Related papers: Parsimonious Adaptive Rejection Sampling

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…

Adaptive Monte Carlo methods are very efficient techniques designed to tune simulation estimators on-line. In this work, we present an alternative to stochastic approximation to tune the optimal change of measure in the context of…

Iterative data generation and model re-training can effectively align large language models(LLMs) to human preferences. The process of data sampling is crucial, as it significantly influences the success of policy improvement. Repeated…

Powerful ideas recently appeared in the literature are adjusted and combined to design improved samplers for Bayesian exponential random graph models. Different forms of adaptive Metropolis-Hastings proposals (vertical, horizontal and…

The generalized approximate message passing (GAMP) algorithm is an efficient method of MAP or approximate-MMSE estimation of $x$ observed from a noisy version of the transform coefficients $z = Ax$. In fact, for large zero-mean i.i.d…

The popularity of Adaptive MCMC has been fueled on the one hand by its success in applications, and on the other hand, by mathematically appealing and computationally straightforward optimisation criteria for the Metropolis algorithm…

In this paper, we propose an adaptive sieving (AS) strategy for solving general sparse machine learning models by effectively exploring the intrinsic sparsity of the solutions, wherein only a sequence of reduced problems with much smaller…

Sequential Monte Carlo (SMC) samplers are powerful tools for Bayesian inference but suffer from high computational costs due to their reliance on large particle ensembles for accurate estimates. We introduce persistent sampling (PS), an…

We present a data augmentation scheme to perform Markov chain Monte Carlo inference for models where data generation involves a rejection sampling algorithm. Our idea, which seems to be missing in the literature, is a simple scheme to…

In this paper we address the widely-experienced difficulty in tuning Hamiltonian-based Monte Carlo samplers. We develop an algorithm that allows for the adaptation of Hamiltonian and Riemann manifold Hamiltonian Monte Carlo samplers using…

High-dimensional classification has become an increasingly important problem. In this paper we propose a "Multivariate Adaptive Stochastic Search" (MASS) approach which first reduces the dimension of the data space and then applies a…

Coherent anti-Stokes Raman Spectroscopy (CARS) is a laser-based measurement technique widely applied across many science and engineering disciplines to perform non-intrusive gas diagnostics. CARS is often used to study combustion, where the…

Convolutional sparse representation (CSR), shift-invariant model for inverse problems, has gained much attention in the fields of signal/image processing, machine learning and computer vision. The most challenging problems in CSR implies…

Sparsity has become a key concept for solving of high-dimensional inverse problems using variational regularization techniques. Recently, using similar sparsity-constraints in the Bayesian framework for inverse problems by encoding them in…

The choice of transition kernel critically influences the performance of the Markov chain Monte Carlo method. Despite the importance of kernel choice, guiding principles for optimal kernels have not been established. Here, we propose a…

The Metropolis algorithm is one of the Markov chain Monte Carlo (MCMC) methods that realize sampling from the target probability distribution. In this paper, we are concerned with the sampling from the distribution in non-identifiable cases…

In this work, we examine sampling problems with non-smooth potentials. We propose a novel Markov chain Monte Carlo algorithm for sampling from non-smooth potentials. We provide a non-asymptotical analysis of our algorithm and establish a…

Science and engineering problems subject to uncertainty are frequently both computationally expensive and feature nonsmooth parameter dependence, making standard Monte Carlo too slow, and excluding efficient use of accelerated uncertainty…

Algorithmic recourse aims to recommend actionable changes to a factual's attributes that flip an unfavorable model decision while remaining realistic and feasible. We formulate recourse as a Constrained Maximum A-Posteriori (MAP) inference…

There is increasing interest to develop Bayesian inferential algorithms for point process models with intractable likelihoods. A purpose of this paper is to illustrate the utility of using simulation based strategies, including Approximate…