Related papers: A mirror descent approach to maximum likelihood es…
This paper considers stochastic subgradient mirror-descent method for solving constrained convex minimization problems. In particular, a stochastic subgradient mirror-descent method with weighted iterate-averaging is investigated and its…
We consider the problem of simultaneously learning to linearly combine a very large number of kernels and learn a good predictor based on the learnt kernel. When the number of kernels $d$ to be combined is very large, multiple kernel…
This paper is on Bayesian inference for parametric statistical models that are defined by a stochastic simulator which specifies how data is generated. Exact sampling is then possible but evaluating the likelihood function is typically…
This paper investigates a novel a-posteriori variance reduction approach in Monte Carlo image synthesis. Unlike most established methods based on lateral filtering in the image space, our proposition is to produce the best possible estimate…
In this paper, we provide a multiscale perspective on the problem of maximum marginal likelihood estimation. We consider and analyse a diffusion-based maximum marginal likelihood estimation scheme using ideas from multiscale dynamics. Our…
We consider Monte Carlo approximations to the maximum likelihood estimator in models with intractable norming constants. This paper deals with adaptive Monte Carlo algorithms, which adjust control parameters in the course of simulation. We…
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…
Gaussian latent variable models are a key class of Bayesian hierarchical models with applications in many fields. Performing Bayesian inference on such models can be challenging as Markov chain Monte Carlo algorithms struggle with the…
We introduce a powerful and flexible MCMC algorithm for stochastic simulation. The method builds on a pseudo-marginal method originally introduced in [Genetics 164 (2003) 1139--1160], showing how algorithms which are approximations to an…
We propose Subsampling MCMC, a Markov Chain Monte Carlo (MCMC) framework where the likelihood function for $n$ observations is estimated from a random subset of $m$ observations. We introduce a highly efficient unbiased estimator of the…
We consider the problem of learning the optimal policy for infinite-horizon Markov decision processes (MDPs). For this purpose, some variant of Stochastic Mirror Descent is proposed for convex programming problems with Lipschitz-continuous…
This paper addresses the problem of approximating an unknown probability distribution with density $f$ -- which can only be evaluated up to an unknown scaling factor -- with the help of a sequential algorithm that produces at each iteration…
We propose a framework for computing, optimizing and integrating with respect to a smooth marginal likelihood in statistical models that involve high-dimensional parameters/latent variables and continuous low-dimensional hyperparameters.…
We consider the optimization problem of minimizing an objective functional, which admits a variational form and is defined over probability distributions on the constrained domain, which poses challenges to both theoretical analysis and…
We introduce a new Markov-Chain Monte Carlo (MCMC) approach designed for efficient sampling of highly correlated and multimodal posteriors. Parallel tempering, though effective, is a costly technique for sampling such posteriors. Our…
Several disciplines, such as econometrics, neuroscience, and computational psychology, study the dynamic interactions between variables over time. A Bayesian nonparametric model known as the Wishart process has been shown to be effective in…
We consider centralized and distributed mirror descent algorithms over a finite-dimensional Hilbert space, and prove that the problem variables converge to an optimizer of a possibly nonsmooth function when the step sizes are square…
Stochastic mirror descent (SMD) is a fairly new family of algorithms that has recently found a wide range of applications in optimization, machine learning, and control. It can be considered a generalization of the classical stochastic…
Sequential Monte Carlo (SMC), or particle filtering, is a popular class of methods for sampling from an intractable target distribution using a sequence of simpler intermediate distributions. Like other importance sampling-based methods,…
In this paper, we propose a new stochastic optimization algorithm for Bayesian inference based on multilevel Monte Carlo (MLMC) methods. In Bayesian statistics, biased estimators of the model evidence have been often used as stochastic…