Related papers: A micro-macro Markov chain Monte Carlo method for …

We develop a Multi-Scale Merge-Split Markov chain on redistricting plans. The chain is designed to be usable as the proposal in a Markov Chain Monte Carlo (MCMC) algorithm. Sampling the space of plans amounts to dividing a graph into a…

We demonstrate that an inverse Monte Carlo approach allows to reconstruct effective interaction potentials from real-space images. The method is exemplified on monomolecular ethanol-water films imaged with scanning force microscopy (SFM),…

It is commonly admitted that non-reversible Markov chain Monte Carlo (MCMC) algorithms usually yield more accurate MCMC estimators than their reversible counterparts. In this note, we show that in addition to their variance reduction…

Monte Carlo algorithms simulate some prescribed number of samples, taking some random real time to complete the computations necessary. This work considers the converse: to impose a real-time budget on the computation, which results in the…

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,…

Hybrid Monte Carlo (HMC) generates samples from a prescribed probability distribution in a configuration space by simulating Hamiltonian dynamics, followed by the Metropolis (-Hastings) acceptance/rejection step. Compressible HMC (CHMC)…

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…

Existing Markov Chain Monte Carlo (MCMC) methods are either based on general-purpose and domain-agnostic schemes which can lead to slow convergence, or hand-crafting of problem-specific proposals by an expert. We propose A-NICE-MC, a novel…

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…

Markov chain Monte Carlo (MCMC) provides a feasible method for inferring Hidden Markov models, however, it is often computationally prohibitive, especially constrained by the curse of dimensionality, as the Monte Carlo sampler traverses…

Markov chain Monte Carlo (MCMC) algorithms are widely used to sample from complicated distributions, especially to sample from the posterior distribution in Bayesian inference. However, MCMC is not directly applicable when facing the doubly…

Performing numerical integration when the integrand itself cannot be evaluated point-wise is a challenging task that arises in statistical analysis, notably in Bayesian inference for models with intractable likelihood functions. Markov…

Traditional Markov chain Monte Carlo (MCMC) sampling of hidden Markov models (HMMs) involves latent states underlying an imperfect observation process, and generates posterior samples for top-level parameters concurrently with nuisance…

Bayesian inverse problems often involve sampling posterior distributions on infinite-dimensional function spaces. Traditional Markov chain Monte Carlo (MCMC) algorithms are characterized by deteriorating mixing times upon mesh-refinement,…

We show how to extend a recently proposed multi-level Monte Carlo approach to the continuous time Markov chain setting, thereby greatly lowering the computational complexity needed to compute expected values of functions of the state of the…

Markov Chain Monte Carlo (MCMC) methods are algorithms for sampling probability distributions, commonly applied to the Boltzmann distribution in physical and chemical models such as protein folding and the Ising model. These methods enable…

Markov chain Monte Carlo algorithms are invaluable tools for exploring stationary properties of physical systems, especially in situations where direct sampling is unfeasible. Common implementations of Monte Carlo algorithms employ…

In many situations it is important to be able to propose $N$ independent realizations of a given distribution law. We propose a strategy for making $N$ parallel Monte Carlo Markov Chains (MCMC) interact in order to get an approximation of…

Markov chain Monte Carlo (MCMC) is widely used for Bayesian inference in models of complex systems. Performance, however, is often unsatisfactory in models with many latent variables due to so-called poor mixing, necessitating development…

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…