Related papers: PyVBMC: Efficient Bayesian inference in Python

In Part I (arXiv:1911.00619) of this article, we proposed an importance sampling algorithm to compute rare-event probabilities in forward uncertainty quantification problems. The algorithm, which we termed the "Bayesian Inverse Monte Carlo…

Hamiltonian Monte Carlo (HMC) is a powerful and accurate method to sample from the posterior distribution in Bayesian inference. However, HMC techniques are computationally demanding for Bayesian neural networks due to the high…

This paper introduces a framework for speeding up Bayesian inference conducted in presence of large datasets. We design a Markov chain whose transition kernel uses an (unknown) fraction of (fixed size) of the available data that is randomly…

Variational Bayes (VB) is rapidly becoming a popular tool for Bayesian inference in statistical modeling. However, the existing VB algorithms are restricted to cases where the likelihood is tractable, which precludes the use of VB in many…

Bayesian inference in deep neural networks is challenging due to the high-dimensional, strongly multi-modal parameter posterior density landscape. Markov chain Monte Carlo approaches asymptotically recover the true posterior but are…

Variational inference has become an increasingly attractive fast alternative to Markov chain Monte Carlo methods for approximate Bayesian inference. However, a major obstacle to the widespread use of variational methods is the lack of…

Calibration of individual based models (IBMs), successful in modeling complex ecological dynamical systems, is often performed only ad-hoc. Bayesian inference can be used for both parameter estimation and uncertainty quantification, but its…

The posterior over Bayesian neural network (BNN) parameters is extremely high-dimensional and non-convex. For computational reasons, researchers approximate this posterior using inexpensive mini-batch methods such as mean-field variational…

We propose a novel sampling framework for inference in probabilistic models: an active learning approach that converges more quickly (in wall-clock time) than Markov chain Monte Carlo (MCMC) benchmarks. The central challenge in…

Variational Bayes (VB) provides a computationally efficient alternative to Markov Chain Monte Carlo, especially for high-dimensional and large-scale inference. However, existing theory on VB primarily focuses on fixed-dimensional settings…

As modern neural networks get more complex, specifying a model with high predictive performance and sound uncertainty quantification becomes a more challenging task. Despite some promising theoretical results on the true posterior…

In variational inference, the benefits of Bayesian models rely on accurately capturing the true posterior distribution. We propose using neural samplers that specify implicit distributions, which are well-suited for approximating complex…

Sparse Bayesian learning is a state-of-the-art supervised learning algorithm that can choose a subset of relevant samples from the input data and make reliable probabilistic predictions. However, in the presence of high-dimensional data…

There is a lack of simple and scalable algorithms for uncertainty quantification. Bayesian methods quantify uncertainty through posterior and predictive distributions, but it is difficult to rapidly estimate summaries of these…

Bayesian inference in the physical sciences faces a fundamental challenge: the imperative for high-fidelity physical modeling often clashes with the intrinsic limitations of stochastic sampling algorithms. Complex, high-dimensional…

Bayesian inference involves the specification of a statistical model by a statistician or practitioner, with careful thought about what each parameter represents. This results in particularly interpretable models which can be used to…

Bayes linear analysis and approximate Bayesian computation (ABC) are techniques commonly used in the Bayesian analysis of complex models. In this article we connect these ideas by demonstrating that regression-adjustment ABC algorithms…

Recent advances in stochastic gradient variational inference have made it possible to perform variational Bayesian inference with posterior approximations containing auxiliary random variables. This enables us to explore a new synthesis of…

Envelope models provide a sufficient dimension reduction framework for multivariate regression analysis. Bayesian inference for these models has been developed primarily using Markov chain Monte Carlo (MCMC) methods. Specifically, Gibbs…

We study data-driven decision-making problems in the Bayesian framework, where the expectation in the Bayes risk is replaced by a risk-sensitive entropic risk measure. We focus on problems where calculating the posterior distribution is…