Related papers: Stereographic Multiple-Try Metropolis
Nonlinear non-Gaussian state-space models arise in numerous applications in statistics and signal processing. In this context, one of the most successful and popular approximation techniques is the Sequential Monte Carlo (SMC) algorithm,…
Markov chain Monte Carlo (MCMC) methods are sampling methods that have become a commonly used tool in statistics, for example to perform Monte Carlo integration. As a consequence of the increase in computational power, many variations of…
The modern scale of data has brought new challenges to Bayesian inference. In particular, conventional MCMC algorithms are computationally very expensive for large data sets. A promising approach to solve this problem is embarrassingly…
Markov Chain Monte Carlo (MCMC) methods are a powerful tool for computation with complex probability distributions. However the performance of such methods is critically dependant on properly tuned parameters, most of which are difficult if…
The general applicability and ease of use of the pseudo-marginal Metropolis--Hastings (PMMH) algorithm, and particle Metropolis--Hastings in particular, makes it a popular method for inference on discretely observed Markovian stochastic…
City models and height maps of urban areas serve as a valuable data source for numerous applications, such as disaster management or city planning. While this information is not globally available, it can be substituted by digital surface…
We consider parallel asynchronous Markov Chain Monte Carlo (MCMC) sampling for problems where we can leverage (stochastic) gradients to define continuous dynamics which explore the target distribution. We outline a solution strategy for…
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,…
In this paper we consider a new probability sampling methods based on Langevin diffusion dynamics to resolve the problem of existing Monte Carlo algorithms when draw samples from high dimensional target densities. We extent…
Despite the enormous success of Hamiltonian Monte Carlo and related Markov Chain Monte Carlo (MCMC) methods, sampling often still represents the computational bottleneck in scientific applications. Availability of parallel resources can…
Hamiltonian Monte Carlo (HMC) is a widely used sampler for continuous probability distributions. In many cases, the underlying Hamiltonian dynamics exhibit a phenomenon of resonance which decreases the efficiency of the algorithm and makes…
Subsampling is a widely used and effective approach for addressing the computational challenges posed by massive datasets. Substantial progress has been made in developing non-uniform, probability-based subsampling schemes that prioritize…
We present Doubly Robust Monte Carlo Tree Search (DR-MCTS), a novel algorithm that integrates Doubly Robust (DR) off-policy estimation into Monte Carlo Tree Search (MCTS) to enhance sample efficiency and decision quality in complex…
The pursuit of a generalizable stereo matching model, capable of performing well across varying resolutions and disparity ranges without dataset-specific fine-tuning, has revealed a fundamental trade-off. Iterative local search methods…
We explain the fundamental challenges of sampling from multimodal distributions, particularly for high-dimensional problems. We present the major types of MCMC algorithms that are designed for this purpose, including parallel tempering,…
One main limitation of the existing optimal scaling results for Metropolis--Hastings algorithms is that the assumptions on the target distribution are unrealistic. In this paper, we consider optimal scaling of random-walk Metropolis…
Recently developed adaptive Markov chain Monte Carlo (MCMC) methods have been applied successfully to many problems in Bayesian statistics. Grapham is a new open source implementation covering several such methods, with emphasis on…
Markov Chain Monte Carlo (MCMC) algorithms are essential tools in computational statistics for sampling from unnormalised probability distributions, but can be fragile when targeting high-dimensional, multimodal, or complex target…
State-space models (SSMs) are commonly used to model time series data where the observations depend on an unobserved latent process. However, inference on the model parameters of an SSM can be challenging, especially when the likelihood of…
Very recently, Transformation based Markov Chain Monte Carlo (TMCMC) was proposed by Dutta and Bhattcharya (2013) as a much efficient alternative to the Metropolis-Hastings algorithm, Random Walk Metropolis (RWM) algorithm, especially in…