Related papers: Approximate Gibbs Sampler for Efficient Inference …

We introduce and characterise the performance of the Markov chain Monte Carlo (MCMC) inference method Prune Sampling for discrete and deterministic Bayesian networks (BNs). We developed a procedure to obtain the performance of a MCMC…

Approximate Graph Pattern Mining (AGPM) is essential for analyzing large-scale graphs where exact counting is computationally prohibitive. While there exist numerous sampling-based AGPM systems, they all rely on uniform sampling and…

A new algorithm is developed to tackle the issue of sampling non-Gaussian model parameter posterior probability distributions that arise from solutions to Bayesian inverse problems. The algorithm aims to mitigate some of the hurdles faced…

This chapter surveys the most standard Monte Carlo methods available for simulating from a posterior distribution associated with a mixture and conducts some experiments about the robustness of the Gibbs sampler in high dimensional Gaussian…

Markov chain Monte Carlo (MCMC) algorithms have become powerful tools for Bayesian inference. However, they do not scale well to large-data problems. Divide-and-conquer strategies, which split the data into batches and, for each batch, run…

Approximate Bayesian computation (ABC) or likelihood-free inference algorithms are used to find approximations to posterior distributions without making explicit use of the likelihood function, depending instead on simulation of sample data…

Switching dynamical systems are an expressive model class for the analysis of time-series data. As in many fields within the natural and engineering sciences, the systems under study typically evolve continuously in time, it is natural to…

Approximate Bayesian Computation (ABC) is a statistical learning technique to calibrate and select models by comparing observed data to simulated data. This technique bypasses the use of the likelihood and requires only the ability to…

We develop amortized population Gibbs (APG) samplers, a class of scalable methods that frames structured variational inference as adaptive importance sampling. APG samplers construct high-dimensional proposals by iterating over updates to…

The Collective Graphical Model (CGM) models a population of independent and identically distributed individuals when only collective statistics (i.e., counts of individuals) are observed. Exact inference in CGMs is intractable, and previous…

The maximum a-posteriori (MAP) perturbation framework has emerged as a useful approach for inference and learning in high dimensional complex models. By maximizing a randomly perturbed potential function, MAP perturbations generate unbiased…

Multidimensional scaling (MDS) is widely used to reconstruct a low-dimensional representation of high-dimensional data while preserving pairwise distances. However, Bayesian MDS approaches based on Markov chain Monte Carlo (MCMC) face…

We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to existing literature is manifold. First, we discuss different multi-move sampling techniques for Markov Switching (MS) state…

Due to the ease of modern data collection, applied statisticians often have access to a large set of covariates that they wish to relate to some observed outcome. Generalized linear models (GLMs) offer a particularly interpretable framework…

A vital stage in the mathematical modelling of real-world systems is to calibrate a model's parameters to observed data. Likelihood-free parameter inference methods, such as Approximate Bayesian Computation, build Monte Carlo samples of the…

We study general coordinate-wise MCMC schemes (such as Metropolis-within-Gibbs samplers), which are commonly used to fit Bayesian non-conjugate hierarchical models. We relate their convergence properties to the ones of the corresponding…

Approximate Bayesian Computation (ABC) methods are increasingly used for inference in situations in which the likelihood function is either computationally costly or intractable to evaluate. Extensions of the basic ABC rejection algorithm…

Standard Gibbs sampling applied to a multivariate normal distribution with a specified precision matrix is equivalent in fundamental ways to the Gauss-Seidel iterative solution of linear equations in the precision matrix. Specifically, the…

High-dimensional data are routinely collected in many areas. We are particularly interested in Bayesian classification models in which one or more variables are imbalanced. Current Markov chain Monte Carlo algorithms for posterior…

Hamiltonian Monte Carlo (HMC) samples efficiently from high-dimensional posterior distributions with proposed parameter draws obtained by iterating on a discretized version of the Hamiltonian dynamics. The iterations make HMC…