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Along with the recent advances in scalable Markov Chain Monte Carlo methods, sampling techniques that are based on Langevin diffusions have started receiving increasing attention. These so called Langevin Monte Carlo (LMC) methods are based…
MCMC methods (Monte Carlo Markov Chain) are a class of methods used to perform simulations per a probability distribution $P$. These methods are often used when we have difficulties to directly sample per a given probability distribution…
Markov chain Monte Carlo (MCMC) methods are ubiquitous tools for simulation-based inference in many fields but designing and identifying good MCMC samplers is still an open question. This paper introduces a novel MCMC algorithm, namely,…
We present a new procedure to determine Parton Distribution Functions (PDFs), based on Markov Chain Monte Carlo (MCMC) methods. The aim of this paper is to show that we can replace the standard $\chi^2$ minimization by procedures grounded…
Markov Chain Monte Carlo (MCMC) methods have become a cornerstone of many modern scientific analyses by providing a straightforward approach to numerically estimate uncertainties in the parameters of a model using a sequence of random…
A new Monte Carlo algorithm for phase-space sampling, named (MC)**3, is presented. It is based on Markov Chain Monte Carlo techniques but at the same time incorporates prior knowledge about the target distribution in the form of suitable…
A novel class of non-reversible Markov chain Monte Carlo schemes relying on continuous-time piecewise-deterministic Markov Processes has recently emerged. In these algorithms, the state of the Markov process evolves according to a…
We propose a method to construct a proposal density for the Metropolis-Hastings algorithm in Markov Chain Monte Carlo (MCMC) simulations of the GARCH model. The proposal density is constructed adaptively by using the data sampled by the…
Adaptive Markov Chain Monte Carlo (AMCMC) is a class of MCMC algorithms where the proposal distribution changes at every iteration of the chain. In this case it is important to verify that such a Markov Chain indeed has a stationary…
We propose a weighting scheme for the proposals within Markov chain Monte Carlo algorithms and show how this can improve statistical efficiency at no extra computational cost. These methods are most powerful when combined with…
In this paper we study asymptotic properties of different data-augmentation-type Markov chain Monte Carlo algorithms sampling from mixture models comprising discrete as well as continuous random variables. Of particular interest to us is…
Sampling from posterior distributions using Markov chain Monte Carlo (MCMC) methods can require an exhaustive number of iterations, particularly when the posterior is multi-modal as the MCMC sampler can become trapped in a local mode for a…
In this paper, we address technical difficulties that arise when applying Markov chain Monte Carlo (MCMC) to hierarchical models designed to perform clustering in the space of latent parameters of subject-wise generative models.…
We introduce a new micro-macro Markov chain Monte Carlo method (mM-MCMC) to sample invariant distributions of molecular dynamics systems that exhibit a time-scale separation between the microscopic (fast) dynamics, and the macroscopic…
Hybrid Monte Carlo is a powerful Markov Chain Monte Carlo method for sampling from complex continuous distributions. However, a major limitation of HMC is its inability to be applied to discrete domains due to the lack of gradient signal.…
Markov Chain Monte Carlo (MCMC) methods have a drawback when working with a target distribution or likelihood function that is computationally expensive to evaluate, specially when working with big data. This paper focuses on…
In big data context, traditional MCMC methods, such as Metropolis-Hastings algorithms and hybrid Monte Carlo, scale poorly because of their need to evaluate the likelihood over the whole data set at each iteration. In order to resurrect…
We consider the problem of Bayesian inference for changepoints where the number and position of the changepoints are both unknown. In particular, we consider product partition models where it is possible to integrate out model parameters…
Markov chain Monte Carlo (MCMC) methods have existed for a long time and the field is well-explored. The purpose of MCMC methods is to approximate a distribution through repeated sampling; most MCMC algorithms exhibit asymptotically optimal…
Markov chain Monte Carlo (MCMC) is the predominant tool used in Bayesian parameter estimation for hierarchical models. When the model expands due to an increasing number of hierarchical levels, number of groups at a particular level, or…