Related papers: Convergence Rates of Two-Component MCMC Samplers

We investigate how ideas from covariance localization in numerical weather prediction can be used in Markov chain Monte Carlo (MCMC) sampling of high-dimensional posterior distributions arising in Bayesian inverse problems. To localize an…

The Gibbs sampler (GS) is a crucial algorithm for approximating complex calculations, and it is justified by Markov chain theory, the alternating projection theorem, and $I$-projection, separately. We explore the equivalence between these…

We consider the problem of inference in discrete probabilistic models, that is, distributions over subsets of a finite ground set. These encompass a range of well-known models in machine learning, such as determinantal point processes and…

In the case of a linear state space model, we implement an MCMC sampler with two phases. In the learning phase, a self-tuning sampler is used to learn the parameter mean and covariance structure. In the estimation phase, the parameter mean…

There has been considerable interest in making Bayesian inference more scalable. In big data settings, most literature focuses on reducing the computing time per iteration, with less focused on reducing the number of iterations needed in…

We propose an adaptive Metropolis-Hastings algorithm in which sampled data are used to update the proposal distribution. We use the samples found by the algorithm at a particular step to form the information-theoretically optimal mean-field…

The independence sampler is one of the most commonly used MCMC algorithms usually as a component of a Metropolis-within-Gibbs algorithm. The common focus for the independence sampler is on the choice of proposal distribution to obtain an as…

A general methodology is introduced for the construction and effective application of control variates to estimation problems involving data from reversible MCMC samplers. We propose the use of a specific class of functions as control…

Delayed-acceptance Markov chain Monte Carlo (DA-MCMC) samples from a probability distribution via a two-stages version of the Metropolis-Hastings algorithm, by combining the target distribution with a "surrogate" (i.e. an approximate and…

Hamiltonian Monte Carlo (HMC) is a powerful Markov Chain Monte Carlo (MCMC) method for sampling from complex high-dimensional continuous distributions. However, in many situations it is necessary or desirable to combine HMC with other…

Markov Chain Monte Carlo methods are widely used in signal processing and communications for statistical inference and stochastic optimization. In this work, we introduce an efficient adaptive Metropolis-Hastings algorithm to draw samples…

Sampling from high dimensional distributions is a computational bottleneck in many scientific applications. Hamiltonian Monte Carlo (HMC), and in particular the No-U-Turn Sampler (NUTS), are widely used, yet they struggle on problems with a…

We construct an adaptive independent Metropolis-Hastings sampler that uses a mixture of normals as a proposal distribution. To take full advantage of the potential of adaptive sampling our algorithm updates the mixture of normals…

It was recently shown that path integral Monte Carlo can be used to directly compute partition functions of Hamiltonians with vibronic coupling [J. Chem. Phys. 148, 194110 (2018)]. While the importance sampling Monte Carlo integration…

We study parameter inference in large-scale latent variable models. We first propose an unified treatment of online inference for latent variable models from a non-canonical exponential family, and draw explicit links between several…

Markov Chain Monte Carlo (MCMC) is a well-established family of algorithms which are primarily used in Bayesian statistics to sample from a target distribution when direct sampling is challenging. Single instances of MCMC methods are widely…

The problem of sampling constrained continuous distributions has frequently appeared in many machine/statistical learning models. Many Monte Carlo Markov Chain (MCMC) sampling methods have been adapted to handle different types of…

The MC$^3$ (Madigan and York, 1995) and Gibbs (George and McCulloch, 1997) samplers are the most widely implemented algorithms for Bayesian Model Averaging (BMA) in linear regression models. These samplers draw a variable at random in each…

Hierarchical Bayesian Poisson regression models (HBPRMs) provide a flexible modeling approach of the relationship between predictors and count response variables. The applications of HBPRMs to large-scale datasets require efficient…

We establish some results for the rate of convergence in total variation of a Gibbs sampler to its equilibrium distribution. This sampler is motivated by a hierarchical Bayesian inference construction for a gamma random variable. Our…