Related papers: Variational Combinatorial Sequential Monte Carlo M…
Variational Bayesian Monte Carlo (VBMC) is a recently introduced framework that uses Gaussian process surrogates to perform approximate Bayesian inference in models with black-box, non-cheap likelihoods. In this work, we extend VBMC to deal…
We study the computational complexity of Markov chain Monte Carlo (MCMC) methods for high-dimensional Bayesian linear regression under sparsity constraints. We first show that a Bayesian approach can achieve variable-selection consistency…
This paper introduces a framework for speeding up Bayesian inference conducted in presence of large datasets. We design a Markov chain whose transition kernel uses an (unknown) fraction of (fixed size) of the available data that is randomly…
Multidimensional scaling (MDS) is widely used to reconstruct a low-dimensional representation of high-dimensional data while preserving pairwise distances. However, Bayesian MDS approaches based on Markov chain Monte Carlo (MCMC) face…
Bayesian inference for factorial hidden Markov models is challenging due to the exponentially sized latent variable space. Standard Monte Carlo samplers can have difficulties effectively exploring the posterior landscape and are often…
A Monte Carlo algorithm is said to be adaptive if it automatically calibrates its current proposal distribution using past simulations. The choice of the parametric family that defines the set of proposal distributions is critical for good…
In the following article we provide an exposition of exact computational methods to perform parameter inference from partially observed network models. In particular, we consider the duplication attachment (DA) model which has a likelihood…
Spatial whole-brain Bayesian modeling of task-related functional magnetic resonance imaging (fMRI) is a great computational challenge. Most of the currently proposed methods therefore do inference in subregions of the brain separately or do…
Sequential Monte Carlo (SMC) samplers are powerful tools for Bayesian inference but suffer from high computational costs due to their reliance on large particle ensembles for accurate estimates. We introduce persistent sampling (PS), an…
The posteriors over neural network weights are high dimensional and multimodal. Each mode typically characterizes a meaningfully different representation of the data. We develop Cyclical Stochastic Gradient MCMC (SG-MCMC) to automatically…
Sequential Monte Carlo (SMC) methods are a class of Monte Carlo methods that are used to obtain random samples of a high dimensional random variable in a sequential fashion. Many problems encountered in applications often involve different…
Approximate inference in probabilistic graphical models (PGMs) can be grouped into deterministic methods and Monte-Carlo-based methods. The former can often provide accurate and rapid inferences, but are typically associated with biases…
We introduce methodology for real-time inference in general-state-space hidden Markov models. Specifically, we extend recent advances in controlled sequential Monte Carlo (CSMC) methods-originally proposed for offline smoothing-to the…
We propose a multilevel Markov chain Monte Carlo (MCMC) method for the Bayesian inference of random field parameters in PDEs using high-resolution data. Compared to existing multilevel MCMC methods, we additionally consider level-dependent…
Bayesian inference promises to ground and improve the performance of deep neural networks. It promises to be robust to overfitting, to simplify the training procedure and the space of hyperparameters, and to provide a calibrated measure of…
We develop clustering procedures for longitudinal trajectories based on a continuous-time hidden Markov model (CTHMM) and a generalized linear observation model. Specifically in this paper, we carry out finite and infinite mixture…
A simple and efficient adaptive Markov Chain Monte Carlo (MCMC) method, called the Metropolized Adaptive Subspace (MAdaSub) algorithm, is proposed for sampling from high-dimensional posterior model distributions in Bayesian variable…
Approximate Bayesian computation (ABC) methods are standard tools for inferring parameters of complex models when the likelihood function is analytically intractable. A popular approach to improving the poor acceptance rate of the basic…
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…
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…