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Particle Markov Chain Monte Carlo methods are used to carry out inference in non-linear and non-Gaussian state space models, where the posterior density of the states is approximated using particles. Current approaches usually perform…

In this paper, we introduce a new method called SPSC (Simulation, Partitioning, Selection, Cloning) to estimate efficiently the probability of possible solutions in stochastic simulations. This method can be applied to any type of…

We describe a Bayesian approach to estimating luminosity functions. We derive the likelihood function and posterior probability distribution for the luminosity function, given the observed data, and we compare the Bayesian approach with…

In this article we consider computing expectations w.r.t.~probability laws associated to a certain class of stochastic systems. In order to achieve such a task, one must not only resort to numerical approximation of the expectation, but…

We propose iterative proportional scaling (IPS) via decomposable submodels for maximizing likelihood function of a hierarchical model for contingency tables. In ordinary IPS the proportional scaling is performed by cycling through the…

Monte Carlo methods are widely used importance sampling techniques for studying complex physical systems. Integrating these methods with deep learning has significantly improved efficiency and accuracy in high-dimensional problems and…

The reliability of a complex industrial system can rarely be assessed analytically. As system failure is often a rare event, crude Monte-Carlo methods are prohibitively expensive from a computational point of view. In order to reduce…

Multiple importance sampling (MIS) methods use a set of proposal distributions from which samples are drawn. Each sample is then assigned an importance weight that can be obtained according to different strategies. This work is motivated by…

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…

Importance sampling is a popular variance reduction method for Monte Carlo estimation, where a notorious question is how to design good proposal distributions. While in most cases optimal (zero-variance) estimators are theoretically…

Quantum mechanics for many-body systems may be reduced to the evaluation of integrals in 3N dimensions using Monte-Carlo, providing the Quantum Monte Carlo ab initio methods. Here we limit ourselves to expectation values for trial…

We consider the problem of estimating rare event probabilities, focusing on systems whose evolution is governed by differential equations with uncertain input parameters. If the system dynamics is expensive to compute, standard sampling…

We consider Incentive Decision Processes, where a principal seeks to reduce its costs due to another agent's behavior, by offering incentives to the agent for alternate behavior. We focus on the case where a principal interacts with a…

Piecewise deterministic Markov processes (PDMPs) can be used to model complex dynamical industrial systems. The counterpart of this modeling capability is their simulation cost, which makes reliability assessment untractable with standard…

In statistical data assimilation one seeks the largest maximum of the conditional probability distribution $P(\mathbf{X},\mathbf{p}|\mathbf{Y})$ of model states, $\mathbf{X}$, and parameters,$\mathbf{p}$, conditioned on observations…

In this work, we study the problem of actively classifying the attributes of dynamical systems characterized as a finite set of Markov decision process (MDP) models. We are interested in finding strategies that actively interact with the…

In this work, we introduce a simple modification of the Monte Carlo algorithm, which we call step Monte Carlo (sMC). The sMC approach allows to simulate processes far from equilibrium and obtain information about the dynamic properties of…

Markov Decision Processes (MDPs) are a popular class of models suitable for solving control decision problems in probabilistic reactive systems. We consider parametric MDPs (pMDPs) that include parameters in some of the transition…

We study episodic reinforcement learning (RL) in non-stationary linear kernel Markov decision processes (MDPs). In this setting, both the reward function and the transition kernel are linear with respect to the given feature maps and are…

The problem of optimising functions with intractable gradients frequently arise in machine learning and statistics, ranging from maximum marginal likelihood estimation procedures to fine-tuning of generative models. Stochastic approximation…