Related papers: MetFlow: A New Efficient Method for Bridging the G…

Variational inference lies at the core of many state-of-the-art algorithms. To improve the approximation of the posterior beyond parametric families, it was proposed to include MCMC steps into the variational lower bound. In this work we…

We propose a Monte Carlo sampler from the reverse diffusion process. Unlike the practice of diffusion models, where the intermediary updates -- the score functions -- are learned with a neural network, we transform the score matching…

Markov Chain Monte Carlo (MCMC) sampling is computationally expensive, especially for complex models. Alternative methods make simplifying assumptions about the posterior to reduce computational burden, but their impact on predictive…

Bayesian modelling and computational inference by Markov chain Monte Carlo (MCMC) is a principled framework for large-scale uncertainty quantification, though is limited in practice by computational cost when implemented in the simplest…

Bayesian inference for Markov processes has become increasingly relevant in recent years. Problems of this type often have intractable likelihoods and prior knowledge about model rate parameters is often poor. Markov Chain Monte Carlo…

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…

Markov chain Monte Carlo (MCMC) is a powerful methodology for the approximation of posterior distributions. However, the iterative nature of MCMC does not naturally facilitate its use with modern highly parallel computation on HPC and cloud…

In this article we consider Bayesian estimation of static parameters for a class of partially observed McKean-Vlasov diffusion processes with discrete-time observations over a fixed time interval. This problem features several obstacles to…

We develop exact Markov chain Monte Carlo methods for discretely-sampled, directly and indirectly observed diffusions. The qualification "exact" refers to the fact that the invariant and limiting distribution of the Markov chains is the…

Most expressive variational families -- such as normalizing flows -- lack practical convergence guarantees, as their theoretical assurances typically hold only at the intractable global optimum. In this work, we present a general recipe for…

We consider the topic of data imputation, a foundational task in machine learning that addresses issues with missing data. To that end, we propose MCFlow, a deep framework for imputation that leverages normalizing flow generative models and…

Sequential Monte Carlo (SMC) is a methodology for sampling approximately from a sequence of probability distributions of increasing dimension and estimating their normalizing constants. We propose here an alternative methodology named…

Recent advances in MCMC use normalizing flows to precondition target distributions and enable jumps to distant regions. However, there is currently no systematic comparison of different normalizing flow architectures for MCMC. As such, many…

Markov chain Monte Carlo (MCMC) methods are sampling methods that have become a commonly used tool in statistics, for example to perform Monte Carlo integration. As a consequence of the increase in computational power, many variations of…

We design and implement a novel algorithm for computing a multilevel Monte Carlo (MLMC) estimator of the cumulative distribution function of a quantity of interest in problems with random input parameters or initial conditions. Our approach…

Neyman-Scott processes (NSPs) have been applied across a range of fields to model points or temporal events with a hierarchy of clusters. Markov chain Monte Carlo (MCMC) is typically used for posterior sampling in the model. However, MCMC's…

Most applications of Bayesian Inference for parameter estimation and model selection in astrophysics involve the use of Monte Carlo techniques such as Markov Chain Monte Carlo (MCMC) and nested sampling. However, these techniques are time…

Dimension reduction algorithms aim to discover latent variables which describe underlying structures in high-dimensional data. Methods such as factor analysis and principal component analysis have the downside of not offering much…

We present a general framework for accelerating a large class of widely used Markov chain Monte Carlo (MCMC) algorithms. Our approach exploits fast, iterative approximations to the target density to speculatively evaluate many potential…

Markov chain Monte Carlo (MCMC) algorithms are indispensable when sampling from a complex, high-dimensional distribution by a conventional method is intractable. Even though MCMC is a powerful tool, it is also hard to control and tune in…