Related papers: Variational and Monte Carlo Methods for Bayesian I…

Extreme floods cause casualties, and widespread damage to property and vital civil infrastructure. We here propose a Bayesian approach for predicting extreme floods using the generalized extreme-value (GEV) distribution within gauged and…

The Stochastic Gradient Langevin Dynamics (SGLD) are popularly used to approximate Bayesian posterior distributions in statistical learning procedures with large-scale data. As opposed to many usual Markov chain Monte Carlo (MCMC)…

Many recent advances in large scale probabilistic inference rely on variational methods. The success of variational approaches depends on (i) formulating a flexible parametric family of distributions, and (ii) optimizing the parameters to…

We propose in this work RBM-SVGD, a stochastic version of Stein Variational Gradient Descent (SVGD) method for efficiently sampling from a given probability measure and thus useful for Bayesian inference. The method is to apply the Random…

We develop a framework that allows the use of the multi-level Monte Carlo (MLMC) methodology (Giles2015) to calculate expectations with respect to the invariant measure of an ergodic SDE. In that context, we study the (over-damped) Langevin…

An accurate algorithm is proposed to improve the prediction of a particle in collision with a moving wall within the direct simulation Monte Carlo (DSMC) framework for the simulation of unsteady rarefied flows. This algorithm is able to…

We model shallow-water waves using a one-dimensional Korteweg-de Vries equation with the wave generation parameterized by random wave amplitudes for a predefined sea state. These wave amplitudes define the high-dimensional stochastic input…

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…

Uncertainty quantification for full-waveform inversion provides a probabilistic characterization of the ill-conditioning of the problem, comprising the sensitivity of the solution with respect to the starting model and data noise. This…

Few Bayesian methods for analyzing high-dimensional sparse survival data provide scalable variable selection, effect estimation and uncertainty quantification. Such methods often either sacrifice uncertainty quantification by computing…

We use approximate Bayesian computation (ABC) combined with an "improved" Markov chain Monte Carlo (IMCMC) method to estimate posterior distributions of model parameters in subgrid-scale (SGS) closures for large eddy simulations (LES) of…

Existing deterministic variational inference approaches for diffusion processes use simple proposals and target the marginal density of the posterior. We construct the variational process as a controlled version of the prior process and…

In this paper we consider the simulation-based Bayesian analysis of stochastic volatility in mean (SVM) models. Extending the highly efficient Markov chain Monte Carlo mixture sampler for the SV model proposed in Kim et al. (1998) and Omori…

Distributed models to forecast the spatial and temporal occurrence of rainfall-induced shallow landslides are based on deterministic laws. These models extend spatially the static stability models adopted in geotechnical engineering, and…

In this paper, we propose an infinite-dimensional version of the Stein variational gradient descent (iSVGD) method for solving Bayesian inverse problems. The method can generate approximate samples from posteriors efficiently. Based on the…

Spatial count data models are used to explain and predict the frequency of phenomena such as traffic accidents in geographically distinct entities such as census tracts or road segments. These models are typically estimated using Bayesian…

In this paper a data analytical approach featuring support vector machines (SVM) is employed to train a predictive model over an experimentaldataset, which consists of the most relevant studies for two-phase flow pattern prediction. The…

We propose a hybrid generative model for efficient sampling of high-dimensional, multimodal probability distributions for Bayesian inference. Traditional Monte Carlo methods, such as the Metropolis-Hastings and Langevin Monte Carlo sampling…

A central challenge in Bayesian inference is efficiently approximating posterior distributions. Stein Variational Gradient Descent (SVGD) is a popular variational inference method which transports a set of particles to approximate a target…

A new approach in stochastic optimization via the use of stochastic gradient Langevin dynamics (SGLD) algorithms, which is a variant of stochastic gradient decent (SGD) methods, allows us to efficiently approximate global minimizers of…