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Approximate Bayesian computation (ABC) is a class of Bayesian inference algorithms that targets for problems with intractable or {unavailable} likelihood function. It uses synthetic data drawn from the simulation model to approximate the…
Bayesian inference allows us to define a posterior distribution over the weights of a generic neural network (NN). Exact posteriors are usually intractable, in which case approximations can be employed. One such approximation - variational…
A major challenge facing existing sequential Monte-Carlo methods for parameter estimation in physics stems from the inability of existing approaches to robustly deal with experiments that have different mechanisms that yield the results…
This paper introduces a new neural network based prior for real valued functions on $\mathbb R^d$ which, by construction, is more easily and cheaply scaled up in the domain dimension $d$ compared to the usual Karhunen-Lo\`eve function space…
Exact approximations of Markov chain Monte Carlo (MCMC) algorithms are a general emerging class of sampling algorithms. One of the main ideas behind exact approximations consists of replacing intractable quantities required to run standard…
Sparsity has become a key concept for solving of high-dimensional inverse problems using variational regularization techniques. Recently, using similar sparsity-constraints in the Bayesian framework for inverse problems by encoding them in…
Markov chain Monte Carlo (MCMC) has transformed Bayesian model inference over the past three decades: mainly because of this, Bayesian inference is now a workhorse of applied scientists. Under general conditions, MCMC sampling converges…
This paper addresses the problem of Monte Carlo approximation of posterior probability distributions. In particular, we have considered a recently proposed technique known as population Monte Carlo (PMC), which is based on an iterative…
In this paper we consider fully Bayesian inference in general state space models. Existing particle Markov chain Monte Carlo (MCMC) algorithms use an augmented model that takes into account all the variable sampled in a sequential Monte…
Increasingly complex datasets pose a number of challenges for Bayesian inference. Conventional posterior sampling based on Markov chain Monte Carlo can be too computationally intensive, is serial in nature and mixes poorly between posterior…
Probabilistic (or Bayesian) modeling and learning offers interesting possibilities for systematic representation of uncertainty using probability theory. However, probabilistic learning often leads to computationally challenging problems.…
We construct a new framework for accelerating Markov chain Monte Carlo in posterior sampling problems where standard methods are limited by the computational cost of the likelihood, or of numerical models embedded therein. Our approach…
We propose a sequential Monte Carlo (SMC) method to efficiently and accurately compute cut-Bayesian posterior quantities of interest, variations of standard Bayesian approaches constructed primarily to account for model misspecification. We…
Estimating model parameters of a general family of cure models is always a challenging task mainly due to flatness and multimodality of the likelihood function. In this work, we propose a fully Bayesian approach in order to overcome these…
We present a new framework to derandomise certain Markov chain Monte Carlo (MCMC) algorithms. As in MCMC, we first reduce counting problems to sampling from a sequence of marginal distributions. For the latter task, we introduce a method…
Irreversible and rejection-free Monte Carlo methods, recently developed in Physics under the name Event-Chain and known in Statistics as Piecewise Deterministic Monte Carlo (PDMC), have proven to produce clear acceleration over standard…
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…
Many problems in the physical sciences, machine learning, and statistical inference necessitate sampling from a high-dimensional, multi-modal probability distribution. Markov Chain Monte Carlo (MCMC) algorithms, the ubiquitous tool for this…
Classical parameter-space Bayesian inference for Bayesian neural networks (BNNs) suffers from several unresolved prior issues, such as knowledge encoding intractability and pathological behaviours in deep networks, which can lead to…
Sparse representations have proven their efficiency in solving a wide class of inverse problems encountered in signal and image processing. Conversely, enforcing the information to be spread uniformly over representation coefficients…