Related papers: Unifying Sequential Monte Carlo with Resampling Ma…
In many problems, complex non-Gaussian and/or nonlinear models are required to accurately describe a physical system of interest. In such cases, Monte Carlo algorithms are remarkably flexible and extremely powerful approaches to solve such…
In many real-world engineering systems, the performance or reliability of the system is characterised by a scalar parameter. The distribution of this performance parameter is important in many uncertainty quantification problems, ranging…
Markov chain Monte Carlo (MCMC) algorithms are generally regarded as the gold standard technique for Bayesian inference. They are theoretically well-understood and conceptually simple to apply in practice. The drawback of MCMC is that in…
This work presents self-rewarding sequential Monte Carlo (SMC), an inference-time scaling algorithm enabling effective sampling of masked diffusion language models (MDLMs). Our algorithm stems from the observation that most existing MDLMs…
Sequential Monte Carlo (SMC), also known as particle filters, has been widely accepted as a powerful computational tool for making inference with dynamical systems. A key step in SMC is resampling, which plays the role of steering the…
Parameter estimation for discretely observed Markov processes is a challenging problem. However, simulation of Markov processes is straightforward using the Gillespie algorithm. We exploit this ease of simulation to develop an effective…
Markov chain Monte Carlo (MCMC) algorithms provide a very general recipe for estimating properties of complicated distributions. While their use has become commonplace and there is a large literature on MCMC theory and practice, MCMC users…
Target tracking faces the challenge in coping with large volumes of data which requires efficient methods for real time applications. The complexity considered in this paper is when there is a large number of measurements which are required…
Sequential Monte Carlo (SMC), or particle filtering, is a popular class of methods for sampling from an intractable target distribution using a sequence of simpler intermediate distributions. Like other importance sampling-based methods,…
This work introduces a new method designed for Bayesian deep learning called scalable Bayesian Monte Carlo (SBMC). The method is comprised of a model and an algorithm. The model interpolates between a point estimator and the posterior. The…
This paper introduces methodology for performing Bayesian inference sequentially on a sequence of posteriors on spaces of different dimensions. We show how this may be achieved through the use of sequential Monte Carlo (SMC) samplers (Del…
Simulation methods have become important tools for quantifying partisan and racial bias in redistricting plans. We generalize the Sequential Monte Carlo (SMC) algorithm of McCartan and Imai (2023), one of the commonly used approaches.…
Reverse Monte Carlo (RMC) is an algorithm that incorporates stochastic modification of the action as part of the process that updates the fields in a Monte Carlo simulation. Such update moves have the potential of lowering or eliminating…
We investigate the stability of a Sequential Monte Carlo (SMC) method applied to the problem of sampling from a target distribution on $\mathbb{R}^d$ for large $d$. It is well known that using a single importance sampling step one produces…
As it has become common to use many computer cores in routine applications, finding good ways to parallelize popular algorithms has become increasingly important. In this paper, we present a parallelization scheme for Markov chain Monte…
We propose a sequential Monte Carlo (SMC) method to efficiently and accurately compute cut-Bayesian posterior quantities of interest, variations of standard Bayesian approaches constructed primarily to account for model misspecification. We…
We propose a novel sequential Monte Carlo (SMC) method for sampling from unnormalized target distributions based on a reverse denoising diffusion process. While recent diffusion-based samplers simulate the reverse diffusion using…
Markov Chain Monte Carlo (MCMC) is a well-established family of algorithms which are primarily used in Bayesian statistics to sample from a target distribution when direct sampling is challenging. Single instances of MCMC methods are widely…
A resampling scheme provides a way to switch low-weight particles for sequential Monte Carlo with higher-weight particles representing the objective distribution. The less the variance of the weight distribution is, the more concentrated…
We explore a general framework in Markov chain Monte Carlo (MCMC) sampling where sequential proposals are tried as a candidate for the next state of the Markov chain. This sequential-proposal framework can be applied to various existing…