Related papers: Differentiating Metropolis-Hastings to Optimize In…
Motivated by the problem of exploring discrete but very complex state spaces in Bayesian models, we propose a novel Markov Chain Monte Carlo search algorithm: the taxicab sampler. We describe the construction of this sampler and discuss how…
We consider the problem of sampling from a density of the form $p(x) \propto \exp(-f(x)- g(x))$, where $f: \mathbb{R}^d \rightarrow \mathbb{R}$ is a smooth and strongly convex function and $g: \mathbb{R}^d \rightarrow \mathbb{R}$ is a…
We develop an efficient posterior sampling scheme for the Poisson INGARCH models. The proposed method is based on the approximation of the posterior density that exploits the Poisson limit of the negative binomial distribution. It allows us…
The multiple-try Metropolis (MTM) algorithm is an extension of the Metropolis-Hastings (MH) algorithm by selecting the proposed state among multiple trials according to some weight function. Although MTM has gained great popularity owing to…
Algorithms for exact and approximate inference in stochastic logic programs (SLPs) are presented, based respectively, on variable elimination and importance sampling. We then show how SLPs can be used to represent prior distributions for…
Bayesian inference via standard Markov Chain Monte Carlo (MCMC) methods is too computationally intensive to handle large datasets, since the cost per step usually scales like $\Theta(n)$ in the number of data points $n$. We propose the…
The problem of optimally scaling the proposal distribution in a Markov chain Monte Carlo algorithm is critical to the quality of the generated samples. Much work has gone into obtaining such results for various Metropolis-Hastings (MH)…
In this paper, we study the asymptotic variance of sample path averages for inhomogeneous Markov chains that evolve alternatingly according to two different $\pi$-reversible Markov transition kernels $P$ and $Q$. More specifically, our main…
We propose a data-driven method to learn the time-dependent probability density of a multivariate stochastic process from sample paths, assuming that the initial probability density is known and can be evaluated. Our method uses a novel…
Annealed importance sampling (AIS) and related algorithms are highly effective tools for marginal likelihood estimation, but are not fully differentiable due to the use of Metropolis-Hastings correction steps. Differentiability is a…
In this work, we demonstrate how differentiable stochastic sampling techniques developed in the context of deep Reinforcement Learning can be used to perform efficient parameter inference over stochastic, simulation-based, forward models.…
Shielding studies in neutron transport, with Monte Carlo codes, yield challenging problems of small-probability estimation. The particularity of these studies is that the small probability to estimate is formulated in terms of the…
An easy-to-implement form of the Metropolis Algorithm is described which, unlike most standard techniques, is well suited to sampling from multi-modal distributions on spaces with moderate numbers of dimensions (order ten) in environments…
Powerful ideas recently appeared in the literature are adjusted and combined to design improved samplers for Bayesian exponential random graph models. Different forms of adaptive Metropolis-Hastings proposals (vertical, horizontal and…
The recent introduction of gradient-based MCMC for discrete spaces holds great promise, and comes with the tantalising possibility of new discrete counterparts to celebrated continuous methods such as MALA and HMC. Towards this goal, we…
We compare different analytical and numerical methods for studying the partitions of a finite system into fragments. We propose a new numerical method of exploring the partition space by generating the Markov chains of partitions based on…
We address the inverse problem for the mean-field Ising model with two- and three-body interactions using a Bayesian framework. Parameter recovery in this setting is notoriously difficult, particularly near phase transitions, at…
Dynamic topic models (DTMs) are very effective in discovering topics and capturing their evolution trends in time series data. To do posterior inference of DTMs, existing methods are all batch algorithms that scan the full dataset before…
We propose a Bayesian nonparametric mixture model for prediction- and information extraction tasks with an efficient inference scheme. It models categorical-valued time series that exhibit dynamics from multiple underlying patterns (e.g.…
Performing numerical integration when the integrand itself cannot be evaluated point-wise is a challenging task that arises in statistical analysis, notably in Bayesian inference for models with intractable likelihood functions. Markov…