Related papers: Towards Improved Uncertainty Quantification of Sto…
Hidden Markov models can describe time series arising in various fields of science, by treating the data as noisy measurements of an arbitrarily complex Markov process. Sequential Monte Carlo (SMC) methods have become standard tools to…
We propose a global optimization algorithm based on the Sequential Monte Carlo (SMC) sampling framework. In this framework, the objective function is normalized to be a probabilistic density function (pdf), based on which a sequence of…
Constraints can be interpreted in a broad sense as any kind of explicit restriction over the parameters. While some constraints are defined directly on the parameter space, when they are instead defined by known behaviour on the model,…
State space models (SSMs) are a flexible approach to modeling complex time series. However, inference in SSMs is often computationally prohibitive for long time series. Stochastic gradient MCMC (SGMCMC) is a popular method for scalable…
Simulation methods have become important tools for quantifying partisan and racial bias in redistricting plans. We generalize the Sequential Monte Carlo (SMC) algorithm of McCartan and Imai (2023), one of the commonly used approaches.…
The class of $\alpha$-stable distributions enjoys multiple practical applications in signal processing, finance, biology and other areas because it allows to describe interesting and complex data patterns, such as asymmetry or heavy tails,…
An efficient simulation-based methodology is proposed for the rolling window estimation of state space models, called particle rolling Markov chain Monte Carlo (MCMC) with double block sampling. In our method, which is based on Sequential…
The Self-Learning Monte Carlo (SLMC) method is a Monte Carlo approach that has emerged in recent years by integrating concepts from machine learning with conventional Monte Carlo techniques. Designed to accelerate the numerical study of…
Epidemic processes are common out-of-equilibrium phenomena of broad interdisciplinary interest. Recently, dynamic message-passing (DMP) has been proposed as an efficient algorithm for simulating epidemic models on networks, and in…
Calibration of expensive simulation models involves an emulator based on simulation outputs generated across various parameter settings to replace the actual model. Noisy outputs of stochastic simulation models require many simulation…
Markov Chain Monte Carlo (MCMC) is a well-established family of algorithms primarily used in Bayesian statistics to sample from a target distribution when direct sampling is challenging. Existing work on Bayesian decision trees uses MCMC.…
Simulation Based Calibration (SBC) is applied to analyse two commonly used, competing Markov chain Monte Carlo algorithms for estimating the posterior distribution of a stochastic volatility model. In particular, the bespoke 'off-set…
Most solved dynamic structural macrofinance models are non-linear and/or non-Gaussian state-space models with high-dimensional and complex structures. We propose an annealed controlled sequential Monte Carlo method that delivers numerically…
Probabilistic (or Bayesian) modeling and learning offers interesting possibilities for systematic representation of uncertainty using probability theory. However, probabilistic learning often leads to computationally challenging problems.…
We provide an overview of Monte Carlo algorithms based on Markovian stochastic dynamics of interacting and reacting many-particle systems not in thermal equilibrium. These agent-based simulations are an effective way of introducing students…
The presence of erratic or unstable paths in standard kinetic Monte Carlo simulations significantly undermines the accurate simulation and sampling of transition pathways. While typically reliable methods, such as the Gillespie algorithm,…
Mathematical models of epidemics often use compartmental models dividing the population into several compartments. Based on a microscopic setting describing the temporal evolution of the subpopulation sizes in the compartments by stochastic…
Estimating failure probabilities of engineering systems is an important problem in many engineering fields. In this work we consider such problems where the failure probability is extremely small (e.g $\leq10^{-10}$). In this case, standard…
This paper presents a distributed stochastic model predictive control (SMPC) approach for large-scale linear systems with private and common uncertainties in a plug-and-play framework. Using the so-called scenario approach, the centralized…
We consider the generic problem of performing sequential Bayesian inference in a state-space model with observation process y, state process x and fixed parameter theta. An idealized approach would be to apply the iterated batch importance…