Related papers: Unbiased MLMC-based variational Bayes for likeliho…

For many complex simulation tasks spanning areas such as healthcare, engineering, and finance, Monte Carlo (MC) methods are invaluable due to their unbiased estimates and precise error quantification. Nevertheless, Monte Carlo simulations…

Along with Markov chain Monte Carlo (MCMC) methods, variational inference (VI) has emerged as a central computational approach to large-scale Bayesian inference. Rather than sampling from the true posterior $\pi$, VI aims at producing a…

In this work, a novel sequential Monte Carlo filter is introduced which aims at efficient sampling of high-dimensional state spaces with a limited number of particles. Particles are pushed forward from the prior to the posterior density…

The multinomial probit model is often used to analyze choice behaviour. However, estimation with existing Markov chain Monte Carlo (MCMC) methods is computationally costly, which limits its applicability to large choice data sets. This…

As modern neural networks get more complex, specifying a model with high predictive performance and sound uncertainty quantification becomes a more challenging task. Despite some promising theoretical results on the true posterior…

Mixtures of linear mixed models (MLMMs) are useful for clustering grouped data and can be estimated by likelihood maximization through the EM algorithm. The conventional approach to determining a suitable number of components is to compare…

This paper introduces a variational approximation framework using direct optimization of what is known as the {\it scale invariant Alpha-Beta divergence} (sAB divergence). This new objective encompasses most variational objectives that use…

The maximum mean discrepancy (MMD) is a kernel-based distance between probability distributions useful in many applications (Gretton et al. 2012), bearing a simple estimator with pleasing computational and statistical properties. Being able…

Distributed inference/estimation in Bayesian framework in the context of sensor networks has recently received much attention due to its broad applicability. The variational Bayesian (VB) algorithm is a technique for approximating…

The Laplace approximation has been one of the workhorses of Bayesian inference. It often delivers good approximations in practice despite the fact that it does not strictly take into account where the volume of posterior density lies.…

When combined with highly expressive ansatz functions such as neural quantum states, variational Monte Carlo (VMC) constitutes a versatile numerical approach to tackle the quantum many-body problem in and out of equilibrium. However, its…

Bayesian inference for doubly-intractable pairwise exponential graphical models typically involves variations of the exchange algorithm or approximate Markov chain Monte Carlo (MCMC) samplers. However, existing methods for both classes of…

Variational Bayesian inference is an important machine-learning tool that finds application from statistics to robotics. The goal is to find an approximate probability density function (PDF) from a chosen family that is in some sense…

In this article, we describe a {\tt R} package for sampling from an empirical likelihood-based posterior using a Hamiltonian Monte Carlo method. Empirical likelihood-based methodologies have been used in Bayesian modeling of many problems…

Bayesian inference provides principled uncertainty quantification, but accurate posterior sampling with MCMC can be computationally prohibitive for modern applications. Variational inference (VI) offers a scalable alternative and often…

We propose a novel Continuation Multi Level Monte Carlo (CMLMC) algorithm for weak approximation of stochastic models. The CMLMC algorithm solves the given approximation problem for a sequence of decreasing tolerances, ending when the…

We study stochastic gradient descent for solving conditional stochastic optimization problems, in which an objective to be minimized is given by a parametric nested expectation with an outer expectation taken with respect to one random…

To conduct Bayesian inference with large data sets, it is often convenient or necessary to distribute the data across multiple machines. We consider a likelihood function expressed as a product of terms, each associated with a subset of the…

Variational Bayes (VB) is a popular and computationally efficient method to approximate the posterior distribution in Bayesian inference, especially when the exact posterior is analytically intractable and sampling-based approaches are…

Quasi-Monte Carlo (QMC) methods for estimating integrals are attractive since the resulting estimators typically converge at a faster rate than pseudo-random Monte Carlo. However, they can be difficult to set up on arbitrary posterior…