Related papers: Adaptive Bayesian Sampling with Monte Carlo EM

We develop a Bayesian framework for variable selection in linear regression with autocorrelated errors, accommodating lagged covariates and autoregressive structures. This setting occurs in time series applications where responses depend on…

Markov chain Monte Carlo methods are a powerful and commonly used family of numerical methods for sampling from complex probability distributions. As applications of these methods increase in size and complexity, the need for efficient…

Bayesian hierarchical modeling is a popular approach to capturing unobserved heterogeneity across individual units. However, standard estimation methods such as Markov chain Monte Carlo (MCMC) can be impracticable for modeling outcomes from…

We present a Hamiltonian Monte Carlo algorithm to sample from multivariate Gaussian distributions in which the target space is constrained by linear and quadratic inequalities or products thereof. The Hamiltonian equations of motion can be…

Ecologists increasingly rely on Bayesian methods to fit capture-recapture models. Capture-recapture models are used to estimate abundance while accounting for imperfect detectability in individual-level data. A variety of implementations…

Sequential Monte Carlo (SMC) methods are a class of Monte Carlo methods that are used to obtain random samples of a high dimensional random variable in a sequential fashion. Many problems encountered in applications often involve different…

Predictive dynamical models for marine ecosystems are used for a variety of needs. Due to sparse measurements and limited understanding of the myriad of ocean processes, there is however significant uncertainty. There is model uncertainty…

Bayesian Decision Trees (DTs) are generally considered a more advanced and accurate model than a regular Decision Tree (DT) because they can handle complex and uncertain data. Existing work on Bayesian DTs uses Markov Chain Monte Carlo…

The Expectation-Maximization (EM) algorithm is a popular choice for learning latent variable models. Variants of the EM have been initially introduced, using incremental updates to scale to large datasets, and using Monte Carlo (MC)…

Scalable Bayesian sampling is playing an important role in modern machine learning, especially in the fast-developed unsupervised-(deep)-learning models. While tremendous progresses have been achieved via scalable Bayesian sampling such as…

We propose a Monte Carlo algorithm to sample from high dimensional probability distributions that combines Markov chain Monte Carlo and importance sampling. We provide a careful theoretical analysis, including guarantees on robustness to…

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…

We propose an adaptive biasing algorithm aimed at enhancing the sampling of multimodal measures by Langevin dynamics. The underlying idea consists in generalizing the standard adaptive biasing force method commonly used in conjunction with…

We present a scalable approach to performing approximate fully Bayesian inference in generic state space models. The proposed method is an alternative to particle MCMC that provides fully Bayesian inference of both the dynamic latent states…

We study Hamiltonian Monte Carlo (HMC) samplers based on splitting the Hamiltonian $H$ as $H_0(\theta,p)+U_1(\theta)$, where $H_0$ is quadratic and $U_1$ small. We show that, in general, such samplers suffer from stepsize stability…

In Part I (arXiv:1911.00619) of this article, we proposed an importance sampling algorithm to compute rare-event probabilities in forward uncertainty quantification problems. The algorithm, which we termed the "Bayesian Inverse Monte Carlo…

We introduce the energy-stepping Monte Carlo (ESMC) method, a Markov chain Monte Carlo (MCMC) algorithm based on the conventional dynamical interpretation of the proposal stage but employing an energy-stepping integrator. The…

This paper presents an advancement to an approach for model-independent surrogate-based optimization with adaptive batch sampling, known as Adaptive Model Refinement (AMR). While the original AMR method provides unique decisions with…

In conducting non-linear dimensionality reduction and feature learning, it is common to suppose that the data lie near a lower-dimensional manifold. A class of model-based approaches for such problems includes latent variables in an unknown…

Bayesian model selection enables comparison and ranking of conceptual subsurface models described by spatial prior models, according to the support provided by available geophysical data. Deep generative neural networks can efficiently…