Related papers: Particle-based, rapid incremental smoother meets p…

We propose a new method to estimate structural parameters in multi-way networks while controlling for rich structures of fixed effects. The method is based on a series of classification tasks and is agnostic to both the number and structure…

We present a novel method in the family of particle MCMC methods that we refer to as particle Gibbs with ancestor sampling (PG-AS). Similarly to the existing PG with backward simulation (PG-BS) procedure, we use backward sampling to…

We consider estimating the marginal likelihood in settings with independent and identically distributed (i.i.d.) data. We propose estimating the predictive distributions in a sequential factorization of the marginal likelihood in such…

Particle-optimization-based sampling (POS) is a recently developed effective sampling technique that interactively updates a set of particles. A representative algorithm is the Stein variational gradient descent (SVGD). We prove, under…

We consider the problem of inference in discrete probabilistic models, that is, distributions over subsets of a finite ground set. These encompass a range of well-known models in machine learning, such as determinantal point processes and…

We introduce a symmetric random scan Gibbs sampler for scalable Bayesian variable selection that eliminates storage of the full cross-product matrix by computing required quantities on-the-fly. Data-informed proposal weights, constructed…

In order to construct accurate proposers for Metropolis-Hastings Markov Chain Monte Carlo, we integrate ideas from probabilistic graphical models and neural networks in an open-source framework we call Lightweight Inference Compilation…

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…

Modern parallel computing devices, such as the graphics processing unit (GPU), have gained significant traction in scientific and statistical computing. They are particularly well-suited to data-parallel algorithms such as the particle…

We consider sampling from a Gibbs distribution by evolving a finite number of particles using a particular score estimator rather than Brownian motion. To accelerate the particles, we consider a second-order score-based ODE, similar to…

Implicit sampling is a weighted sampling method that is used in data assimilation, where one sequentially updates estimates of the state of a stochastic model based on a stream of noisy or incomplete data. Here we describe how to use…

Motivated by applications arising from sensor networks and machine learning, we consider the problem of minimizing a finite sum of nondifferentiable convex functions where each component function is associated with an agent and a…

The particle filter (PF), also known as sequential Monte Carlo (SMC), approximates high-dimensional probability distributions and their normalizing constants in the discrete-time setting. To reduce the variance of the Monte Carlo…

Bayesian methods and their implementations by means of sophisticated Monte Carlo techniques, such as Markov chain Monte Carlo (MCMC) and particle filters, have become very popular in signal processing over the last years. However, in many…

Inference in continuous label Markov random fields is a challenging task. We use particle belief propagation (PBP) for solving the inference problem in continuous label space. Sampling particles from the belief distribution is typically…

In signal processing, the data collected from sensing devices is often a noisy linear superposition of multiple components, and the estimation of components of interest constitutes a crucial pre-processing step. In this work, we develop a…

We propose an inexact variable-metric proximal point algorithm to accelerate gradient-based optimization algorithms. The proposed scheme, called QNing can be notably applied to incremental first-order methods such as the stochastic…

We propose a novel class of dynamic shrinkage processes for Bayesian time series and regression analysis. Building upon a global-local framework of prior construction, in which continuous scale mixtures of Gaussian distributions are…

Recently, Andrieu, Doucet and Holenstein (2010) introduced a general framework for using particle filters (PFs) to construct proposal kernels for Markov chain Monte Carlo (MCMC) methods. This framework, termed Particle Markov chain Monte…

We present a new approach-the ALVar estimator-to estimation of asymptotic variance in sequential Monte Carlo methods, or, particle filters. The method, which adjusts adaptively the lag of the estimator proposed in [Olsson, J. and Douc, R.…