Related papers: Mini-batch Tempered MCMC
In this chapter, we address the challenge of exploring the posterior distributions of Bayesian inverse problems with computationally intensive forward models. We consider various multivariate proposal distributions, and compare them with…
This short note is a self-contained and basic introduction to the Metropolis-Hastings algorithm, this ubiquitous tool used for producing dependent simulations from an arbitrary distribution. The document illustrates the principles of the…
Various Markov chain Monte Carlo (MCMC) methods are studied to improve upon random walk Metropolis sampling, for simulation from complex distributions. Examples include Metropolis-adjusted Langevin algorithms, Hamiltonian Monte Carlo, and…
Betweenness centrality is an important index widely used in different domains such as social networks, traffic networks and the world wide web. However, even for mid-size networks that have only a few hundreds thousands vertices, it is…
The purpose of this research is to develop an MCMC algorithm for estimating the Q-matrix. Based on the DINA model, the algorithm starts with estimating correlated attributes. Using a saturated model and a binary decimal conversion, the…
Probabilistic programming languages can simplify the development of machine learning techniques, but only if inference is sufficiently scalable. Unfortunately, Bayesian parameter estimation for highly coupled models such as regressions and…
Hamiltonian Monte Carlo (HMC) is widely used for sampling from high dimensional target distributions with densities known up to proportionality. While HMC exhibits favorable scaling properties in high dimensions, it struggles with strongly…
Standard MCMC methods can scale poorly to big data settings due to the need to evaluate the likelihood at each iteration. There have been a number of approximate MCMC algorithms that use sub-sampling ideas to reduce this computational…
A significant part of MCMC methods can be considered as the Metropolis-Hastings (MH) algorithm with different proposal distributions. From this point of view, the problem of constructing a sampler can be reduced to the question - how to…
In parameter estimation problems one computes a posterior distribution over uncertain parameters defined jointly by a prior distribution, a model, and noisy data. Markov Chain Monte Carlo (MCMC) is often used for the numerical solution of…
Poisson log-linear models are ubiquitous in many applications, and one of the most popular approaches for parametric count regression. In the Bayesian context, however, there are no sufficient specific computational tools for efficient…
The Hamiltonian Monte Carlo (HMC) sampling algorithm exploits Hamiltonian dynamics to construct efficient Markov Chain Monte Carlo (MCMC), which has become increasingly popular in machine learning and statistics. Since HMC uses the gradient…
MCMC algorithms such as Metropolis-Hastings algorithms are slowed down by the computation of complex target distributions as exemplified by huge datasets. We offer in this paper an approach to reduce the computational costs of such…
The ability to generate samples of the random effects from their conditional distributions is fundamental for inference in mixed effects models. Random walk Metropolis is widely used to perform such sampling, but this method is known to…
The Metropolis algorithm is a Markov chain Monte Carlo (MCMC) algorithm used to simulate from parameter distributions of interest, such as generalized linear model parameters. The "Metropolis step" is a keystone concept that underlies…
Pseudo-marginal Metropolis-Hastings (pmMH) is a powerful method for Bayesian inference in models where the posterior distribution is analytical intractable or computationally costly to evaluate directly. It operates by introducing…
In this paper we propose to evaluate and compare Markov chain Monte Carlo (MCMC) methods to estimate the parameters in a generalized extreme value model. We employed the Bayesian approach using traditional Metropolis-Hastings methods,…
Equi-Energy Sampling (EES, for short) is a method to speed up the convergence of the Metropolis chain, when the latter is slow. We show that there are still models like the mean-field Potts model, where EES does not converge rapidly in…
Markov Chain Monte Carlo (MCMC) algorithms are routinely used to draw samples from distributions with intractable normalization constants. However, standard MCMC algorithms do not apply to doubly-intractable distributions in which there are…
Markov Chain Monte Carlo (MCMC) algorithms are commonly used for their versatility in sampling from complicated probability distributions. However, as the dimension of the distribution gets larger, the computational costs for a satisfactory…