Related papers: Monte Carlo Approximation of Bayes Factors via Mix…

We construct a new framework for accelerating Markov chain Monte Carlo in posterior sampling problems where standard methods are limited by the computational cost of the likelihood, or of numerical models embedded therein. Our approach…

Motivated by penalized likelihood maximization in complex models, we study optimization problems where neither the function to optimize nor its gradient have an explicit expression, but its gradient can be approximated by a Monte Carlo…

Markov chain Monte Carlo methods such as Gibbs sampling and simple forms of the Metropolis algorithm typically move about the distribution being sampled via a random walk. For the complex, high-dimensional distributions commonly encountered…

In many application areas, data are collected on a categorical response and high-dimensional categorical predictors, with the goals being to build a parsimonious model for classification while doing inferences on the important predictors.…

A novel procedure is described for accelerating the convergence of Markov chain Monte Carlo computations. The algorithm uses an adaptive bootstrap technique to generate candidate steps in the Markov Chain. It is efficient for symmetric,…

The fully marginalized likelihood, or Bayesian evidence, is of great importance in probabilistic data analysis, because it is involved in calculating the posterior probability of a model or re-weighting a mixture of models conditioned on…

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…

Mixture models provide a flexible representation of heterogeneity in a finite number of latent classes. From the Bayesian point of view, Markov Chain Monte Carlo methods provide a way to draw inferences from these models. In particular,…

This work considers the problem of sampling from a probability distribution known up to a normalization constant while satisfying a set of statistical constraints specified by the expected values of general nonlinear functions. This problem…

We study Bayesian estimation of mixture models and argue in favor of fitting the marginal posterior distribution over component assignments directly, rather than Gibbs sampling from the joint posterior on components and parameters as is…

We propose a novel reversible jump Markov chain Monte Carlo (MCMC) simulated annealing algorithm to optimize radial basis function (RBF) networks. This algorithm enables us to maximize the joint posterior distribution of the network…

We generalize the approach of Liu and Lawrence (1999) for multiple changepoint problems where the number of changepoints is unknown. The approach is based on dynamic programming recursion for efficient calculation of the marginal…

We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete--time state--space Markov model. The algorithm employs two layers of particle filters to approximate the…

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…

Poisson log-linear models are ubiquitous in many applications, and one of the most popular approaches for parametric count regression. In the Bayesian context, however, there are no sufficient specific computational tools for efficient…

Variational inference methods have been shown to lead to significant improvements in the computational efficiency of approximate Bayesian inference in mixed multinomial logit models when compared to standard Markov-chain Monte Carlo (MCMC)…

This article proposes an artificial data generating algorithm that is simple and easy to customize. The fundamental concept is to perform random permutation of Monte Carlo generated random numbers which conform to the unconditional…

Model comparison for the purposes of selection, averaging and validation is a problem found throughout statistics. Within the Bayesian paradigm, these problems all require the calculation of the posterior probabilities of models within a…

The Linear Ballistic Accumulator (Brown & Heathcote, 2008) model is used as a measurement tool to answer questions about applied psychology. The analyses based on this model depend upon the model selected and its estimated parameters.…

We propose quantum algorithms that provide provable speedups for Markov Chain Monte Carlo (MCMC) methods commonly used for sampling from probability distributions of the form $\pi \propto e^{-f}$, where $f$ is a potential function. Our…