Related papers: A non-asymptotic error analysis for parallel Monte…

In Markov-chain Monte Carlo simulations, estimating statistical errors or confidence intervals of numerically obtained values is an essential task. In this paper, we review several methods for error estimation, such as simple empirical…

Monte Carlo sampling methods often suffer from long correlation times. Consequently, these methods must be run for many steps to generate an independent sample. In this paper a method is proposed to overcome this difficulty. The method…

Recently there have been exciting developments in Monte Carlo methods, with the development of new MCMC and sequential Monte Carlo (SMC) algorithms which are based on continuous-time, rather than discrete-time, Markov processes. This has…

This short note reviews the basic theory for quantifying both the asymptotic and preasymptotic convergence of Markov chain Monte Carlo estimators.

Monte Carlo (MC) sampling methods are widely applied in Bayesian inference, system simulation and optimization problems. The Markov Chain Monte Carlo (MCMC) algorithms are a well-known class of MC methods which generate a Markov chain with…

We propose a methodology to parallelize Hamiltonian Monte Carlo estimators. Our approach constructs a pair of Hamiltonian Monte Carlo chains that are coupled in such a way that they meet exactly after some random number of iterations. These…

Markov chain Monte Carlo algorithms are used to simulate from complex statistical distributions by way of a local exploration of these distributions. This local feature avoids heavy requests on understanding the nature of the target, but it…

Hamiltonian Monte Carlo (HMC) is an efficient method of simulating smooth distributions and has motivated the widely used No-U-turn Sampler (NUTS) and software Stan. We build on NUTS and the technique of "unbiased sampling" to design HMC…

In many problems, complex non-Gaussian and/or nonlinear models are required to accurately describe a physical system of interest. In such cases, Monte Carlo algorithms are remarkably flexible and extremely powerful approaches to solve such…

We propose SYNCE (synchronized step correlation enhancement), a new algorithm for coupling Markov chains within multilevel Markov chain Monte Carlo (ML-MCMC) estimators. We apply this algorithm to solve Bayesian inverse problems using…

Sampling from posterior distributions using Markov chain Monte Carlo (MCMC) methods can require an exhaustive number of iterations, particularly when the posterior is multi-modal as the MCMC sampler can become trapped in a local mode for a…

Bayesian inference for undirected graphical models is mostly restricted to the class of decomposable graphs, as they enjoy a rich set of properties making them amenable to high-dimensional problems. While parameter inference is…

We introduce interacting particle Markov chain Monte Carlo (iPMCMC), a PMCMC method based on an interacting pool of standard and conditional sequential Monte Carlo samplers. Like related methods, iPMCMC is a Markov chain Monte Carlo sampler…

Markov Chain Monte Carlo (MCMC) algorithms are essential tools in computational statistics for sampling from unnormalised probability distributions, but can be fragile when targeting high-dimensional, multimodal, or complex target…

Motivated by a challenging problem in financial trading we are presented with a mixture of regressions with variable selection problem. In this regard, one is faced with data which possess outliers, skewness and, simultaneously, due to the…

We introduce a new Markov chain Monte Carlo (MCMC) sampler called the Markov Interacting Importance Sampler (MIIS). The MIIS sampler uses conditional importance sampling (IS) approximations to jointly sample the current state of the Markov…

We explore a general framework in Markov chain Monte Carlo (MCMC) sampling where sequential proposals are tried as a candidate for the next state of the Markov chain. This sequential-proposal framework can be applied to various existing…

Leaving posterior sensitivity concerns aside, non-identifiability of the parameters does not raise a difficulty for Bayesian inference as far as the posterior is proper, but multi-modality or flat regions of the posterior induced by the…

Testing between hypotheses, when independent sampling is possible, is a well developed subject. In this paper, we propose hypothesis tests that are applicable when the samples are obtained using Markov chain Monte Carlo. These tests are…

Statistical signal processing applications usually require the estimation of some parameters of interest given a set of observed data. These estimates are typically obtained either by solving a multi-variate optimization problem, as in the…