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Hamiltonian Monte Carlo (HMC) sampling methods provide a mechanism for defining distant proposals with high acceptance probabilities in a Metropolis-Hastings framework, enabling more efficient exploration of the state space than standard…
The study presents a novel approach for stochastic nonlinear model updating in structural dynamics, employing a Bayesian framework integrated with Markov Chain Monte Carlo (MCMC) sampling for parameter estimation by using an approximated…
Bayesian computation crucially relies on Markov chain Monte Carlo (MCMC) algorithms. In the case of massive data sets, running the Metropolis-Hastings sampler to draw from the posterior distribution becomes prohibitive due to the large…
We introduce a powerful and flexible MCMC algorithm for stochastic simulation. The method builds on a pseudo-marginal method originally introduced in [Genetics 164 (2003) 1139--1160], showing how algorithms which are approximations to an…
Markov chain Monte Carlo (MCMC) algorithms are widely used to sample from complicated distributions, especially to sample from the posterior distribution in Bayesian inference. However, MCMC is not directly applicable when facing the doubly…
Markov chain Monte Carlo (MCMC) is widely used for Bayesian inference in models of complex systems. Performance, however, is often unsatisfactory in models with many latent variables due to so-called poor mixing, necessitating development…
We introduce a new class of sequential Monte Carlo methods which reformulates the essence of the nested sampling method of Skilling (2006) in terms of sequential Monte Carlo techniques. Two new algorithms are proposed, nested sampling via…
Particle filtering methods are widely applied in sequential state estimation within nonlinear non-Gaussian state space model. However, the traditional particle filtering methods suffer the weight degeneracy in the high-dimensional state…
Doubly intractable models are encountered in a number of fields, e.g. social networks, ecology and epidemiology. Inference for such models requires the evaluation of a likelihood function, whose normalising factor depends on the model…
State-space models are commonly used to describe different forms of ecological data. We consider the case of count data with observation errors. For such data the system process is typically multi-dimensional consisting of coupled Markov…
A core problem in statistics and probabilistic machine learning is to compute probability distributions and expectations. This is the fundamental problem of Bayesian statistics and machine learning, which frames all inference as…
State-space models have been widely used to model the dynamics of communicable diseases in populations of interest by fitting to time-series data. Particle filters have enabled these models to incorporate stochasticity and so can better…
This paper considers Bayesian parameter estimation of dynamic systems using a Markov Chain Monte Carlo (MCMC) approach. The Metroplis-Hastings (MH) algorithm is employed, and the main contribution of the paper is to examine and illustrate…
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…
We develop a novel advanced Particle Markov chain Monte Carlo algorithm that is capable of sampling from the posterior distribution of non-linear state space models for both the unobserved latent states and the unknown model parameters. We…
Traditional methods for unsupervised learning of finite mixture models require to evaluate the likelihood of all components of the mixture. This becomes computationally prohibitive when the number of components is large, as it is, for…
Random sampling of graph partitions under constraints has become a popular tool for evaluating legislative redistricting plans. Analysts detect partisan gerrymandering by comparing a proposed redistricting plan with an ensemble of sampled…
In this expository paper we abstract and describe a simple MCMC scheme for sampling from intractable target densities. The approach has been introduced in Gon\c{c}alves et al. (2017a) in the specific context of jump-diffusions, and is based…
Stochastic differential equation mixed-effects models (SDEMEMs) are flexible hierarchical models that are able to account for random variability inherent in the underlying time-dynamics, as well as the variability between experimental units…
This paper presents a simulation-based framework for sequential inference from partially and discretely observed point process (PP's) models with static parameters. Taking on a Bayesian perspective for the static parameters, we build upon…