Related papers: Bayesian parameter estimation in $\chi$EFT using H…
Markov chain Monte Carlo (MCMC) sampling of densities restricted to linearly constrained domains is an important task arising in Bayesian treatment of inverse problems in the natural sciences. While efficient algorithms for uniform polytope…
I discuss our recent work on Green's function Monte Carlo (GFMC) calculations of light nuclei using local nucleon-nucleon interactions derived from chiral effective field theory (EFT) up to next-to-next-to-leading order (N$^2$LO). I present…
Chiral effective field theory (EFT) enables a systematic description of low-energy hadronic interactions with controlled theoretical uncertainties. For strongly interacting systems, quantum Monte Carlo (QMC) methods provide some of the most…
We consider posterior sampling in the very common Bayesian hierarchical model in which observed data depends on high-dimensional latent variables that, in turn, depend on relatively few hyperparameters. When the full conditional over the…
In many hierarchical inverse problems, not only do we want to estimate high- or infinite-dimensional model parameters in the parameter-to-observable maps, but we also have to estimate hyperparameters that represent critical assumptions in…
Hamiltonian Monte Carlo (HMC) is arguably the dominant statistical inference algorithm used in most popular "first-order differentiable" Probabilistic Programming Languages (PPLs). However, the fact that HMC uses derivative information…
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…
Markov chain Monte Carlo (MCMC) methods require a large number of samples to approximate a posterior distribution, which can be costly when the likelihood or prior is expensive to evaluate. The number of samples can be reduced if we can…
The advantages of sequential Monte Carlo (SMC) are exploited to develop parameter estimation and model selection methods for GARCH (Generalized AutoRegressive Conditional Heteroskedasticity) style models. It provides an alternative method…
Sequential Monte Carlo (SMC) methods offer a principled approach to Bayesian uncertainty quantification but are traditionally limited by the need for full-batch gradient evaluations. We introduce a scalable variant by incorporating…
High-dimensional data are routinely collected in many areas. We are particularly interested in Bayesian classification models in which one or more variables are imbalanced. Current Markov chain Monte Carlo algorithms for posterior…
We explore the constraints on the three-nucleon force (3NF) of chiral effective field theory ($\chi$EFT) that are provided by bound-state observables in the $A=3$ and $A=4$ sectors. Our statistically rigorous analysis incorporates…
We present powerful new analysis techniques to constrain effective field theories at the LHC. By leveraging the structure of particle physics processes, we extract extra information from Monte-Carlo simulations, which can be used to train…
In parameter estimation problems one computes a posterior distribution over uncertain parameters defined jointly by a prior distribution, a model, and noisy data. Markov Chain Monte Carlo (MCMC) is often used for the numerical solution of…
We propose Kernel Hamiltonian Monte Carlo (KMC), a gradient-free adaptive MCMC algorithm based on Hamiltonian Monte Carlo (HMC). On target densities where classical HMC is not an option due to intractable gradients, KMC adaptively learns…
Modern macroeconometrics often relies on time series models for which it is time-consuming to evaluate the likelihood function. We demonstrate how Bayesian computations for such models can be drastically accelerated by reweighting and…
Hamiltonian Monte Carlo (HMC) is a powerful algorithm to sample latent variables from Bayesian models. The advent of probabilistic programming languages (PPLs) frees users from writing inference algorithms and lets users focus on modeling.…
The hybrid Monte Carlo (HMC) algorithm is used for Bayesian analysis of the generalized autoregressive conditional heteroscedasticity (GARCH) model. The HMC algorithm is one of Markov chain Monte Carlo (MCMC) algorithms and it updates all…
Traditional Markov chain Monte Carlo (MCMC) sampling of hidden Markov models (HMMs) involves latent states underlying an imperfect observation process, and generates posterior samples for top-level parameters concurrently with nuisance…
The goal of this article is to introduce the Hamiltonian Monte Carlo (HMC) method -- a Hamiltonian dynamics-inspired algorithm for sampling from a Gibbs density $\pi(x) \propto e^{-f(x)}$. We focus on the "idealized" case, where one can…