Related papers: Multi-Marginal Couplings for Metropolis-Hastings

Markov jump processes (MJPs) are continuous-time stochastic processes widely used in a variety of applied disciplines. Inference for MJPs typically proceeds via Markov chain Monte Carlo, the state-of-the-art being a uniformization-based…

Statistical inference in evolutionary models with site-dependence is a long-standing challenge in phylogenetics and computational biology. We consider the problem of approximating marginal sequence likelihoods under dependent-site models of…

The configuration model is a standard tool for uniformly generating random graphs with a specified degree sequence, and is often used as a null model to evaluate how much of an observed network's structure can be explained by its degree…

In this paper we present an extension of population-based Markov chain Monte Carlo (MCMC) to the trans-dimensional case. One of the main challenges in MCMC-based inference is that of simulating from high and trans-dimensional target…

We propose a very fast approximate Markov Chain Monte Carlo (MCMC) sampling framework that is applicable to a large class of sparse Bayesian inference problems, where the computational cost per iteration in several models is of order…

Many applications in signal processing require the estimation of some parameters of interest given a set of observed data. More specifically, Bayesian inference needs the computation of {\it a-posteriori} estimators which are often…

A novel adaptive Markov chain Monte Carlo algorithm is presented. The algorithm utilizes sparsity in the partial correlation structure of a density to efficiently estimate the covariance matrix through the Cholesky factor of the precision…

This paper considers Bayesian parameter estimation of dynamic systems using a Markov Chain Monte Carlo (MCMC) approach. The Metroplis-Hastings (MH) algorithm is employed, and the main contribution of the paper is to examine and illustrate…

The widespread use of Markov Chain Monte Carlo (MCMC) methods for high-dimensional applications has motivated research into the scalability of these algorithms with respect to the dimension of the problem. Despite this, numerous problems…

Finding effective ways to exploit parallel computing to accelerate Markov chain Monte Carlo methods is an important problem in Bayesian computation and related disciplines. In this paper, we consider the zeroth-order setting where the…

We present here two irreversible Markov chain Monte Carlo algorithms for general discrete state systems, one of the algorithms is based on the random-scan Gibbs sampler for discrete states and the other on its improved version, the…

Hamiltonian Monte Carlo (HMC) is a powerful Markov chain Monte Carlo (MCMC) algorithm for estimating expectations with respect to continuous un-normalized probability distributions. MCMC estimators typically have higher variance than…

We present a Metropolis-Hastings Markov chain Monte Carlo (MCMC) algorithm for detecting hidden variables in a continuous time Bayesian network (CTBN), which uses reversible jumps in the sense defined by (Green 1995). In common with several…

The problem of sampling constrained continuous distributions has frequently appeared in many machine/statistical learning models. Many Monte Carlo Markov Chain (MCMC) sampling methods have been adapted to handle different types of…

Adaptive Markov chain Monte Carlo (MCMC) algorithms, which automatically tune their parameters based on past samples, have proved extremely useful in practice. The self-tuning mechanism makes them `non-Markovian', which means that their…

Doubly intractable models are encountered in a number of fields, e.g. social networks, ecology and epidemiology. Inference for such models requires the evaluation of a likelihood function, whose normalising factor depends on the model…

Markov chains are fundamental models for stochastic dynamics, with applications in a wide range of areas such as population dynamics, queueing systems, reinforcement learning, and Monte Carlo methods. Estimating the transition matrix and…

Markov chain Monte Carlo methods have become popular in statistics as versatile techniques to sample from complicated probability distributions. In this work, we propose a method to parameterize and train transition kernels of Markov chains…

Antithetic coupling is a general stratification strategy for reducing Monte Carlo variance without increasing the simulation size. The use of the antithetic principle in the Monte Carlo literature typically employs two strata via antithetic…

Restricted Boltzmann Machines are simple and powerful generative models that can encode any complex dataset. Despite all their advantages, in practice the trainings are often unstable and it is difficult to assess their quality because the…