相关论文: The Containment Condition and AdapFail algorithms

Although the Bayesian paradigm offers a formal framework for estimating the entire probability distribution over uncertain parameters, its online implementation can be challenging due to high computational costs. We suggest the Adaptive…

There is a tension between robustness and efficiency when designing Markov chain Monte Carlo (MCMC) sampling algorithms. Here we focus on robustness with respect to tuning parameters, showing that more sophisticated algorithms tend to be…

Many problems in the physical sciences, machine learning, and statistical inference necessitate sampling from a high-dimensional, multi-modal probability distribution. Markov Chain Monte Carlo (MCMC) algorithms, the ubiquitous tool for this…

In this paper it is shown that adaptive importance sampling algorithms converge at exponential rate for Markov chain expectation problems that admit a combination of a filtered estimator and a Markov zero-variance measure. It extends a…

This paper deals with the ergodicity and the existence of a strong law of large numbers for adaptive Markov Chain Monte Carlo. We show that a diminishing adaptation assumption together with a drift condition for positive recurrence is…

This paper proposes a new randomized strategy for adaptive MCMC using Bayesian optimization. This approach applies to non-differentiable objective functions and trades off exploration and exploitation to reduce the number of potentially…

Markov Chain Monte Carlo (MCMC) methods such as Gibbs sampling are finding widespread use in applied statistics and machine learning. These often lead to difficult computational problems, which are increasingly being solved on parallel and…

In the design of efficient simulation algorithms, one is often beset with a poor choice of proposal distributions. Although the performance of a given simulation kernel can clarify a posteriori how adequate this kernel is for the problem at…

A generalized method of moments (GMM) estimator is unreliable for a large number of moment conditions, that is, it is comparable, or larger than the sample size. While classical GMM literature proposes several provisions to this problem,…

Motivated by reduction of computational complexity, this work develops sign-error adaptive filtering algorithms for estimating time-varying system parameters. Different from the previous work on sign-error algorithms, the parameters are…

One of the most widely used samplers in practice is the component-wise Metropolis-Hastings (CMH) sampler that updates in turn the components of a vector valued Markov chain using accept-reject moves generated from a proposal distribution.…

We consider conditional tests for non-negative discrete exponential families. We develop two Markov Chain Monte Carlo (MCMC) algorithms which allow us to sample from the conditional space and to perform approximated tests. The first…

The classical alternating minimization (or projection) algorithm has been successful in the context of solving optimization problems over two variables. The iterative nature and simplicity of the algorithm has led to its application to many…

This paper surveys various results about Markov chains on general (non-countable) state spaces. It begins with an introduction to Markov chain Monte Carlo (MCMC) algorithms, which provide the motivation and context for the theory which…

Markov chain Monte Carlo (MCMC) methods are ubiquitous tools for simulation-based inference in many fields but designing and identifying good MCMC samplers is still an open question. This paper introduces a novel MCMC algorithm, namely,…

Stochastic gradient Markov chain Monte Carlo (SG-MCMC) methods are Bayesian analogs to popular stochastic optimization methods; however, this connection is not well studied. We explore this relationship by applying simulated annealing to an…

When implementing Markov Chain Monte Carlo (MCMC) algorithms, perturbation caused by numerical errors is sometimes inevitable. This paper studies how perturbation of MCMC affects the convergence speed and Monte Carlo estimation accuracy.…

Markov Chain Monte Carlo (MCMC) is a flexible approach to approximate sampling from intractable probability distributions, with a rich theoretical foundation and comprising a wealth of exemplar algorithms. While the qualitative correctness…

This paper analyzes a (1, $\lambda$)-Evolution Strategy, a randomized comparison-based adaptive search algorithm, optimizing a linear function with a linear constraint. The algorithm uses resampling to handle the constraint. Two cases are…

Conformal inference is a statistical method used to construct prediction sets for point predictors, providing reliable uncertainty quantification with probability guarantees. This method utilizes historical labeled data to estimate the…