Related papers: Scalable Bayesian Monte Carlo: fast uncertainty es…
Sequential Monte Carlo (SMC) methods offer a principled approach to Bayesian uncertainty quantification but are traditionally limited by the need for full-batch gradient evaluations. We introduce a scalable variant by incorporating…
We propose a sequential Monte Carlo (SMC) method to efficiently and accurately compute cut-Bayesian posterior quantities of interest, variations of standard Bayesian approaches constructed primarily to account for model misspecification. We…
This work systematically compares parallel implementations of consistent (asymptotically unbiased) Bayesian deep learning algorithms: sequential Monte Carlo sampler (SMC$_\parallel$) or Markov chain Monte Carlo (MCMC$_\parallel$). We…
This paper introduces methodology for performing Bayesian inference sequentially on a sequence of posteriors on spaces of different dimensions. We show how this may be achieved through the use of sequential Monte Carlo (SMC) samplers (Del…
Many probabilistic models of interest in scientific computing and machine learning have expensive, black-box likelihoods that prevent the application of standard techniques for Bayesian inference, such as MCMC, which would require access to…
This book aims to provide a graduate-level introduction to advanced topics in Markov chain Monte Carlo (MCMC) algorithms, as applied broadly in the Bayesian computational context. Most, if not all of these topics (stochastic gradient MCMC,…
Markov Chain Monte Carlo (MCMC) is a well-established family of algorithms primarily used in Bayesian statistics to sample from a target distribution when direct sampling is challenging. Existing work on Bayesian decision trees uses MCMC.…
In many problems, complex non-Gaussian and/or nonlinear models are required to accurately describe a physical system of interest. In such cases, Monte Carlo algorithms are remarkably flexible and extremely powerful approaches to solve such…
There is a lack of simple and scalable algorithms for uncertainty quantification. Bayesian methods quantify uncertainty through posterior and predictive distributions, but it is difficult to rapidly estimate summaries of these…
Practitioners of Bayesian statistics have long depended on Markov chain Monte Carlo (MCMC) to obtain samples from intractable posterior distributions. Unfortunately, MCMC algorithms are typically serial, and do not scale to the large…
We show how to speed up Sequential Monte Carlo (SMC) for Bayesian inference in large data problems by data subsampling. SMC sequentially updates a cloud of particles through a sequence of distributions, beginning with a distribution that is…
Markov chain Monte Carlo (MCMC) algorithms are generally regarded as the gold standard technique for Bayesian inference. They are theoretically well-understood and conceptually simple to apply in practice. The drawback of MCMC is that in…
Bayesian methods are critical for quantifying the behaviors of systems. They capture our uncertainty about a system's behavior using probability distributions and update this understanding as new information becomes available. Probabilistic…
Bayesian model comparison (BMC) offers a principled approach for assessing the relative merits of competing computational models and propagating uncertainty into model selection decisions. However, BMC is often intractable for the popular…
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…
Bayesian filtering aims at tracking sequentially a hidden process from an observed one. In particular, sequential Monte Carlo (SMC) techniques propagate in time weighted trajectories which represent the posterior probability density…
We develop a scalable multi-step Monte Carlo algorithm for inference under a large class of nonparametric Bayesian models for clustering and classification. Each step is "embarrassingly parallel" and can be implemented using the same Markov…
In the following article we consider approximate Bayesian computation (ABC) inference. We introduce a method for numerically approximating ABC posteriors using the multilevel Monte Carlo (MLMC). A sequential Monte Carlo version of the…
This study introduces a computationally efficient algorithm, delayed acceptance Markov chain Monte Carlo (DA-MCMC), designed to improve posterior simulation in quasi-Bayesian inference. Quasi-Bayesian methods, which do not require fully…
Approximate Bayesian inference for models with computationally expensive, black-box likelihoods poses a significant challenge, especially when the posterior distribution is complex. Many inference methods struggle to explore the parameter…