Related papers: On the convergence of the Metropolis algorithm wit…
We propose a new class of learning algorithms that combines variational approximation and Markov chain Monte Carlo (MCMC) simulation. Naive algorithms that use the variational approximation as proposal distribution can perform poorly…
Variable selection is a key issue when analyzing high-dimensional data. The explosion of data with large sample sizes and dimensionality brings new challenges to this problem in both inference accuracy and computational complexity. To…
The multiple-try Metropolis (MTM) algorithm is a generalization of the Metropolis-Hastings algorithm in which the transition kernel uses a compound proposal consisting of multiple candidate draws. Since its seminal paper there have been…
Markov chain Monte Carlo methods have become standard tools in statistics to sample from complex probability measures. Many available techniques rely on discrete-time reversible Markov chains whose transition kernels build up over the…
Markov Chain Monte Carlo (MCMC) algorithms are routinely used to draw samples from distributions with intractable normalization constants. However, standard MCMC algorithms do not apply to doubly-intractable distributions in which there are…
Markov chain Monte Carlo (MCMC) methods to sample from a probability distribution $\pi$ defined on a space $(\Theta,\mathcal{T})$ consist of the simulation of realisations of Markov chains $\{\theta_{n},n\geq1\}$ of invariant distribution…
The Metropolis-Hastings (MH) algorithm is one of the most widely used Markov Chain Monte Carlo schemes for generating samples from Bayesian posterior distributions. The algorithm is asymptotically exact, flexible and easy to implement.…
A $\phi$-irreducible and aperiodic Markov chain with stationary probability distribution will converge to its stationary distribution from almost all starting points. The property of Harris recurrence allows us to replace ``almost all'' by…
Markov chain Monte Carlo (MCMC) methods are powerful computational tools for analysis of complex statistical problems. However, their computational efficiency is highly dependent on the chosen proposal distribution, which is generally…
Traditional MCMC algorithms are computationally intensive and do not scale well to large data. In particular, the Metropolis-Hastings (MH) algorithm requires passing over the entire dataset to evaluate the likelihood ratio in each…
Markov Chain Monte Carlo (MCMC) methods have a drawback when working with a target distribution or likelihood function that is computationally expensive to evaluate, specially when working with big data. This paper focuses on…
To sample from a given target distribution, Markov chain Monte Carlo (MCMC) sampling relies on constructing an ergodic Markov chain with the target distribution as its invariant measure. For any MCMC method, an important question is how to…
Markov Chain Monte Carlo (MCMC) algorithms are commonly used for their versatility in sampling from complicated probability distributions. However, as the dimension of the distribution gets larger, the computational costs for a satisfactory…
We present a new multiple-try Metropolis-Hastings algorithm designed to be especially beneficial when a tailored proposal distribution is available. The algorithm is based on a given acyclic graph $G$, where one of the nodes in $G$, $k$…
Global fits of physics models require efficient methods for exploring high-dimensional and/or multimodal posterior functions. We introduce a novel method for accelerating Markov Chain Monte Carlo (MCMC) sampling by pairing a…
Markov chain Monte Carlo is a class of algorithms for drawing Markovian samples from high-dimensional target densities to approximate the numerical integration associated with computing statistical expectation, especially in Bayesian…
We propose a weighting scheme for the proposals within Markov chain Monte Carlo algorithms and show how this can improve statistical efficiency at no extra computational cost. These methods are most powerful when combined with…
When implementing Markov Chain Monte Carlo (MCMC) algorithms, perturbation caused by numerical errors is sometimes inevitable. This paper studies how perturbation of MCMC affects the convergence speed and Monte Carlo estimation accuracy.…
Among random sampling methods, Markov Chain Monte Carlo algorithms are foremost. Using a combination of analytical and numerical approaches, we study their convergence properties towards the steady state, within a random walk Metropolis…
Bayesian computation crucially relies on Markov chain Monte Carlo (MCMC) algorithms. In the case of massive data sets, running the Metropolis-Hastings sampler to draw from the posterior distribution becomes prohibitive due to the large…