Related papers: Towards derandomising Markov chain Monte Carlo

Bayesian inference in state-space models is challenging due to high-dimensional state trajectories. A viable approach is particle Markov chain Monte Carlo, combining MCMC and sequential Monte Carlo to form "exact approximations" to…

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…

We consider conditional tests for non-negative discrete exponential families. We develop two Markov Chain Monte Carlo (MCMC) algorithms which allow us to sample from the conditional space and to perform approximated tests. The first…

We introduce a framework for efficient Markov Chain Monte Carlo (MCMC) algorithms targeting discrete-valued high-dimensional distributions, such as posterior distributions in Bayesian variable selection (BVS) problems. We show that many…

Markov Chain Monte Carlo (MCMC) methods are a powerful tool for computation with complex probability distributions. However the performance of such methods is critically dependant on properly tuned parameters, most of which are difficult if…

We present an efficient algorithm for the inference of stochastic block models in large networks. The algorithm can be used as an optimized Markov chain Monte Carlo (MCMC) method, with a fast mixing time and a much reduced susceptibility to…

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…

The Massively Parallel Computation (MPC) model is an emerging model which distills core aspects of distributed and parallel computation. It has been developed as a tool to solve (typically graph) problems in systems where the input is…

Markov chain Monte Carlo is a class of algorithms for drawing Markovian samples from high-dimensional target densities to approximate the numerical integration associated with computing statistical expectation, especially in Bayesian…

Sampling from distributions play a crucial role in aiding practitioners with statistical inference. However, in numerous situations, obtaining exact samples from complex distributions is infeasible. Consequently, researchers often turn to…

Markov chain Monte Carlo sampling methods often suffer from long correlation times. Consequently, these methods must be run for many steps to generate an independent sample. In this paper a method is proposed to overcome this difficulty.…

We propose a novel Metropolis-Hastings algorithm to sample uniformly from the space of correlation matrices. Existing methods in the literature are based on elaborated representations of a correlation matrix, or on complex parametrizations…

We develop a novel Markov chain Monte Carlo (MCMC) method that exploits a hierarchy of models of increasing complexity to efficiently generate samples from an unnormalized target distribution. Broadly, the method rewrites the Multilevel…

Markov chain Monte Carlo (MCMC) methods have not been broadly adopted in Bayesian neural networks (BNNs). This paper initially reviews the main challenges in sampling from the parameter posterior of a neural network via MCMC. Such…

We attempt to trace the history and development of Markov chain Monte Carlo (MCMC) from its early inception in the late 1940s through its use today. We see how the earlier stages of Monte Carlo (MC, not MCMC) research have led to the…

An introduction to numerical large-deviation sampling is provided. First, direct biasing with a known distribution is explained. As simple example, the Bernoulli experiment is used throughout the text. Next, Markov chain Monte Carlo (MCMC)…

An efficient simulation-based methodology is proposed for the rolling window estimation of state space models, called particle rolling Markov chain Monte Carlo (MCMC) with double block sampling. In our method, which is based on Sequential…

In dynamic Monte Carlo simulations, using for example the Metropolis dynamic, it is often required to simulate for long times and to simulate large systems. We present an overview of advanced algorithms to simulate for larger times and to…

Proximal Markov Chain Monte Carlo is a novel construct that lies at the intersection of Bayesian computation and convex optimization, which helped popularize the use of nondifferentiable priors in Bayesian statistics. Existing formulations…

The random numbers driving Markov chain Monte Carlo (MCMC) simulation are usually modeled as independent U(0,1) random variables. Tribble [Markov chain Monte Carlo algorithms using completely uniformly distributed driving sequences (2007)…