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Markov chain Monte Carlo (MCMC) methods are foundational algorithms for Bayesian inference and probabilistic modeling. However, most MCMC algorithms are inherently sequential and their time complexity scales linearly with the sequence…

Statistical inference in evolutionary models with site-dependence is a long-standing challenge in phylogenetics and computational biology. We consider the problem of approximating marginal sequence likelihoods under dependent-site models of…

We propose a novel framework of estimating systemic risk measures and risk allocations based on Markov chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth…

The configuration model is a standard tool for uniformly generating random graphs with a specified degree sequence, and is often used as a null model to evaluate how much of an observed network's structure can be explained by its degree…

Probabilistic models are conceptually powerful tools for finding structure in data, but their practical effectiveness is often limited by our ability to perform inference in them. Exact inference is frequently intractable, so approximate…

Stochastic epidemic models provide an interpretable probabilistic description of the spread of a disease through a population. Yet, fitting these models to partially observed data is a notoriously difficult task due to intractability of the…

A novel approach of accurately reconstructing storage ring's linear optics from turn-by-turn (TbT) data containing measurement error is introduced. This approach adopts a Bayesian inference based on the Markov Chain Monte-Carlo (MCMC)…

Many problems in the physical sciences, machine learning, and statistical inference necessitate sampling from a high-dimensional, multi-modal probability distribution. Markov Chain Monte Carlo (MCMC) algorithms, the ubiquitous tool for this…

We develop a modular approach to Markov chain Monte Carlo (MCMC) sampling for unnormalized target densities. In this approach, Markov chains are constructed in parallel, each constrained to a subset of the target space. The Monte Carlo…

We consider how to generate chemical reaction networks (CRNs) from functional specifications. We propose a two-stage approach that combines synthesis by satisfiability modulo theories and Markov chain Monte Carlo based optimisation. First,…

Modern cosmological analyses constrain physical parameters using Markov Chain Monte Carlo (MCMC) or similar sampling techniques. Oftentimes, these techniques are computationally expensive to run and require up to thousands of CPU hours to…

We present a general framework for accelerating a large class of widely used Markov chain Monte Carlo (MCMC) algorithms. Our approach exploits fast, iterative approximations to the target density to speculatively evaluate many potential…

Markov Chain Monte Carlo (MCMC) requires to evaluate the full data likelihood at different parameter values iteratively and is often computationally infeasible for large data sets. In this paper, we propose to approximate the log-likelihood…

Continuous-time Markov chains are used to model stochastic systems where transitions can occur at irregular times, e.g., birth-death processes, chemical reaction networks, population dynamics, and gene regulatory networks. We develop a…

Many random processes can be simulated as the output of a deterministic model accepting random inputs. Such a model usually describes a complex mathematical or physical stochastic system and the randomness is introduced in the input…

Recently, Stochastic Gradient Markov Chain Monte Carlo (SG-MCMC) methods have been proposed for scaling up Monte Carlo computations to large data problems. Whilst these approaches have proven useful in many applications, vanilla SG-MCMC…

In this paper we study Monte Carlo estimators based on the likelihood ratio approach for steady-state sensitivity. We first extend the result of Glynn and Olvera-Cravioto [doi:doi: 10.1287/stsy.2018.002] to the setting of continuous time…

Quasi-Monte Carlo (QMC) methods for estimating integrals are attractive since the resulting estimators typically converge at a faster rate than pseudo-random Monte Carlo. However, they can be difficult to set up on arbitrary posterior…

In this article we consider Bayesian parameter inference associated to partially-observed stochastic processes that start from a set B0 and are stopped or killed at the first hitting time of a known set A. Such processes occur naturally…

Markov chain Monte Carlo methods are a powerful tool for sampling equilibrium configurations in complex systems. One problem these methods often face is slow convergence over large energy barriers. In this work, we propose a novel method…