Related papers: Exponential convergence of adaptive importance sam…
The availability of data sets with large numbers of variables is rapidly increasing. The effective application of Bayesian variable selection methods for regression with these data sets has proved difficult since available Markov chain…
Adaptive importance sampling is a widely spread Monte Carlo technique that uses a re-weighting strategy to iteratively estimate the so-called target distribution. A major drawback of adaptive importance sampling is the large variance of the…
We introduce new quantile estimators with adaptive importance sampling. The adaptive estimators are based on weighted samples that are neither independent nor identically distributed. Using a new law of iterated logarithm for martingales,…
This paper investigates adaptive importance sampling algorithms for which the policy, the sequence of distributions used to generate the particles, is a mixture distribution between a flexible kernel density estimate (based on the previous…
The adaptive multi-channel method is applied to derive probability distributions from data samples. Moreover, an explicit algorithm is introduced, for which both the channel weights and the channels themselves are adaptive, and which can be…
This paper presents a new parameter estimation algorithm for the adaptive control of a class of time-varying plants. The main feature of this algorithm is a matrix of time-varying learning rates, which enables parameter estimation error…
Adaptive and interacting Markov chain Monte Carlo algorithms (MCMC) have been recently introduced in the literature. These novel simulation algorithms are designed to increase the simulation efficiency to sample complex distributions.…
Approximate Bayesian Computation (ABC) is a powerful method for carrying out Bayesian inference when the likelihood is computationally intractable. However, a drawback of ABC is that it is an approximate method that induces a systematic…
We consider importance sampling (IS) type weighted estimators based on Markov chain Monte Carlo (MCMC) targeting an approximate marginal of the target distribution. In the context of Bayesian latent variable models, the MCMC typically…
In the design of efficient simulation algorithms, one is often beset with a poor choice of proposal distributions. Although the performance of a given simulation kernel can clarify a posteriori how adequate this kernel is for the problem at…
The paper provides an overview of the theory and applications of risk-sensitive Markov decision processes. The term 'risk-sensitive' refers here to the use of the Optimized Certainty Equivalent as a means to measure expectation and risk.…
This paper aims first at a simultaneous axiomatic presentation of the proof of optimal convergence rates for adaptive finite element methods and second at some refinements of particular questions like the avoidance of (discrete) lower…
We consider a bivariate Markov chain $Z=\{Z_k\}_{k \geq 1}=\{(X_k,Y_k)\}_{k \geq 1}$ taking values on product space ${\cal Z}={\cal X} \times{ \cal Y}$, where ${\cal X}$ is possibly uncountable space and ${\cal Y}=\{1,\ldots, |{\cal Y}|\}$…
The theory of ``Markov-up'' processes is being developed. This is a new class of stochastic processes with ``partial'' markovian features; it could also be called ``one-sided Markov''. Such a behavior may be found in the real world and in…
Monte Carlo methods -- such as Markov chain Monte Carlo (MCMC) and piecewise deterministic Markov process (PDMP) samplers -- provide asymptotically exact estimators of expectations under a target distribution. There is growing interest in…
Stochastic optimization in learning and inference often relies on Markov chain Monte Carlo (MCMC) to approximate gradients when exact computation is intractable. However, finite-time MCMC estimators are biased, and reducing this bias…
We consider models for molecular sequence evolution in which the transition rates at each site depend on the local sequence context, giving rise to a time-inhomogeneous Markov process in which sites evolve under a complex dependency…
In this paper we study the ergodicity properties of some adaptive Markov chain Monte Carlo algorithms (MCMC) that have been recently proposed in the literature. We prove that under a set of verifiable conditions, ergodic averages calculated…
Adaptive Markov chain Monte Carlo (MCMC) algorithms, which automatically tune their parameters based on past samples, have proved extremely useful in practice. The self-tuning mechanism makes them `non-Markovian', which means that their…
The inefficiency of using an unbiased estimator in a Monte Carlo procedure can be quantified using an inefficiency constant, equal to the product of the variance of the estimator and its mean computational cost. We develop methods for…