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Markov Chain Monte Carlo (MCMC) algorithms are standard approaches to solve imaging inverse problems and quantify estimation uncertainties, a key requirement in absence of ground-truth data. To improve estimation quality, Plug-and-Play MCMC…
This paper addresses the problem of Monte Carlo approximation of posterior probability distributions. In particular, we have considered a recently proposed technique known as population Monte Carlo (PMC), which is based on an iterative…
We propose a sequential Markov chain Monte Carlo (SMCMC) algorithm to sample from a sequence of probability distributions, corresponding to posterior distributions at different times in on-line applications. SMCMC proceeds as in usual MCMC…
We present a new framework to derandomise certain Markov chain Monte Carlo (MCMC) algorithms. As in MCMC, we first reduce counting problems to sampling from a sequence of marginal distributions. For the latter task, we introduce a method…
We present a highly efficient proximal Markov chain Monte Carlo methodology to perform Bayesian computation in imaging problems. Similarly to previous proximal Monte Carlo approaches, the proposed method is derived from an approximation of…
The Pseudo-Marginal (PM) algorithm is a popular Markov chain Monte Carlo (MCMC) method used to sample from a target distribution when its density is inaccessible, but can be estimated with a non-negative unbiased estimator. Its performance…
In this paper we propose an efficient variance reduction approach for additive functionals of Markov chains relying on a novel discrete time martingale representation. Our approach is fully non-asymptotic and does not require the knowledge…
We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete--time state--space Markov model. The algorithm employs two layers of particle filters to approximate the…
Markov chain Monte Carlo is an inherently serial algorithm. Although likelihood calculations for individual steps can sometimes be parallelized, the serial evolution of the process is widely viewed as incompatible with parallelization,…
The L1-regularized Gaussian maximum likelihood estimator (MLE) has been shown to have strong statistical guarantees in recovering a sparse inverse covariance matrix, or alternatively the underlying graph structure of a Gaussian Markov…
A novel algorithm for computing the action of a matrix exponential over a vector is proposed. The algorithm is based on a multilevel Monte Carlo method, and the vector solution is computed probabilistically generating suitable random paths…
Ultrasound reflection tomography is widely used to image large complex specimens that are only accessible from a single side, such as well systems and nuclear power plant containment walls. Typical methods for inverting the measurement rely…
Finite element model updating is challenging because 1) the problem is oftentimes underdetermined while the measurements are limited and/or incomplete; 2) many combinations of parameters may yield responses that are similar with respect to…
Non-negative Matrix Factorization (NMF) asks to decompose a (entry-wise) non-negative matrix into the product of two smaller-sized nonnegative matrices, which has been shown intractable in general. In order to overcome this issue, the…
Sequential Monte Carlo (SMC) is a class of algorithms that approximate high-dimensional expectations of a Markov chain. SMC algorithms typically include a resampling step. There are many possible ways to resample, but the relative…
Markov Chain Monte Carlo (MCMC) algorithms are widely used for stochastic optimization, sampling, and integration of mathematical objective functions, in particular, in the context of Bayesian inverse problems and parameter estimation. For…
In this paper, we proposed a new Monte Carlo radiative transport (MCRT) scheme, which is based completely on the Neumann series solution of Fredholm integral equation. This scheme indicates that the essence of MCRT is the calculation of…
Monte Carlo methods are widely used in particle physics to integrate and sample probability distributions (differential cross sections or decay rates) on multi-dimensional phase spaces. We present a Neural Network (NN) algorithm optimized…
From basic considerations of the Lie group that preserves a target probability measure, we derive the Barker, Metropolis, and ensemble Markov chain Monte Carlo (MCMC) algorithms, as well as variants of waste-recycling Metropolis-Hastings…
This paper introduces a new algorithm for numerically computing equilibrium (i.e. stationary) distributions for Markov chains and Markov jump processes with either a very large finite state space or a countably infinite state space. The…