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

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…

We consider the approximation of expectations with respect to the distribution of a latent Markov process given noisy measurements. This is known as the smoothing problem and is often approached with particle and Markov chain Monte Carlo…

We propose a hybrid Monte Carlo (HMC) technique applicable to high-dimensional multivariate normal distributions that effectively samples along chaotic trajectories. The method is predicated on the freedom of choice of the HMC momentum…

Particle Metropolis-Hastings enables Bayesian parameter inference in general nonlinear state space models (SSMs). However, in many implementations a random walk proposal is used and this can result in poor mixing if not tuned correctly…

Many Bayesian inference problems require exploring the posterior distribution of high-dimensional parameters that represent the discretization of an underlying function. This work introduces a family of Markov chain Monte Carlo (MCMC)…

Gibbs samplers are popular algorithms to approximate posterior distributions arising from Bayesian hierarchical models. Despite their popularity and good empirical performances, however, there are still relatively few quantitative results…

This work develops a powerful and versatile framework for determining acceptance ratios in Metropolis-Hastings type Markov kernels widely used in statistical sampling problems. Our approach allows us to derive new classes of kernels which…

The parameters of a discrete stationary Markov model are transition probabilities between states. Traditionally, data consist in sequences of observed states for a given number of individuals over the whole observation period. In such a…

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…

We address the inverse problem for the mean-field Ising model with two- and three-body interactions using a Bayesian framework. Parameter recovery in this setting is notoriously difficult, particularly near phase transitions, at…

We develop an algorithm for automatic differentiation of Metropolis-Hastings samplers, allowing us to differentiate through probabilistic inference, even if the model has discrete components within it. Our approach fuses recent advances in…

The complexity of the Metropolis-Hastings (MH) algorithm arises from the requirement of a likelihood evaluation for the full data set in each iteration. Payne and Mallick (2015) propose to speed up the algorithm by a delayed acceptance…

Markov jump processes (MJPs) are continuous-time stochastic processes widely used in a variety of applied disciplines. Inference for MJPs typically proceeds via Markov chain Monte Carlo, the state-of-the-art being a uniformization-based…

We prove a general result that if a Metropolis--Hastings algorithm has a proposal that is not geometrically ergodic and the acceptance rate approaches unity at a suitable rate as the state variable becomes large, then the Metropolised chain…

The availability of data sets with large numbers of variables is rapidly increasing. The effective application of Bayesian variable selection methods for regression with these data sets has proved difficult since available Markov chain…

Pseudo-marginal Metropolis-Hastings (pmMH) is a powerful method for Bayesian inference in models where the posterior distribution is analytical intractable or computationally costly to evaluate directly. It operates by introducing…

We investigate local MCMC algorithms, namely the random-walk Metropolis and the Langevin algorithms, and identify the optimal choice of the local step-size as a function of the dimension $n$ of the state space, asymptotically as…

In this paper we study the ergodicity properties of some adaptive Markov chain Monte Carlo algorithms (MCMC) that have been recently proposed in the literature. We prove that under a set of verifiable conditions, ergodic averages calculated…

We propose an adaptive independent Metropolis--Hastings algorithm with the ability to learn from all previous proposals in the chain except the current location. It is an extension of the independent Metropolis--Hastings algorithm.…

MCMC algorithms such as Metropolis-Hastings algorithms are slowed down by the computation of complex target distributions as exemplified by huge datasets. We offer in this paper an approach to reduce the computational costs of such…