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Markov chain Monte Carlo (MCMC) provides a feasible method for inferring Hidden Markov models, however, it is often computationally prohibitive, especially constrained by the curse of dimensionality, as the Monte Carlo sampler traverses…

Kernel methods have revolutionized the fields of pattern recognition and machine learning. Their success, however, critically depends on the choice of kernel parameters. Using Gaussian process (GP) classification as a working example, this…

Manifold-valued parameters routinely arise in modern statistical applications such as in medical imaging, robotics, and computer vision, to name a few. While traditional Bayesian approaches are applicable to such settings by considering an…

A novel class of non-reversible Markov chain Monte Carlo schemes relying on continuous-time piecewise-deterministic Markov Processes has recently emerged. In these algorithms, the state of the Markov process evolves according to a…

The main challenges that arise when adopting Gaussian Process priors in probabilistic modeling are how to carry out exact Bayesian inference and how to account for uncertainty on model parameters when making model-based predictions on…

Due to the need for robust uncertainty quantification, Bayesian neural learning has gained attention in the era of deep learning and big data. Markov Chain Monte-Carlo (MCMC) methods typically implement Bayesian inference which faces…

A common numerical task is to represent functions which are highly spatially anisotropic, and to solve differential equations related to these functions. One way such anisotropy arises is that information transfer along one spatial…

In this article, we propose a novel and general dimension-hopping MCMC methodology that can update all the parameters as well as the number of parameters simultaneously using simple deterministic transformations of some low-dimensional…

Numerical resolution of high-dimensional nonlinear PDEs remains a huge challenge due to the curse of dimensionality. Starting from the weak formulation of the Lawson-Euler scheme, this paper proposes a stochastic particle method (SPM) by…

This study introduces a computationally efficient algorithm, delayed acceptance Markov chain Monte Carlo (DA-MCMC), designed to improve posterior simulation in quasi-Bayesian inference. Quasi-Bayesian methods, which do not require fully…

We study the computational complexity of Markov chain Monte Carlo (MCMC) methods for high-dimensional Bayesian linear regression under sparsity constraints. We first show that a Bayesian approach can achieve variable-selection consistency…

The spherical Jeans equation is widely used to estimate the mass content of a stellar systems with apparent spherical symmetry. However, this method suffers from a degeneracy between the assumed mass density and the kinematic anisotropy…

Markov chain Monte Carlo (MCMC) algorithms are ubiquitous in Bayesian computations. However, they need to access the full data set in order to evaluate the posterior density at every step of the algorithm. This results in a great…

Gaussian graphical models are widely used to infer dependence structures. Bayesian methods are appealing to quantify uncertainty associated with structural learning, i.e., the plausibility of conditional independence statements given the…

High-dimensional limit theorems have been shown useful to derive tuning rules for finding the optimal scaling in random-walk Metropolis algorithms. The assumptions under which weak convergence results are proved are however restrictive: the…

We consider the computational efficiency of Monte Carlo (MC) and Multilevel Monte Carlo (MLMC) methods applied to partial differential equations with random coefficients. These arise, for example, in groundwater flow modelling, where a…

This paper introduces methodology for performing Bayesian inference sequentially on a sequence of posteriors on spaces of different dimensions. We show how this may be achieved through the use of sequential Monte Carlo (SMC) samplers (Del…

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…

In this contribution, the use of discrete simulations to formulate an anisotropic damage model is investigated. It is proposed to use a beam-particle model to perform numerical characterization tests. Indeed, this discrete model explicitly…

Methane gas hydrates have increasingly become a topic of interest because of their potential as a future energy resource. There are significant economical and environmental risks associated with extraction from hydrate reservoirs, so a…