Related papers: A direct Hamiltonian MCMC approach for reliability…
In this paper we develop a methodology that we call split sampling methods to estimate high dimensional expectations and rare event probabilities. Split sampling uses an auxiliary variable MCMC simulation and expresses the expectation of…
We describe an adaptive Markov chain Monte Carlo method suitable for the estimation of rare failure probabilities in complex probabilistic models. This method, the Accelerated Weight Histogram (AWH) method, has its origin in statistical…
The Pseudo-Marginal (PM) algorithm is a popular Markov chain Monte Carlo (MCMC) method used to sample from a target distribution when its density is inaccessible, but can be estimated with a non-negative unbiased estimator. Its performance…
Markov Chain Monte Carlo (MCMC) techniques are now widely used for cosmological parameter estimation. Chains are generated to sample the posterior probability distribution obtained following the Bayesian approach. An important issue is how…
Simulation Based Calibration (SBC) is applied to analyse two commonly used, competing Markov chain Monte Carlo algorithms for estimating the posterior distribution of a stochastic volatility model. In particular, the bespoke 'off-set…
Recently-proposed particle MCMC methods provide a flexible way of performing Bayesian inference for parameters governing stochastic kinetic models defined as Markov (jump) processes (MJPs). Each iteration of the scheme requires an estimate…
Statistical machine learning often uses probabilistic algorithms, such as Markov Chain Monte Carlo (MCMC), to solve a wide range of problems. Probabilistic computations, often considered too slow on conventional processors, can be…
Riemann manifold Hamiltonian Monte Carlo (RMHMC) has the potential to produce high-quality Markov chain Monte Carlo-output even for very challenging target distributions. To this end, a symmetric positive definite scaling matrix for RMHMC,…
Hamiltonian Monte Carlo (HMC) is a widely deployed method to sample from high-dimensional distributions in Statistics and Machine learning. HMC is known to run very efficiently in practice and its popular second-order "leapfrog"…
Markov chain Monte Carlo (MCMC) is an established approach for uncertainty quantification and propagation in scientific applications. A key challenge in applying MCMC to scientific domains is computation: the target density of interest is…
Piecewise-Deterministic Markov Processes (PDMPs) hold significant promise for sampling from complex probability distributions. However, their practical implementation is hindered by the need to compute model-specific bounds. Conversely,…
Statistical machine learning often uses probabilistic algorithms, such as Markov Chain Monte Carlo (MCMC), to solve a wide range of problems. Many accelerators are proposed using specialized hardware to address sampling inefficiency, the…
We introduce a Markov Chain Monte Carlo (MCMC) method that is designed to sample from target distributions with irregular geometry using an adaptive scheme. In cases where targets exhibit non-Gaussian behaviour, we propose that adaption…
Hamiltonian Monte Carlo (HMC) is a widely used sampler for continuous probability distributions. In many cases, the underlying Hamiltonian dynamics exhibit a phenomenon of resonance which decreases the efficiency of the algorithm and makes…
Speeding up Markov Chain Monte Carlo (MCMC) for datasets with many observations by data subsampling has recently received considerable attention. A pseudo-marginal MCMC method is proposed that estimates the likelihood by data subsampling…
We present a novel framework for performing statistical sampling, expectation estimation, and partition function approximation using \emph{arbitrary} heuristic stochastic processes defined over discrete state spaces. Using a highly parallel…
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 is a class of algorithms for drawing Markovian samples from high-dimensional target densities to approximate the numerical integration associated with computing statistical expectation, especially in Bayesian…
In the following article we consider approximate Bayesian parameter inference for observation driven time series models. Such statistical models appear in a wide variety of applications, including econometrics and applied mathematics. This…
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…