Related papers: Variational Bayesian Approximation of Inverse Prob…
In various industrial contexts, estimating the distribution of unobserved random vectors Xi from some noisy indirect observations H(Xi) + Ui is required. If the relation between Xi and the quantity H(Xi), measured with the error Ui, is…
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…
We propose a robust and scalable framework for variational Bayes (VB) that effectively handles outliers and contamination of arbitrary nature in large datasets. Our approach divides the dataset into disjoint subsets, computes the posterior…
This paper develops a probabilistic numerical method for solution of partial differential equations (PDEs) and studies application of that method to PDE-constrained inverse problems. This approach enables the solution of challenging inverse…
Discrete choice models are commonly used by applied statisticians in numerous fields, such as marketing, economics, finance, and operations research. When agents in discrete choice models are assumed to have differing preferences, exact…
The use of non-differentiable priors in Bayesian statistics has become increasingly popular, in particular in Bayesian imaging analysis. Current state of the art methods are approximate in the sense that they replace the posterior with a…
Bayesian analysis is widely used in science and engineering for real-time forecasting, decision making, and to help unravel the processes that explain the observed data. These data are some deterministic and/or stochastic transformations of…
We investigate solution methods for large-scale inverse problems governed by partial differential equations (PDEs) via Bayesian inference. The Bayesian framework provides a statistical setting to infer uncertain parameters from noisy…
Diffusion models (DMs) have recently shown outstanding capabilities in modeling complex image distributions, making them expressive image priors for solving Bayesian inverse problems. However, most existing DM-based methods rely on…
We consider Bayesian inference for large scale inverse problems, where computational challenges arise from the need for repeated evaluations of an expensive forward model. This renders most Markov chain Monte Carlo approaches infeasible,…
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…
Likelihood-free methods, such as approximate Bayesian computation, are powerful tools for practical inference problems with intractable likelihood functions. Markov chain Monte Carlo and sequential Monte Carlo variants of approximate…
Variable selection is a classic problem in statistics. In this paper, we consider a Bayes variable selection problem based on spike-and-slab prior with mixed normal distribution proposed by Ro\v{c}kov\'a and George (2014). Motivated by…
Edge-caching is recognized as an efficient technique for future cellular networks to improve network capacity and user-perceived quality of experience. To enhance the performance of caching systems, designing an accurate content request…
Researchers increasingly wish to estimate time-varying parameter (TVP) regressions which involve a large number of explanatory variables. Including prior information to mitigate over-parameterization concerns has led to many using Bayesian…
In Bayesian inverse problems sampling the posterior distribution is often a challenging task when the underlying models are computationally intensive. To this end, surrogates or reduced models are often used to accelerate the computation.…
We consider Bayesian variable selection for binary outcomes under a probit link with a spike-and-slab prior on the regression coefficients. Motivated by the computational challenges encountered by Markov chain Monte Carlo (MCMC) samplers in…
Variational inference techniques based on inducing variables provide an elegant framework for scalable posterior estimation in Gaussian process (GP) models. Besides enabling scalability, one of their main advantages over sparse…
Estimation and prediction in high dimensional multivariate factor stochastic volatility models is an important and active research area because such models allow a parsimonious representation of multivariate stochastic volatility. Bayesian…
We consider continuous-time diffusion models driven by fractional Brownian motion. Observations are assumed to possess a non-trivial likelihood given the latent path. Due to the non-Markovianity and high-dimensionality of the latent paths,…