Related papers: Mini-batch Metropolis-Hastings MCMC with Reversibl…
The performance of Metropolis-Hastings algorithms is highly sensitive to the choice of step size, and miss-specification can lead to severe loss of efficiency. We study algorithms with randomized step sizes, considering both…
The Metropolis algorithm is arguably the most fundamental Markov chain Monte Carlo (MCMC) method. But the algorithm is not guaranteed to converge to the desired distribution in the case of multivariate binary distributions (e.g., Ising…
Variable selection is a key issue when analyzing high-dimensional data. The explosion of data with large sample sizes and dimensionality brings new challenges to this problem in both inference accuracy and computational complexity. To…
Particle MCMC is a class of algorithms that can be used to analyse state-space models. They use MCMC moves to update the parameters of the models, and particle filters to propose values for the path of the state-space model. Currently the…
We consider distributed estimation of the inverse covariance matrix, also called the concentration or precision matrix, in Gaussian graphical models. Traditional centralized estimation often requires global inference of the covariance…
We consider Metropolis Hastings MCMC in cases where the log of the ratio of target distributions is replaced by an estimator. The estimator is based on m samples from an independent online Monte Carlo simulation. Under some conditions on…
Accept-reject based Markov chain Monte Carlo (MCMC) methods are the workhorse algorithm for Bayesian inference. These algorithms, like Metropolis-Hastings, require choosing a proposal distribution which is typically informed by the desired…
Hamiltonian Monte Carlo (HMC) is a popular Markov chain Monte Carlo (MCMC) algorithm that generates proposals for a Metropolis-Hastings algorithm by simulating the dynamics of a Hamiltonian system. However, HMC is sensitive to large time…
The Metropolis algorithm is one of the Markov chain Monte Carlo (MCMC) methods that realize sampling from the target probability distribution. In this paper, we are concerned with the sampling from the distribution in non-identifiable cases…
Tasks such as record linkage and multi-target tracking, which involve reconstructing the set of objects that underlie some observed data, are particularly challenging for probabilistic inference. Recent work has achieved efficient and…
Hamiltonian Monte Carlo (HMC) is a powerful Markov chain Monte Carlo (MCMC) algorithm for estimating expectations with respect to continuous un-normalized probability distributions. MCMC estimators typically have higher variance than…
Yang et al. (2016) proved that the symmetric random walk Metropolis--Hastings algorithm for Bayesian variable selection is rapidly mixing under mild high-dimensional assumptions. We propose a novel MCMC sampler using an informed proposal…
We investigate local MCMC algorithms, namely the random-walk Metropolis and the Langevin algorithms, and identify the optimal choice of the local step-size as a function of the dimension $n$ of the state space, asymptotically as…
Betweenness centrality is an important index widely used in different domains such as social networks, traffic networks and the world wide web. However, even for mid-size networks that have only a few hundreds thousands vertices, it is…
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…
Computing the marginal likelihood or evidence is one of the core challenges in Bayesian analysis. While there are many established methods for estimating this quantity, they predominantly rely on using a large number of posterior samples…
We present a new multiple-try Metropolis-Hastings algorithm designed to be especially beneficial when a tailored proposal distribution is available. The algorithm is based on a given acyclic graph $G$, where one of the nodes in $G$, $k$…
We propose to view non-rigid surface registration as a probabilistic inference problem. Given a target surface, we estimate the posterior distribution of surface registrations. We demonstrate how the posterior distribution can be used to…
A simple and efficient adaptive Markov Chain Monte Carlo (MCMC) method, called the Metropolized Adaptive Subspace (MAdaSub) algorithm, is proposed for sampling from high-dimensional posterior model distributions in Bayesian variable…
In parameter estimation problems one computes a posterior distribution over uncertain parameters defined jointly by a prior distribution, a model, and noisy data. Markov Chain Monte Carlo (MCMC) is often used for the numerical solution of…