Related papers: The Short-Cut Metropolis Method

We prove a general result that if a Metropolis--Hastings algorithm has a proposal that is not geometrically ergodic and the acceptance rate approaches unity at a suitable rate as the state variable becomes large, then the Metropolised chain…

We introduce a Markov Chain Monte Carlo (MCMC) method that is designed to sample from target distributions with irregular geometry using an adaptive scheme. In cases where targets exhibit non-Gaussian behaviour, we propose that adaption…

We consider versions of the Metropolis algorithm which avoid the inefficiency of rejections. We first illustrate that a natural Uniform Selection Algorithm might not converge to the correct distribution. We then analyse the use of Markov…

We show that for any multiple-try Metropolis algorithm, one can always accept the proposal and evaluate the importance weight that is needed to correct for the bias without extra computational cost. This results in a general, convenient,…

Proposals for Metropolis-Hastings MCMC derived by discretizing Langevin diffusion or Hamiltonian dynamics are examples of stochastic autoregressive proposals that form a natural wider class of proposals with equivalent computability. We…

We present a new multiple-try Metropolis-Hastings algorithm designed to be especially beneficial when a tailored proposal distribution is available. The algorithm is based on a given acyclic graph $G$, where one of the nodes in $G$, $k$…

In this paper, we shall optimize the efficiency of Metropolis algorithms for multidimensional target distributions with scaling terms possibly depending on the dimension. We propose a method for determining the appropriate form for the…

There has been a recent surge of interest in coupling methods for Markov chain Monte Carlo algorithms: they facilitate convergence quantification and unbiased estimation, while exploiting embarrassingly parallel computing capabilities.…

Probabilistic programming languages can simplify the development of machine learning techniques, but only if inference is sufficiently scalable. Unfortunately, Bayesian parameter estimation for highly coupled models such as regressions and…

Markov chain Monte Carlo (MCMC) methods are powerful computational tools for analysis of complex statistical problems. However, their computational efficiency is highly dependent on the chosen proposal distribution, which is generally…

We propose a new class of learning algorithms that combines variational approximation and Markov chain Monte Carlo (MCMC) simulation. Naive algorithms that use the variational approximation as proposal distribution can perform poorly…

Accept-reject based Markov chain Monte Carlo (MCMC) methods are the workhorse algorithm for Bayesian inference. These algorithms, like Metropolis-Hastings, require choosing a proposal distribution which is typically informed by the desired…

A simple and efficient adaptive Markov Chain Monte Carlo (MCMC) method, called the Metropolized Adaptive Subspace (MAdaSub) algorithm, is proposed for sampling from high-dimensional posterior model distributions in Bayesian variable…

Hamiltonian dynamics can be used to produce distant proposals for the Metropolis algorithm, thereby avoiding the slow exploration of the state space that results from the diffusive behaviour of simple random-walk proposals. Though…

Markov Chain Monte Carlo (MCMC) algorithms are routinely used to draw samples from distributions with intractable normalization constants. However, standard MCMC algorithms do not apply to doubly-intractable distributions in which there are…

We construct an adaptive independent Metropolis-Hastings sampler that uses a mixture of normals as a proposal distribution. To take full advantage of the potential of adaptive sampling our algorithm updates the mixture of normals…

It is common practice in Markov chain Monte Carlo to update the simulation one variable (or sub-block of variables) at a time, rather than conduct a single full-dimensional update. When it is possible to draw from each full-conditional…

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…

We introduce a new micro-macro Markov chain Monte Carlo method (mM-MCMC) to sample invariant distributions of molecular dynamics systems that exhibit a time-scale separation between the microscopic (fast) dynamics, and the macroscopic…

We present a novel Metropolis-Hastings method for large datasets that uses small expected-size minibatches of data. Previous work on reducing the cost of Metropolis-Hastings tests yield variable data consumed per sample, with only constant…