Related papers: The Implicit Metropolis-Hastings Algorithm
In this manuscript, inspired by a simpler reformulation of primary sample space Metropolis light transport, we derive a novel family of general Markov chain Monte Carlo algorithms called charted Metropolis-Hastings, that introduces the…
We study a class of Metropolis-Hastings algorithms for target measures that are absolutely continuous with respect to a large class of non-Gaussian prior measures on Banach spaces. The algorithm is shown to have a spectral gap in a…
We present a two-stage Metropolis-Hastings algorithm for sampling probabilistic models, whose log-likelihood is computationally expensive to evaluate, by using a surrogate Gaussian Process (GP) model. The key feature of the approach, and…
We consider the problem of inference for nonlinear, multivariate diffusion processes, satisfying It\^o stochastic differential equations (SDEs), using data at discrete times that may be incomplete and subject to measurement error. Our…
We propose a general and scalable approximate sampling strategy for probabilistic models with discrete variables. Our approach uses gradients of the likelihood function with respect to its discrete inputs to propose updates in a…
The general applicability and ease of use of the pseudo-marginal Metropolis--Hastings (PMMH) algorithm, and particle Metropolis--Hastings in particular, makes it a popular method for inference on discretely observed Markovian stochastic…
Various Markov chain Monte Carlo (MCMC) methods are studied to improve upon random walk Metropolis sampling, for simulation from complex distributions. Examples include Metropolis-adjusted Langevin algorithms, Hamiltonian Monte Carlo, and…
Gradient-based Markov Chain Monte Carlo methods have recently received much attention for sampling discrete distributions, with interesting connections to their continuous counterparts. For examples, there are two discrete analogues to the…
Generative adversarial networks (GANs) provide an algorithmic framework for constructing generative models with several appealing properties: they do not require a likelihood function to be specified, only a generating procedure; they…
Markov chain Monte Carlo methods have become standard tools in statistics to sample from complex probability measures. Many available techniques rely on discrete-time reversible Markov chains whose transition kernels build up over the…
Pseudo-marginal Metropolis-Hastings (pmMH) is a versatile algorithm for sampling from target distributions which are not easy to evaluate point-wise. However, pmMH requires good proposal distributions to sample efficiently from the target,…
We propose a novel Metropolis-Hastings algorithm to sample uniformly from the space of correlation matrices. Existing methods in the literature are based on elaborated representations of a correlation matrix, or on complex parametrizations…
We consider the approximation of expectations with respect to the distribution of a latent Markov process given noisy measurements. This is known as the smoothing problem and is often approached with particle and Markov chain Monte Carlo…
The pseudo-marginal algorithm is a popular variant of the Metropolis--Hastings scheme which allows us to sample asymptotically from a target probability density $\pi$, when we are only able to estimate an unnormalized version of $\pi$…
This paper discusses a Metropolis-Hastings algorithm developed by \citeA{MarsmanIsing}. The algorithm is derived from first principles, and it is proven that the algorithm becomes more efficient with more data and meets the growing demands…
While recent work has shown that scores from models trained by the ubiquitous masked language modeling (MLM) objective effectively discriminate probable from improbable sequences, it is still an open question if these MLMs specify a…
To sample from a given target distribution, Markov chain Monte Carlo (MCMC) sampling relies on constructing an ergodic Markov chain with the target distribution as its invariant measure. For any MCMC method, an important question is how to…
We propose an adaptive independent Metropolis--Hastings algorithm with the ability to learn from all previous proposals in the chain except the current location. It is an extension of the independent Metropolis--Hastings algorithm.…
We study non-Gaussian random fields constructed by the selection normal distribution, and we term them selection Gaussian random fields. The selection Gaussian random field can capture skewness, multi-modality, and to some extend heavy…
The Metropolis algorithm is a Markov chain Monte Carlo (MCMC) algorithm used to simulate from parameter distributions of interest, such as generalized linear model parameters. The "Metropolis step" is a keystone concept that underlies…