Related papers: Quantum Metropolis-Hastings algorithm with the tar…
The Hamiltonian Monte Carlo (HMC) method has been recognized as a powerful sampling tool in computational statistics. We show that performance of HMC can be significantly improved by incorporating importance sampling and an irreversible…
We construct a simple quantum version of the classical Metropolis algorithm to prepare and observe quantum thermal states. It induces both a quantum Markov chain that mixes the quantum thermal state and a classical Markov chain that mixes…
The Markov Chain Monte Carlo method is at the heart of efficient approximation schemes for a wide range of problems in combinatorial enumeration and statistical physics. It is therefore very natural and important to determine whether…
Hamiltonian Monte Carlo (HMC) is a powerful Markov chain Monte Carlo (MCMC) algorithm for estimating expectations with respect to continuous un-normalized probability distributions. MCMC estimators typically have higher variance than…
To minimise systematic errors in Monte Carlo simulations of charged particles, long range electrostatic interactions have to be calculated accurately and efficiently. Standard approaches, such as Ewald summation or the naive application of…
Switching state-space models (SSSM) are a very popular class of time series models that have found many applications in statistics, econometrics and advanced signal processing. Bayesian inference for these models typically relies on Markov…
Sequential Monte Carlo squared (SMC$^2$; Chopin et al., 2012) methods can be used to sample from the exact posterior distribution of intractable likelihood state space models. These methods are the SMC analogue to particle Markov chain…
Performing Bayesian inference via Markov chain Monte Carlo (MCMC) can be exceedingly expensive when posterior evaluations invoke the evaluation of a computationally expensive model, such as a system of partial differential equations. In…
I generalize the well-known classical Metropolis-Hastings algorithm into a quantum algorithm that can equilibrate, measure, and mix a quantum thermal state on a quantum computer. It performs non-symmetric transitions on labels of state…
The Hamiltonian Monte Carlo (HMC) sampling algorithm exploits Hamiltonian dynamics to construct efficient Markov Chain Monte Carlo (MCMC), which has become increasingly popular in machine learning and statistics. Since HMC uses the gradient…
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…
Pseudo-marginal Metropolis-Hastings (pmMH) is a powerful method for Bayesian inference in models where the posterior distribution is analytical intractable or computationally costly to evaluate directly. It operates by introducing…
The multilevel Monte Carlo (MLMC) method for continuous-time Markov chains, first introduced by Anderson and Higham (SIAM Multiscal Model. Simul. 10(1), 2012), is a highly efficient simulation technique that can be used to estimate various…
Terrorist activities often exhibit temporal and spatial clustering, making the multivariate Hawkes process (MHP) a useful statistical model for analysing terrorism across different geographic regions. However, terror attack data from the…
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…
Bayesian methods and their implementations by means of sophisticated Monte Carlo techniques have become very popular in signal processing over the last years. Importance Sampling (IS) is a well-known Monte Carlo technique that approximates…
In many hierarchical inverse problems, not only do we want to estimate high- or infinite-dimensional model parameters in the parameter-to-observable maps, but we also have to estimate hyperparameters that represent critical assumptions in…
We construct a new framework for accelerating Markov chain Monte Carlo in posterior sampling problems where standard methods are limited by the computational cost of the likelihood, or of numerical models embedded therein. Our approach…
The missing data issue often complicates the task of estimating generalized linear models (GLMs). We describe why the pseudo-marginal Metropolis-Hastings algorithm, used in this setting, is an effective strategy for parameter estimation.…
In this article we consider Bayesian estimation of static parameters for a class of partially observed McKean-Vlasov diffusion processes with discrete-time observations over a fixed time interval. This problem features several obstacles to…