Related papers: Scalable couplings for the random walk Metropolis …
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…
Sampling from the lattice Gaussian distribution plays an important role in various research fields. In this paper, the Markov chain Monte Carlo (MCMC)-based sampling technique is advanced in several fronts. Firstly, the spectral gap for the…
Urban street networks of unplanned or self-organized cities typically exhibit astonishing scale-free patterns. This scale-freeness can be shown, within the maximum entropy formalism (MaxEnt), as the manifestation of a fluctuating system…
Through the last years, different strategies to enhance synchronization in complex networks have been proposed. In this Letter, we show that the synchronization in a small-world network of attractively coupled non-identical neurons is…
We introduce a Markov Chain Monte Carlo algorithm which samples from the space of spanning trees of complete graphs using local rewiring operations only. The probability distribution of graphs of this kind is shown to depend on the…
Very recently, Transformation based Markov Chain Monte Carlo (TMCMC) was proposed by Dutta and Bhattcharya (2013) as a much efficient alternative to the Metropolis-Hastings algorithm, Random Walk Metropolis (RWM) algorithm, especially in…
We propose a coupled rejection-sampling method for sampling from couplings of arbitrary distributions. The method relies on accepting or rejecting coupled samples coming from dominating marginals. Contrary to existing acceptance-rejection…
It is common practice in Markov chain Monte Carlo to update the simulation one variable (or sub-block of variables) at a time, rather than conduct a single full-dimensional update. When it is possible to draw from each full-conditional…
We present a new finite-size scaling method for the random walks (RW) superseeding a previously widely used renormalization group approach, which is shown here to be inconsistent. The method is valid in any dimension and is based on the…
We introduce a general framework that constructs estimators with reduced variance for random walk Metropolis and Metropolis-adjusted Langevin algorithms. The resulting estimators require negligible computational cost and are derived in a…
In this paper, we shall optimize the efficiency of Metropolis algorithms for multidimensional target distributions with scaling terms possibly depending on the dimension. We propose a method for determining the appropriate form for the…
We introduce a Markov Chain Monte Carlo (MCMC) method that is designed to sample from target distributions with irregular geometry using an adaptive scheme. In cases where targets exhibit non-Gaussian behaviour, we propose that adaption…
A Kernel Adaptive Metropolis-Hastings algorithm is introduced, for the purpose of sampling from a target distribution with strongly nonlinear support. The algorithm embeds the trajectory of the Markov chain into a reproducing kernel Hilbert…
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…
We develop an Evolutionary Markov Chain Monte Carlo (EMCMC) algorithm for sampling spatial partitions that lie within a large and complex spatial state space. Our algorithm combines the advantages of evolutionary algorithms (EAs) as…
Metropolis algorithms are classical tools for sampling from target distributions, with broad applications in statistics and scientific computing. Their convergence speed is governed by the spectral gap of the associated Markov operator.…
We discuss convergence and coupling of Markov chains, and present general relations between the transfer matrices describing these two processes. We then analyze a recently developed local-patch algorithm, which computes rigorous upper…
Markov Chain Monte Carlo (MCMC) methods such as Gibbs sampling are finding widespread use in applied statistics and machine learning. These often lead to difficult computational problems, which are increasingly being solved on parallel and…
Feedback control algorithms traditionally rely on periodic execution on digital platforms. While this simplifies design and analysis, it often leads to inefficient resource usage (e.g., CPU, network bandwidth) in embedded control and shared…
We propose a Markov Chain Monte Carlo (MCMC) algorithm based on Gibbs sampling with parallel tempering to solve nonlinear optimal control problems. The algorithm is applicable to nonlinear systems with dynamics that can be approximately…