Hamiltonian Monte Carlo schemes for parameter…
Traditionally, the field of computational Bayesian statistics has been divided into two main subfields: variational methods and Markov chain Monte Carlo (MCMC). In recent years, however, several methods have been proposed based on combining…
This paper considers a new approach to using Markov chain Monte Carlo (MCMC) in contexts where one may adopt multilevel (ML) Monte Carlo. The underlying problem is to approximate expectations w.r.t. an underlying probability measure that is…
Markov chain Monte Carlo (MCMC) is a powerful tool for sampling from complex probability distributions. Despite its versatility, MCMC often suffers from strong autocorrelation and the negative sign problem, leading to slowing down the…
We describe general multilevel Monte Carlo methods that estimate the price of an Asian option monitored at $m$ fixed dates. Our approach yields unbiased estimators with standard deviation $O(\epsilon)$ in $O(m + (1/\epsilon)^{2})$ expected…
We introduce efficient Markov chain Monte Carlo methods for inference and model determination in multivariate and matrix-variate Gaussian graphical models. Our framework is based on the G-Wishart prior for the precision matrix associated…
We study the problem of sampling from a distribution $\target$ using the Langevin Monte Carlo algorithm and provide rate of convergences for this algorithm in terms of Wasserstein distance of order $2$. Our result holds as long as the…
Riemann manifold Hamiltonian Monte Carlo (RMHMC) has the potential to produce high-quality Markov chain Monte Carlo-output even for very challenging target distributions. To this end, a symmetric positive definite scaling matrix for RMHMC,…
Markov Chain Monte Carlo (MCMC) methods for sampling probability density functions (combined with abundant computational resources) have transformed the sciences, especially in performing probabilistic inferences, or fitting models to data.…