Related papers: Automatic Parallel Tempering Markov Chain Monte Ca…
Bayesian inference requires determining the posterior distribution, a task that becomes particularly challenging when the dimension of the parameter space is large and unknown. This limitation arises in many physics problems, such as…
Parallel tempering Monte Carlo has proven to be an efficient method in optimization and sampling applications. Having an optimized temperature set enhances the efficiency of the algorithm through more-frequent replica visits to the…
We present a novel implementation of the parallel tempering Monte Carlo method in a multicanonical ensemble. Multicanonical weights are derived by a self-consistent iterative process using a Boltzmann inversion of global energy histograms.…
Markov jump processes (MJPs) are continuous-time stochastic processes widely used in a variety of applied disciplines. Inference for MJPs typically proceeds via Markov chain Monte Carlo, the state-of-the-art being a uniformization-based…
Gibbs sampling is one of the most commonly used Markov Chain Monte Carlo (MCMC) algorithms due to its simplicity and efficiency. It cycles through the latent variables, sampling each one from its distribution conditional on the current…
Sampling from the full posterior distribution of high-dimensional non-linear, non-Gaussian latent dynamical models presents significant computational challenges. While Particle Gibbs (also known as conditional sequential Monte Carlo) is…
We present a new Monte Carlo Markov Chain algorithm for CMB analysis in the low signal-to-noise regime. This method builds on and complements the previously described CMB Gibbs sampler, and effectively solves the low signal-to-noise…
Delayed-acceptance Markov chain Monte Carlo (DA-MCMC) samples from a probability distribution via a two-stages version of the Metropolis-Hastings algorithm, by combining the target distribution with a "surrogate" (i.e. an approximate and…
Massively parallel desktop computing capabilities now well within the reach of individual academics modify the environment for posterior simulation in fundamental and potentially quite advantageous ways. But to fully exploit these benefits…
In the present paper we identify a rigorous property of a number of tempering-based Monte Carlo sampling methods, including parallel tempering as well as partial and infinite swapping. Based on this property we develop a variety of…
The particle Gibbs sampler is a Markov chain Monte Carlo (MCMC) algorithm to sample from the full posterior distribution of a state-space model. It does so by executing Gibbs sampling steps on an extended target distribution defined on the…
Finding effective ways to exploit parallel computing to accelerate Markov chain Monte Carlo methods is an important problem in Bayesian computation and related disciplines. In this paper, we consider the zeroth-order setting where the…
Nested sampling is an increasingly popular technique for Bayesian computation, in particular for multimodal, degenerate problems of moderate to high dimensionality. Without appropriate settings, however, nested sampling software may fail to…
We propose a new Monte Carlo method for sampling from multimodal distributions. The idea of this technique is based on splitting the task into two: finding the modes of a target distribution $\pi$ and sampling, given the knowledge of the…
Probabilistic computers built from p-bits offer a promising path for combinatorial optimization, but the dense connectivity required by real-world problems scales poorly in hardware. Here, we address this through graph sparsification with…
High performance computing has been used in various fields of astrophysical research. But most of it is implemented on massively parallel systems (supercomputers) or graphical processing unit clusters. With the advent of multicore…
We study the computational complexity of Markov chain Monte Carlo (MCMC) methods for high-dimensional Bayesian linear regression under sparsity constraints. We first show that a Bayesian approach can achieve variable-selection consistency…
Sampling from complex target distributions is a challenging task fundamental to Bayesian inference. Parallel tempering (PT) addresses this problem by constructing a Markov chain on the expanded state space of a sequence of distributions…
New sampling algorithms based on simulating continuous-time stochastic processes called piece-wise deterministic Markov processes (PDMPs) have shown considerable promise. However, these methods can struggle to sample from multi-modal or…
Posterior sampling is a task of central importance in Bayesian inference. For many applications in Bayesian meta-analysis and Bayesian transfer learning, the prior distribution is unknown and needs to be estimated from samples. In practice,…