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We introduce a gradient-based learning method to automatically adapt Markov chain Monte Carlo (MCMC) proposal distributions to intractable targets. We define a maximum entropy regularised objective function, referred to as generalised speed…
A novel class of non-reversible Markov chain Monte Carlo schemes relying on continuous-time piecewise-deterministic Markov Processes has recently emerged. In these algorithms, the state of the Markov process evolves according to a…
Markov chains are simple yet powerful mathematical structures to model temporally dependent processes. They generally assume stationary data, i.e., fixed transition probabilities between observations/states. However, live, real-world…
Posterior sampling is a task of central importance in Bayesian inference. For many applications in Bayesian meta-analysis and Bayesian transfer learning, the prior distribution is unknown and needs to be estimated from samples. In practice,…
Over decades, Markov chain Monte Carlo (MCMC) methods have been widely studied, with a typical application being the quantification of posterior uncertainties in Bayesian system identification of structural dynamic models. To address the…
Markov Chain Monte Carlo (MCMC) methods are a powerful tool for computation with complex probability distributions. However the performance of such methods is critically dependant on properly tuned parameters, most of which are difficult if…
Atomistic simulations provide valuable insights into the physical processes governing material behavior. However, their applicability is fundamentally constrained by the limited time scales accessible to brute-force simulations. This…
Nonlinear non-Gaussian state-space models arise in numerous applications in statistics and signal processing. In this context, one of the most successful and popular approximation techniques is the Sequential Monte Carlo (SMC) algorithm,…
Monte Carlo methods are widely used importance sampling techniques for studying complex physical systems. Integrating these methods with deep learning has significantly improved efficiency and accuracy in high-dimensional problems and…
Practitioners of Bayesian statistics have long depended on Markov chain Monte Carlo (MCMC) to obtain samples from intractable posterior distributions. Unfortunately, MCMC algorithms are typically serial, and do not scale to the large…
1. Temporal trends in species distributions are necessary for monitoring changes in biodiversity, which aids policymakers and conservationists in making informed decisions. Dynamic species distribution models are often fitted to ecological…
Sampling from lattice Gaussian distribution has emerged as an important problem in coding, decoding and cryptography. In this paper, the classic Gibbs algorithm from Markov chain Monte Carlo (MCMC) methods is demonstrated to be…
We introduce zeus, a well-tested Python implementation of the Ensemble Slice Sampling (ESS) method for Bayesian parameter inference. ESS is a novel Markov chain Monte Carlo (MCMC) algorithm specifically designed to tackle the computational…
An irreversible Markov-chain Monte Carlo (MCMC) algorithm with skew detailed balance conditions originally proposed by Turitsyn et al. is extended to general discrete systems on the basis of the Metropolis-Hastings scheme. To evaluate the…
Hamiltonian Monte Carlo (HMC) is an efficient and effective means of sampling posterior distributions on Euclidean space, which has been extended to manifolds with boundary. However, some applications require an extension to more general…
We study time-changed Markov processes to speed up the convergence of Markov chain Monte Carlo (MCMC) algorithms. The time-changed process is defined by adjusting the speed of time of a base process via a user-chosen, state-dependent…
Particle Markov chain Monte Carlo (pMCMC) is now a popular method for performing Bayesian statistical inference on challenging state space models (SSMs) with unknown static parameters. It uses a particle filter (PF) at each iteration of an…
In this manuscript, inspired by a simpler reformulation of primary sample space Metropolis light transport, we derive a novel family of general Markov chain Monte Carlo algorithms called charted Metropolis-Hastings, that introduces the…
We study Markov chain Monte Carlo (MCMC) algorithms for target distributions defined on matrix spaces. Such an important sampling problem has yet to be analytically explored. We carry out a major step in covering this gap by developing the…
Markov Chain Monte Carlo (MCMC) methods, such as the Metropolis-Hastings (MH) algorithm, are widely used for Bayesian inference. One of the most important issues for any MCMC method is the convergence of the Markov chain, which depends…