Related papers: Cost free hyper-parameter selection/averaging for …
The formulation of Bayesian inverse problems involves choosing prior distributions; choices that seem equally reasonable may lead to significantly different conclusions. We develop a computational approach to better understand the impact of…
This paper introduces a Bayesian framework that combines Markov chain Monte Carlo (MCMC) sampling, dimensionality reduction, and neural density estimation to efficiently handle inverse problems that (i) must be solved multiple times, and…
By facilitating the generation of samples from arbitrary probability distributions, Markov Chain Monte Carlo (MCMC) is, arguably, \emph{the} tool for the evaluation of Bayesian inference problems that yield non-standard posterior…
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…
In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an…
The multivariate extended skew-normal distribution allows for accommodating raw data which are skewed and heavy tailed, and has at least three appealing statistical properties, namely closure under conditioning, affine transformations, and…
Approximate Bayesian computation methods can be used to evaluate posterior distributions without having to calculate likelihoods. In this paper we discuss and apply an approximate Bayesian computation (ABC) method based on sequential Monte…
Approximate Bayesian inference for models with computationally expensive, black-box likelihoods poses a significant challenge, especially when the posterior distribution is complex. Many inference methods struggle to explore the parameter…
Recent developments in big data and analytics research have produced an abundance of large data sets that are too big to be analyzed in their entirety, due to limits on computer memory or storage capacity. To address these issues,…
Sequential Monte Carlo has become a standard tool for Bayesian Inference of complex models. This approach can be computationally demanding, especially when initialized from the prior distribution. On the other hand, deter-ministic…
Approximate Bayesian computation (ABC) methods can be used to sample from posterior distributions when the likelihood function is unavailable or intractable, as is often the case in biological systems. ABC methods suffer from inefficient…
This paper presents an improved implicit sampling method for hierarchical Bayesian inverse problems. A widely used approach for sampling posterior distribution is based on Markov chain Monte Carlo (MCMC). However, the samples generated by…
A Monte Carlo algorithm is said to be adaptive if it automatically calibrates its current proposal distribution using past simulations. The choice of the parametric family that defines the set of proposal distributions is critical for good…
Sparsity has become a key concept for solving of high-dimensional inverse problems using variational regularization techniques. Recently, using similar sparsity-constraints in the Bayesian framework for inverse problems by encoding them in…
Approximate Bayesian computation (ABC) methods are standard tools for inferring parameters of complex models when the likelihood function is analytically intractable. A popular approach to improving the poor acceptance rate of the basic…
Sequential Monte Carlo (SMC) methods comprise one of the most successful approaches to approximate Bayesian filtering. However, SMC without good proposal distributions struggle in high dimensions. We propose nested sequential Monte Carlo…
Bayesian hierarchical modeling is a popular approach to capturing unobserved heterogeneity across individual units. However, standard estimation methods such as Markov chain Monte Carlo (MCMC) can be impracticable for modeling outcomes from…
Sequential Monte Carlo samplers represent a compelling approach to posterior inference in Bayesian models, due to being parallelisable and providing an unbiased estimate of the posterior normalising constant. In this work, we significantly…
We propose nested sequential Monte Carlo (NSMC), a methodology to sample from sequences of probability distributions, even where the random variables are high-dimensional. NSMC generalises the SMC framework by requiring only approximate,…
Markov chain Monte Carlo (MCMC) is a powerful methodology for the approximation of posterior distributions. However, the iterative nature of MCMC does not naturally facilitate its use with modern highly parallel computation on HPC and cloud…