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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 suite of statistical methods are used to study animal movement. Most of these methods treat animal telemetry data in one of three ways: as discrete processes, as continuous processes, or as point processes. We briefly review each of these…

In this article we propose a novel MCMC method based on deterministic transformations T: X x D --> X where X is the state-space and D is some set which may or may not be a subset of X. We refer to our new methodology as Transformation-based…

Markov chain Monte Carlo methods have become standard tools in statistics to sample from complex probability measures. Many available techniques rely on discrete-time reversible Markov chains whose transition kernels build up over the…

We discuss a Monte Carlo Markov Chain (MCMC) procedure for the random sampling of some one-dimensional lattice paths with constraints, for various constraints. We show that an approach inspired by optimal transport allows us to bound…

Markov jump processes (or continuous-time Markov chains) are a simple and important class of continuous-time dynamical systems. In this paper, we tackle the problem of simulating from the posterior distribution over paths in these models,…

A novel computationally efficient Markov chain Monte Carlo (MCMC) scheme for latent Gaussian models (LGMs) is proposed in this paper. The sampling scheme is a two block Gibbs sampling scheme designed to exploit the model structure of LGMs.…

We consider the problem of inference in discrete probabilistic models, that is, distributions over subsets of a finite ground set. These encompass a range of well-known models in machine learning, such as determinantal point processes and…

Network data arises through observation of relational information between a collection of entities. Recent work in the literature has independently considered when (i) one observes a sample of networks, connectome data in neuroscience being…

As sample sizes grow, scalability has become a central concern in the development of Markov chain Monte Carlo (MCMC) methods. One general approach to this problem, exemplified by the popular stochastic gradient Langevin dynamics (SGLD)…

Generalized linear mixed models (GLMM) are used for inference and prediction in a wide range of different applications providing a powerful scientific tool. An increasing number of sources of data are becoming available, introducing a…

Sampling from a lattice Gaussian distribution is emerging as an important problem in various areas such as coding and cryptography. The default sampling algorithm --- Klein's algorithm yields a distribution close to the lattice Gaussian…

Yang et al. (2016) proved that the symmetric random walk Metropolis--Hastings algorithm for Bayesian variable selection is rapidly mixing under mild high-dimensional assumptions. We propose a novel MCMC sampler using an informed proposal…

We investigate local MCMC algorithms, namely the random-walk Metropolis and the Langevin algorithms, and identify the optimal choice of the local step-size as a function of the dimension $n$ of the state space, asymptotically as…

Motivated by the physics of strings and branes, we develop a class of Markov chain Monte Carlo (MCMC) algorithms involving extended objects. Starting from a collection of parallel Metropolis-Hastings (MH) samplers, we place them on an…

We develop an Evolutionary Markov Chain Monte Carlo (EMCMC) algorithm for sampling spatial partitions that lie within a large and complex spatial state space. Our algorithm combines the advantages of evolutionary algorithms (EAs) as…

This paper focuses on variational inference with intractable likelihood functions that can be unbiasedly estimated. A flexible variational approximation based on Gaussian mixtures is developed, by adopting the mixture population Monte Carlo…

The class of $\alpha$-stable distributions enjoys multiple practical applications in signal processing, finance, biology and other areas because it allows to describe interesting and complex data patterns, such as asymmetry or heavy tails,…

Markov chain Monte Carlo (MCMC) algorithms are based on the construction of a Markov chain with transition probabilities leaving invariant a probability distribution of interest. In this work, we look at these transition probabilities as…

Specifying a full Bayesian model that integrates multiple data sources can be challenging. One natural approach is to specify each individual model separately and join them afterwards. This is the approach adopted in Markov melding.…