Related papers: Metropolis-adjusted interacting particle sampling
This paper proposes a new sampling scheme based on Langevin dynamics that is applicable within pseudo-marginal and particle Markov chain Monte Carlo algorithms. We investigate this algorithm's theoretical properties under standard…
We investigate local MCMC algorithms, namely the random-walk Metropolis and the Langevin algorithms, and identify the optimal choice of the local step-size as a function of the dimension $n$ of the state space, asymptotically as…
One of the most widely used samplers in practice is the component-wise Metropolis-Hastings (CMH) sampler that updates in turn the components of a vector valued Markov chain using accept-reject moves generated from a proposal distribution.…
Among random sampling methods, Markov Chain Monte Carlo algorithms are foremost. Using a combination of analytical and numerical approaches, we study their convergence properties towards the steady state, within a random walk Metropolis…
We propose an adaptive Metropolis-Hastings algorithm in which sampled data are used to update the proposal distribution. We use the samples found by the algorithm at a particular step to form the information-theoretically optimal mean-field…
In this study, we investigate the performance of the Metropolis-adjusted Langevin algorithm in a setting with constraints on the support of the target distribution. We provide a rigorous analysis of the resulting Markov chain, establishing…
We propose a new method called the Metropolis-adjusted Mirror Langevin algorithm for approximate sampling from distributions whose support is a compact and convex set. This algorithm adds an accept-reject filter to the Markov chain induced…
We propose a new sampling algorithm combining two quite powerful ideas in the Markov chain Monte Carlo literature -- adaptive Metropolis sampler and two-stage Metropolis-Hastings sampler. The proposed sampling method will be particularly…
Metropolis algorithms are classical tools for sampling from target distributions, with broad applications in statistics and scientific computing. Their convergence speed is governed by the spectral gap of the associated Markov operator.…
In this work, we propose a first-order sampling method called the Metropolis-adjusted Preconditioned Langevin Algorithm for approximate sampling from a target distribution whose support is a proper convex subset of $\mathbb{R}^{d}$. Our…
Particle MCMC is a class of algorithms that can be used to analyse state-space models. They use MCMC moves to update the parameters of the models, and particle filters to propose values for the path of the state-space model. Currently the…
Adaptive and interacting Markov chain Monte Carlo algorithms (MCMC) have been recently introduced in the literature. These novel simulation algorithms are designed to increase the simulation efficiency to sample complex distributions.…
Smoothing in state-space models amounts to computing the conditional distribution of the latent state trajectory, given observations, or expectations of functionals of the state trajectory with respect to this distributions. For models that…
Markov chain Monte Carlo methods have become standard tools in statistics to sample from complex probability measures. Many available techniques rely on discrete-time reversible Markov chains whose transition kernels build up over the…
Bayesian sampling is an important task in statistics and machine learning. Over the past decade, many ensemble-type sampling methods have been proposed. In contrast to the classical Markov chain Monte Carlo methods, these new methods deploy…
Federated learning performed by a decentralized networks of agents is becoming increasingly important with the prevalence of embedded software on autonomous devices. Bayesian approaches to learning benefit from offering more information as…
Various Markov chain Monte Carlo (MCMC) methods are studied to improve upon random walk Metropolis sampling, for simulation from complex distributions. Examples include Metropolis-adjusted Langevin algorithms, Hamiltonian Monte Carlo, and…
The Metropolis-adjusted Langevin (MALA) algorithm is a sampling algorithm which makes local moves by incorporating information about the gradient of the logarithm of the target density. In this paper we study the efficiency of MALA on a…
We consider the random walk Metropolis algorithm on $\mathbb{R}^n$ with Gaussian proposals, and when the target probability measure is the $n$-fold product of a one-dimensional law. In the limit $n\to\infty$, it is well known (see [Ann.…
The Metropolis algorithm is a Markov chain Monte Carlo (MCMC) algorithm used to simulate from parameter distributions of interest, such as generalized linear model parameters. The "Metropolis step" is a keystone concept that underlies…