Related papers: Dimension-free Mixing for High-dimensional Bayesia…

In this paper we examine the implications of the statistical large sample theory for the computational complexity of Bayesian and quasi-Bayesian estimation carried out using Metropolis random walks. Our analysis is motivated by the…

Multiple-proposal MCMC algorithms have recently gained attention for their potential to improve performance, especially through parallel implementation on modern hardware. We introduce Stereographic Multiple-Try Metropolis (SMTM), a novel…

Hamiltonian Monte Carlo (HMC) sampling methods provide a mechanism for defining distant proposals with high acceptance probabilities in a Metropolis-Hastings framework, enabling more efficient exploration of the state space than standard…

In big data context, traditional MCMC methods, such as Metropolis-Hastings algorithms and hybrid Monte Carlo, scale poorly because of their need to evaluate the likelihood over the whole data set at each iteration. In order to resurrect…

Traditional methods for unsupervised learning of finite mixture models require to evaluate the likelihood of all components of the mixture. This becomes computationally prohibitive when the number of components is large, as it is, for…

This paper discusses the efficient Bayesian estimation of a multivariate factor stochastic volatility (Factor MSV) model with leverage. We propose a novel approach to construct the sampling schemes that converges to the posterior…

The Markov chain Monte Carlo (MCMC) method is the computational workhorse for Bayesian inverse problems. However, MCMC struggles in high-dimensional parameter spaces, since its iterates must sequentially explore the high-dimensional space.…

Recently developed techniques have made it possible to quickly learn accurate probability density functions from data in low-dimensional continuous space. In particular, mixtures of Gaussians can be fitted to data very quickly using an…

This paper discusses a Metropolis-Hastings algorithm developed by \citeA{MarsmanIsing}. The algorithm is derived from first principles, and it is proven that the algorithm becomes more efficient with more data and meets the growing demands…

Circular data are data measured in angles and occur in a variety of scientific disciplines. Bayesian methods promise to allow for flexible analysis of circular data. Three existing MCMC methods (Gibbs, Metropolis-Hastings, and Rejection)…

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…

In this article, we propose a novel and general dimension-hopping MCMC methodology that can update all the parameters as well as the number of parameters simultaneously using simple deterministic transformations of some low-dimensional…

Many inference problems involve inferring the number $N$ of components in some region, along with their properties $\{\mathbf{x}_i\}_{i=1}^N$, from a dataset $\mathcal{D}$. A common statistical example is finite mixture modelling. In the…

In this article we consider Bayesian estimation of static parameters for a class of partially observed McKean-Vlasov diffusion processes with discrete-time observations over a fixed time interval. This problem features several obstacles to…

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…

In this work, we present, analyze, and implement a class of Multi-Level Markov chain Monte Carlo (ML-MCMC) algorithms based on independent Metropolis-Hastings proposals for Bayesian inverse problems. In this context, the likelihood function…

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…

Generalized linear mixed models (GLMM) are used for inference and prediction in a wide range of different applications providing a powerful scientific tool. An increasing number of sources of data are becoming available, introducing a…

The hierarchical Dirichlet process (HDP) has become an important Bayesian nonparametric model for grouped data, such as document collections. The HDP is used to construct a flexible mixed-membership model where the number of components is…

Cyclical MCMC is a novel MCMC framework recently proposed by Zhang et al. (2019) to address the challenge posed by high-dimensional multimodal posterior distributions like those arising in deep learning. The algorithm works by generating a…