Related papers: On Cyclical MCMC Sampling

A fundamental challenge in Bayesian inference is efficient representation of a target distribution. Many non-parametric approaches do so by sampling a large number of points using variants of Markov Chain Monte Carlo (MCMC). We propose an…

Divide-and-conquer MCMC is a strategy for parallelising Markov Chain Monte Carlo sampling by running independent samplers on disjoint subsets of a dataset and merging their output. An ongoing challenge in the literature is to efficiently…

Many problems arising in applications result in the need to probe a probability distribution for functions. Examples include Bayesian nonparametric statistics and conditioned diffusion processes. Standard MCMC algorithms typically become…

This paper introduces new efficient algorithms for two problems: sampling conditional on vertex degrees in unweighted graphs, and sampling conditional on vertex strengths in weighted graphs. The algorithms can sample conditional on the…

In this paper, we propose a MCMC algorithm based on elliptical slice sampling with the purpose to improve sampling efficiency. During sampling, a mixture distribution is fitted periodically to previous samples. The components of the mixture…

Functional mixed models are widely useful for regression analysis with dependent functional data, including longitudinal functional data with scalar predictors. However, existing algorithms for Bayesian inference with these models only…

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…

Continuous normalizing flows (CNFs) learn the probability path between a reference distribution and a target distribution by modeling the vector field generating said path using neural networks. Recently, Lipman et al. (2022) introduced a…

We introduce a revised derivation of the bitwise Markov Chain Monte Carlo (MCMC) multiple-input multiple-output (MIMO) detector. The new approach resolves the previously reported high SNR stalling problem of MCMC without the need for…

In this article, we derive a novel non-reversible, continuous-time Markov chain Monte Carlo (MCMC) sampler, called Coordinate Sampler, based on a piecewise deterministic Markov process (PDMP), which can be seen as a variant of the Zigzag…

Target tracking faces the challenge in coping with large volumes of data which requires efficient methods for real time applications. The complexity considered in this paper is when there is a large number of measurements which are required…

We introduce Markov chain Monte Carlo (MCMC) algorithms based on numerical approximations of piecewise-deterministic Markov processes obtained with the framework of splitting schemes. We present unadjusted as well as adjusted algorithms,…

Markov Chain Monte Carlo (MCMC) has been the de facto technique for sampling and inference of large graphs such as online social networks. At the heart of MCMC lies the ability to construct an ergodic Markov chain that attains any given…

Bayesian inference provides a methodology for parameter estimation and uncertainty quantification in machine learning and deep learning methods. Variational inference and Markov Chain Monte-Carlo (MCMC) sampling methods are used to…

We present a general-purpose method to train Markov chain Monte Carlo kernels, parameterized by deep neural networks, that converge and mix quickly to their target distribution. Our method generalizes Hamiltonian Monte Carlo and is trained…

In order to tackle the problem of sampling from heavy tailed, high dimensional distributions via Markov Chain Monte Carlo (MCMC) methods, Yang, Latuszy\'nski, and Roberts (2022) (arXiv:2205.12112) introduces the stereographic projection as…

We propose a generic Markov Chain Monte Carlo (MCMC) algorithm to speed up computations for datasets with many observations. A key feature of our approach is the use of the highly efficient difference estimator from the survey sampling…

Bayesian inference for Markov processes has become increasingly relevant in recent years. Problems of this type often have intractable likelihoods and prior knowledge about model rate parameters is often poor. Markov Chain Monte Carlo…

High-dimensional distributions, especially those with heavy tails, are notoriously difficult for off-the-shelf MCMC samplers: the combination of unbounded state spaces, diminishing gradient information, and local moves results in…

The Importance Markov chain is a novel algorithm bridging the gap between rejection sampling and importance sampling, moving from one to the other through a tuning parameter. Based on a modified sample of an instrumental Markov chain…