Related papers: A Case for Quantifying Statistical Robustness of S…

This paper is on Bayesian inference for parametric statistical models that are defined by a stochastic simulator which specifies how data is generated. Exact sampling is then possible but evaluating the likelihood function is typically…

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…

Machine learning (ML) frameworks rely heavily on pseudorandom number generators (PRNGs) for tasks such as data shuffling, weight initialization, dropout, and optimization. Yet, the statistical quality and reproducibility of these…

Multi-time-scale stochastic approximation is an iterative algorithm for finding the fixed point of a set of $N$ coupled operators given their noisy samples. It has been observed that due to the coupling between the decision variables and…

Parametric Markov chains (pMC) are used to model probabilistic systems with unknown or partially known probabilities. Although (universal) pMC verification for reachability properties is known to be coETR-complete, there have been efforts…

We consider conditional tests for non-negative discrete exponential families. We develop two Markov Chain Monte Carlo (MCMC) algorithms which allow us to sample from the conditional space and to perform approximated tests. The first…

This note extends a recently proposed algorithm for model identification and robust MPC of asymptotically stable, linear time-invariant systems subject to process and measurement disturbances. Independent output predictors for different…

Statistical inference methods are fundamentally important in machine learning. Most state-of-the-art inference algorithms are variants of Markov chain Monte Carlo (MCMC) or variational inference (VI). However, both methods struggle with…

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…

Monte Carlo methods use random sampling to estimate numerical quantities which are hard to compute deterministically. One important example is the use in statistical physics of rapidly mixing Markov chains to approximately compute partition…

In this paper we consider fully Bayesian inference in general state space models. Existing particle Markov chain Monte Carlo (MCMC) algorithms use an augmented model that takes into account all the variable sampled in a sequential Monte…

Particle Markov Chain Monte Carlo (PMCMC) is a general computational approach to Bayesian inference for general state space models. Our article scales up PMCMC in terms of the number of observations and parameters by generating the…

Recent advances in Markov chain Monte Carlo (MCMC) extend the scope of Bayesian inference to models for which the likelihood function is intractable. Although these developments allow us to estimate model parameters, other basic problems…

Quantization, a commonly used technique to reduce the memory footprint of a neural network for edge computing, entails reducing the precision of the floating-point representation used for the parameters of the network. The impact of such…

In order to tackle the problem of sampling from heavy tailed, high dimensional distributions via Markov Chain Monte Carlo (MCMC) methods, Yang, Latuszy\'nski, and Roberts (2022) (arXiv:2205.12112) introduces the stereographic projection as…

Sequential Monte Carlo (SMC) methods are not only a popular tool in the analysis of state space models, but offer an alternative to MCMC in situations where Bayesian inference must proceed via simulation. This paper introduces a new SMC…

In dynamic Monte Carlo simulations, using for example the Metropolis dynamic, it is often required to simulate for long times and to simulate large systems. We present an overview of advanced algorithms to simulate for larger times and to…

Cyber-Physical Systems (CPS) in domains such as manufacturing and energy distribution generate complex time series data crucial for Prognostics and Health Management (PHM). While Deep Learning (DL) methods have demonstrated strong…

Quasi-Monte Carlo (QMC) methods for estimating integrals are attractive since the resulting estimators typically converge at a faster rate than pseudo-random Monte Carlo. However, they can be difficult to set up on arbitrary posterior…

In statistical analysis, Monte Carlo (MC) stands as a classical numerical integration method. When encountering challenging sample problem, Markov chain Monte Carlo (MCMC) is a commonly employed method. However, the MCMC estimator is biased…