Related papers: Markov Chain Monte Carlo Significance Tests

Markov Chain Monte Carlo (MCMC) sampling is computationally expensive, especially for complex models. Alternative methods make simplifying assumptions about the posterior to reduce computational burden, but their impact on predictive…

It is widely known that the performance of Markov chain Monte Carlo (MCMC) can degrade quickly when targeting computationally expensive posterior distributions, such as when the sample size is large. This has motivated the search for MCMC…

To sample from a given target distribution, Markov chain Monte Carlo (MCMC) sampling relies on constructing an ergodic Markov chain with the target distribution as its invariant measure. For any MCMC method, an important question is how to…

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…

Estimating Monte Carlo error is critical to valid simulation results in Markov chain Monte Carlo (MCMC) and initial sequence estimators were one of the first methods introduced for this. Over the last few years, focus has been on…

We propose a new Markov chain Monte Carlo method in which trial configurations are generated by evolving a state, sampled from a prior distribution, using a Markov transition matrix. We present two prototypical algorithms and derive their…

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…

Markov chain Monte Carlo (MCMC) methods generate samples that are asymptotically distributed from a target distribution of interest as the number of iterations goes to infinity. Various theoretical results provide upper bounds on the…

Kernel methods have revolutionized the fields of pattern recognition and machine learning. Their success, however, critically depends on the choice of kernel parameters. Using Gaussian process (GP) classification as a working example, this…

This paper examines the use of Monte Carlo simulations to understand statistical concepts in A/B testing and Randomized Controlled Trials (RCTs). We discuss the applicability of simulations in understanding false positive rates and estimate…

We study approximations of evolving probability measures by an interacting particle system. The particle system dynamics is a combination of independent Markov chain moves and importance sampling/resampling steps. Under global regularity…

We are concerned with a situation in which we would like to test multiple hypotheses with tests whose p-values cannot be computed explicitly but can be approximated using Monte Carlo simulation. This scenario occurs widely in practice. We…

Markov chain Monte Carlo methods provide an essential tool in statistics for sampling from complex probability distributions. While the standard approach to MCMC involves constructing discrete-time reversible Markov chains whose transition…

We propose a Monte Carlo algorithm to sample from high dimensional probability distributions that combines Markov chain Monte Carlo and importance sampling. We provide a careful theoretical analysis, including guarantees on robustness to…

Markov chain Monte Carlo (MCMC) is a widely used sampling method in modern artificial intelligence and probabilistic computing systems. It involves repetitive random number generations and thus often dominates the latency of probabilistic…

In Markov Chain Monte Carlo (MCMC) simulations, the thermal equilibria quantities are estimated by ensemble average over a sample set containing a large number of correlated samples. These samples are selected in accordance with the…

We apply a Bayesian data analysis scheme known as the Markov Chain Monte Carlo (MCMC) to the tomographic reconstruction of quantum states. This method yields a vector, known as the Markov chain, which contains the full statistical…

The Markov chain Monte Carlo (MCMC) method is widely used in various fields as a powerful numerical integration technique for systems with many degrees of freedom. In MCMC methods, probabilistic state transitions can be considered as a…

Recent advances in machine learning have led to the development of new methods for enhancing Monte Carlo methods such as Markov chain Monte Carlo (MCMC) and importance sampling (IS). One such method is normalizing flows, which use a neural…

We introduce Projected Latent Markov Chain Monte Carlo (PL-MCMC), a technique for sampling from the high-dimensional conditional distributions learned by a normalizing flow. We prove that a Metropolis-Hastings implementation of PL-MCMC…