Related papers: Event-chain Monte Carlo: foundations, applications…
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…
The Metropolis algorithm is one of the Markov chain Monte Carlo (MCMC) methods that realize sampling from the target probability distribution. In this paper, we are concerned with the sampling from the distribution in non-identifiable cases…
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…
Evaluating the degree of partisan districting (Gerrymandering) in a statistical framework typically requires an ensemble of districting plans which are drawn from a prescribed probability distribution that adheres to a realistic and…
Many applications in signal processing require the estimation of some parameters of interest given a set of observed data. More specifically, Bayesian inference needs the computation of {\it a-posteriori} estimators which are often…
Markov chain Monte Carlo (MCMC) methods are widely used in machine learning. One of the major problems with MCMC is the question of how to design chains that mix fast over the whole state space; in particular, how to select the parameters…
The Hamiltonian Monte Carlo (HMC) algorithm is a powerful Markov Chain Monte Carlo (MCMC) method that uses Hamiltonian dynamics to generate samples from a target distribution. To fully exploit its potential, we must understand how…
Probabilistic modeling provides the capability to represent and manipulate uncertainty in data, models, predictions and decisions. We are concerned with the problem of learning probabilistic models of dynamical systems from measured data.…
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…
From its inception in the 1950s to the modern frontiers of applied statistics, Markov chain Monte Carlo has been one of the most ubiquitous and successful methods in statistical computing. In that time its development has been fueled by…
We propose a Markov Chain Monte Carlo (MCMC) algorithm based on Gibbs sampling with parallel tempering to solve nonlinear optimal control problems. The algorithm is applicable to nonlinear systems with dynamics that can be approximately…
We extend the event-chain Monte Carlo algorithm from hard-sphere interactions to the micro-canonical ensemble (constant potential energy) for general potentials. This event-driven Monte Carlo algorithm is non-local, rejection-free, and…
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…
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…
We introduce Projected Latent Markov Chain Monte Carlo (PL-MCMC), a technique for sampling from the high-dimensional conditional distributions learned by a normalizing flow. We prove that a Metropolis-Hastings implementation of PL-MCMC…
Markov Chain Monte Carlo (MCMC) methods are employed to sample from a given distribution of interest, whenever either the distribution does not exist in closed form, or, if it does, no efficient method to simulate an independent sample from…
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…
We propose a novel Markov chain Monte-Carlo (MCMC) method for reverse engineering the topological structure of stochastic reaction networks, a notoriously challenging problem that is relevant in many modern areas of research, like…
From basic considerations of the Lie group that preserves a target probability measure, we derive the Barker, Metropolis, and ensemble Markov chain Monte Carlo (MCMC) algorithms, as well as variants of waste-recycling Metropolis-Hastings…
Adaptive and interacting Markov chain Monte Carlo algorithms (MCMC) have been recently introduced in the literature. These novel simulation algorithms are designed to increase the simulation efficiency to sample complex distributions.…