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State-space models have been used in many applications, including econometrics, engineering, medical research, etc. The maximum likelihood estimation (MLE) of the static parameter of general state-space models is not straightforward because…
Bayesian inference for factorial hidden Markov models is challenging due to the exponentially sized latent variable space. Standard Monte Carlo samplers can have difficulties effectively exploring the posterior landscape and are often…
This paper introduces a framework for speeding up Bayesian inference conducted in presence of large datasets. We design a Markov chain whose transition kernel uses an (unknown) fraction of (fixed size) of the available data that is randomly…
Spectral clustering refers to a family of unsupervised learning algorithms that compute a spectral embedding of the original data based on the eigenvectors of a similarity graph. This non-linear transformation of the data is both the key of…
With appropriately chosen sampling probabilities, sampling-based random projection can be used to implement large-scale statistical methods, substantially reducing computational cost while maintaining low statistical error. However,…
Entity alignment has always had significant uses within a multitude of diverse scientific fields. In particular, the concept of matching entities across networks has grown in significance in the world of social science as communicative…
Monte Carlo (MC) dropout is a simple and efficient ensembling method that can improve the accuracy and confidence calibration of high-capacity deep neural network models. However, MC dropout is not as effective as more compute-intensive…
Importance Sampling (IS) is a widely used variance reduction technique for enhancing the efficiency of Monte Carlo methods, particularly in rare-event simulation and related applications. Despite its effectiveness, the performance of IS is…
Markov chain Monte Carlo (MCMC) algorithms provide a very general recipe for estimating properties of complicated distributions. While their use has become commonplace and there is a large literature on MCMC theory and practice, MCMC users…
We show how the expectation-maximization (EM) algorithm can be applied exactly for the fitting of mixtures of general multivariate skew t (MST) distributions, eliminating the need for computationally expensive Monte Carlo estimation. Finite…
As a pivotal branch of machine learning, manifold learning uncovers the intrinsic low-dimensional structure within complex nonlinear manifolds in high-dimensional space for visualization, classification, clustering, and gaining key…
Markov Chain Monte Carlo (MCMC) proves to be powerful for Bayesian inference and in particular for exoplanet radial velocity fitting because MCMC provides more statistical information and makes better use of data than common approaches like…
The Stochastic Approximation EM (SAEM) algorithm, a variant stochastic approximation of EM, is a versatile tool for inference in incomplete data models. In this paper, we review the fundamental EM algorithm and then focus especially on the…
The ability to generate samples of the random effects from their conditional distributions is fundamental for inference in mixed effects models. Random walk Metropolis is widely used to perform such sampling, but this method is known to…
Analytical electron microscopy and spectroscopy of biological specimens, polymers, and other beam sensitive materials has been a challenging area due to irradiation damage. There is a pressing need to develop novel imaging and spectroscopic…
This work describes a domain embedding technique between two non-matching meshes used for generating realizations of spatially correlated random fields with applications to large-scale sampling-based uncertainty quantification. The goal is…
We consider the task of MCMC sampling from a distribution defined on a discrete space. Building on recent insights provided in [Zan19], we devise a class of efficient continuous-time, non-reversible algorithms which make active use of the…
Inference after model selection presents computational challenges when dealing with intractable conditional distributions. Markov chain Monte Carlo (MCMC) is a common method for sampling from these distributions, but its slow convergence…
Stochastic gradients have been widely integrated into Langevin-based methods to improve their scalability and efficiency in solving large-scale sampling problems. However, the proximal sampler, which exhibits much faster convergence than…
This chapter reviews methods for linear shrinkage of the sample covariance matrix (SCM) and matrices (SCM-s) under elliptical distributions in single and multiple populations settings, respectively. In the single sample setting a popular…