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We leverage multilevel Monte Carlo (MLMC) to improve the performance of multi-step look-ahead Bayesian optimization (BO) methods that involve nested expectations and maximizations. Often these expectations must be computed by Monte Carlo…
The combinatorial sequential Monte Carlo (CSMC) has been demonstrated to be an efficient complementary method to the standard Markov chain Monte Carlo (MCMC) for Bayesian phylogenetic tree inference using biological sequences. It is…
Bayesian modelling and computational inference by Markov chain Monte Carlo (MCMC) is a principled framework for large-scale uncertainty quantification, though is limited in practice by computational cost when implemented in the simplest…
Markov Chain Monte Carlo (MCMC) techniques are now widely used for cosmological parameter estimation. Chains are generated to sample the posterior probability distribution obtained following the Bayesian approach. An important issue is how…
Traditionally, the field of computational Bayesian statistics has been divided into two main subfields: variational methods and Markov chain Monte Carlo (MCMC). In recent years, however, several methods have been proposed based on combining…
Modern parallel computing devices, such as the graphics processing unit (GPU), have gained significant traction in scientific and statistical computing. They are particularly well-suited to data-parallel algorithms such as the particle…
Varying coefficient models (VCMs) are widely used for estimating nonlinear regression functions for functional data. Their Bayesian variants using Gaussian process priors on the functional coefficients, however, have received limited…
Bayesian inference for factorial hidden Markov models is challenging due to the exponentially sized latent variable space. Standard Monte Carlo samplers can have difficulties effectively exploring the posterior landscape and are often…
Bayesian inference allows us to define a posterior distribution over the weights of a generic neural network (NN). Exact posteriors are usually intractable, in which case approximations can be employed. One such approximation - variational…
Computer power is a constantly increasing demand in scientific data analyses, in particular when Markov Chain Monte Carlo (MCMC) methods are involved, for example for estimating integral functions or Bayesian posterior probabilities. In…
Bayesian neural learning feature a rigorous approach to estimation and uncertainty quantification via the posterior distribution of weights that represent knowledge of the neural network. This not only provides point estimates of optimal…
Employing Bayesian inference to calibrate constitutive model parameters has grown substantially in recent years. Among the available techniques, Markov Chain Monte Carlo (MCMC) sampling remains one of the most widely used approaches for…
Most of Markov Chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) algorithms in existing probabilistic programming systems suboptimally use only model priors as proposal distributions. In this work, we describe an approach for…
Markov Chain Monte Carlo (MCMC) methods are algorithms for sampling probability distributions, commonly applied to the Boltzmann distribution in physical and chemical models such as protein folding and the Ising model. These methods enable…
Sequential Monte Carlo (SMC) methods are a class of techniques to sample approximately from any sequence of probability distributions using a combination of importance sampling and resampling steps. This paper is concerned with the…
Likelihood-free methods, such as approximate Bayesian computation, are powerful tools for practical inference problems with intractable likelihood functions. Markov chain Monte Carlo and sequential Monte Carlo variants of approximate…
Many real-world problems require one to estimate parameters of interest, in a Bayesian framework, from data that are collected sequentially in time. Conventional methods for sampling from posterior distributions, such as {Markov Chain Monte…
Markov chain Monte Carlo (MCMC) methods are ubiquitous tools for simulation-based inference in many fields but designing and identifying good MCMC samplers is still an open question. This paper introduces a novel MCMC algorithm, namely,…
Markov Chain Monte Carlo (MCMC) methods for sampling probability density functions (combined with abundant computational resources) have transformed the sciences, especially in performing probabilistic inferences, or fitting models to data.…
Monte Carlo methods, such as Markov chain Monte Carlo (MCMC), remain the most regularly-used approach for implementing Bayesian inference. However, the computational cost of these approaches usually scales worse than linearly with the…