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Markov chain Monte Carlo (MCMC) algorithms for hidden Markov models often rely on the forward-backward sampler. This makes them computationally slow as the length of the time series increases, motivating the development of…

Bayesian inference with Markov Chain Monte Carlo (MCMC) is challenging when the likelihood function is irregular and expensive to compute. We explore several sampling algorithms that make use of subset evaluations to reduce computational…

We present a general framework for accelerating a large class of widely used Markov chain Monte Carlo (MCMC) algorithms. Our approach exploits fast, iterative approximations to the target density to speculatively evaluate many potential…

Replica exchange Monte Carlo (reMC), also known as parallel tempering, is an important technique for accelerating the convergence of the conventional Markov Chain Monte Carlo (MCMC) algorithms. However, such a method requires the evaluation…

Reversible jump Markov chain Monte Carlo (RJMCMC) proposals that achieve reasonable acceptance rates and mixing are notoriously difficult to design in most applications. Inspired by recent advances in deep neural network-based normalizing…

Markov chain Monte Carlo is a class of algorithms for drawing Markovian samples from high-dimensional target densities to approximate the numerical integration associated with computing statistical expectation, especially in Bayesian…

Neural networks are surprisingly good at interpolating and perform remarkably well when the training set examples resemble those in the test set. However, they are often unable to extrapolate patterns beyond the seen data, even when the…

Markov chain Monte Carlo methods are a powerful tool for sampling equilibrium configurations in complex systems. One problem these methods often face is slow convergence over large energy barriers. In this work, we propose a novel method…

We consider the task of MCMC sampling from a distribution defined on a discrete space. Building on recent insights provided in [Zan19], we devise a class of efficient continuous-time, non-reversible algorithms which make active use of the…

Recurrent Neural Networks (RNNs) achieve state-of-the-art results in many sequence-to-sequence modeling tasks. However, RNNs are difficult to train and tend to suffer from overfitting. Motivated by the Data Processing Inequality (DPI), we…

We propose a novel Markov chain Monte-Carlo (MCMC) method for reverse engineering the topological structure of stochastic reaction networks, a notoriously challenging problem that is relevant in many modern areas of research, like…

A long-standing goal of machine-learning-based protein engineering is to accelerate the discovery of novel mutations that improve the function of a known protein. We introduce a sampling framework for evolving proteins in silico that…

This work presents an efficient approach for accelerating multilevel Markov Chain Monte Carlo (MCMC) sampling for large-scale problems using low-fidelity machine learning models. While conventional techniques for large-scale Bayesian…

We develop a modular approach to Markov chain Monte Carlo (MCMC) sampling for unnormalized target densities. In this approach, Markov chains are constructed in parallel, each constrained to a subset of the target space. The Monte Carlo…

We propose a multilevel Markov chain Monte Carlo (MCMC) method for the Bayesian inference of random field parameters in PDEs using high-resolution data. Compared to existing multilevel MCMC methods, we additionally consider level-dependent…

Existing studies on the degree correlation of evolving networks typically rely on differential equations and statistical analysis, resulting in only approximate solutions due to inherent randomness. To address this limitation, we propose an…

Recently there have been exciting developments in Monte Carlo methods, with the development of new MCMC and sequential Monte Carlo (SMC) algorithms which are based on continuous-time, rather than discrete-time, Markov processes. This has…

In this paper we consider fully Bayesian inference in general state space models. Existing particle Markov chain Monte Carlo (MCMC) algorithms use an augmented model that takes into account all the variable sampled in a sequential Monte…

Advances in digital sensors, digital data storage and communications have resulted in systems being capable of accumulating large collections of data. In the light of dealing with the challenges that massive data present, this work proposes…

A key challenge in science and engineering is to design experiments to learn about some unknown quantity of interest. Classical experimental design optimally allocates the experimental budget to maximize a notion of utility (e.g., reduction…