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We design a new, fast algorithm for agnostically learning univariate probability distributions whose densities are well approximated by piecewise polynomial functions. Let $f$ be the density function of an arbitrary univariate distribution,…
A determinantal point process (DPP) on a collection of $M$ items is a model, parameterized by a symmetric kernel matrix, that assigns a probability to every subset of those items. Recent work shows that removing the kernel symmetry…
Hamiltonian Monte Carlo (HMC) and its dynamic extensions, such as the No-U-Turn Sampler (NUTS), are powerful Markov chain Monte Carlo methods for sampling from complex, high-dimensional probability distributions. Riemannian manifold…
The paper proposes a Riemannian Manifold Hamiltonian Monte Carlo sampler to resolve the shortcomings of existing Monte Carlo algorithms when sampling from target densities that may be high dimensional and exhibit strong correlations. The…
When analyzing data from multiple sources, it is often convenient to strike a careful balance between two goals: capturing the heterogeneity of the samples and sharing information across them. We introduce a novel framework to model a…
There is a rich literature on clustering functional data with applications to time-series modeling, trajectory data, and even spatio-temporal applications. However, existing methods routinely perform global clustering that enforces…
In this paper we study how to perform distinct sampling in the streaming model where data contain near-duplicates. The goal of distinct sampling is to return a distinct element uniformly at random from the universe of elements, given that…
Assigning weights to a large pool of objects is a fundamental task in a wide variety of applications. In this article, we introduce the concept of structured high-dimensional probability simplexes, in which most components are zero or near…
A fully Bayesian approach is proposed for ultrahigh-dimensional nonparametric additive models in which the number of additive components may be larger than the sample size, though ideally the true model is believed to include only a small…
Randomized algorithms depend on accurate sampling from probability distributions, as their correctness and performance hinge on the quality of the generated samples. However, even for common distributions like Binomial, exact sampling is…
Efficient sampling for the conditional time integrated variance process in the Heston stochastic volatility model is key to the simulation of the stock price based on its exact distribution. We construct a new series expansion for this…
We demonstrate an approach for exact sampling of certain discrete combinatorial distributions, which is a hybrid of exact Boltzmann sampling and the recursive method, using probabilistic divide-and-conquer (PDC). The approach specializes to…
Markov Chain Monte Carlo (MCMC) algorithms are routinely used to draw samples from distributions with intractable normalization constants. However, standard MCMC algorithms do not apply to doubly-intractable distributions in which there are…
Tree structures are ubiquitous in data across many domains, and many datasets are naturally modelled by unobserved tree structures. In this paper, first we review the theory of random fragmentation processes [Bertoin, 2006], and a number of…
The particle Gibbs sampler is a Markov chain Monte Carlo (MCMC) algorithm to sample from the full posterior distribution of a state-space model. It does so by executing Gibbs sampling steps on an extended target distribution defined on the…
Clustering observations across partially exchangeable groups of data is a routine task in Bayesian nonparametrics. Previously proposed models allow for clustering across groups by sharing atoms in the group-specific mixing measures.…
For Bayesian learning, given likelihood function and Gaussian prior, the elliptical slice sampler, introduced by Murray, Adams and MacKay 2010, provides a tool for the construction of a Markov chain for approximate sampling of the…
Functional mixed models are widely useful for regression analysis with dependent functional data, including longitudinal functional data with scalar predictors. However, existing algorithms for Bayesian inference with these models only…
Planning can often be simpli ed by decomposing the task into smaller tasks arranged hierarchically. Charlin et al. [4] recently showed that the hierarchy discovery problem can be framed as a non-convex optimization problem. However, the…
Determinantal Point Processes (DPPs) were introduced by Macchi as a model for repulsive (fermionic) particle distributions. But their recent popularization is largely due to their usefulness for encouraging diversity in the final stage of a…