相关论文: Discussion of "Sequential Quasi-Monte-Carlo Sampli…

Efficient sampling of many-dimensional and multimodal density functions is a task of great interest in many research fields. We describe an algorithm that allows parallelizing inherently serial Markov chain Monte Carlo (MCMC) sampling by…

Parameter inference for stochastic differential equation mixed effects models (SDEMEMs) is a challenging problem. Analytical solutions for these models are rarely available, which means that the likelihood is also intractable. In this case,…

Sequential Monte Carlo (SMC) methods offer a principled approach to Bayesian uncertainty quantification but are traditionally limited by the need for full-batch gradient evaluations. We introduce a scalable variant by incorporating…

Sequential Monte Carlo (SMC) samplers form an attractive alternative to MCMC for Bayesian computation. However, their performance depends strongly on the Markov kernels used to rejuvenate particles. We discuss how to calibrate automatically…

In this study, we consider the development of tailored quasi-Monte Carlo (QMC) cubatures for non-conforming discontinuous Galerkin (DG) approximations of elliptic partial differential equations (PDEs) with random coefficients. We consider…

We evaluate numerically-precise Monte Carlo (MC), Quasi-Monte Carlo (QMC) and Randomised Quasi-Monte Carlo (RQMC) methods for computing probabilistic reachability in hybrid systems with random parameters. Computing reachability probability…

In this article we consider Bayesian parameter inference associated to partially-observed stochastic processes that start from a set B0 and are stopped or killed at the first hitting time of a known set A. Such processes occur naturally…

We propose a general framework using spike-and-slab prior distributions to aid with the development of high-dimensional Bayesian inference. Our framework allows inference with a general quasi-likelihood function. We show that highly…

We study the existence of densities for distributions of piecewise deterministic Markov processes. We also obtain relationships between invariant densities of the continuous time process and that of the process observed at jump times. In…

We establish sufficient conditions for exponential convergence to a unique quasi-stationary distribution in the total variation norm. These conditions also ensure the existence and exponential ergodicity of the Q-process, the process…

We propose a sequential Monte Carlo (SMC) method to efficiently and accurately compute cut-Bayesian posterior quantities of interest, variations of standard Bayesian approaches constructed primarily to account for model misspecification. We…

Markov chain Monte Carlo (MCMC) provides a feasible method for inferring Hidden Markov models, however, it is often computationally prohibitive, especially constrained by the curse of dimensionality, as the Monte Carlo sampler traverses…

Parametric regularity of discretizations of flux vector fields satisfying a balance law is studied under some assumptions on a random parameter that links the flux with an unknown primal variable (often through a constitutive law). In the…

The need to calibrate increasingly complex statistical models requires a persistent effort for further advances on available, computationally intensive Monte Carlo methods. We study here an advanced version of familiar Markov Chain Monte…

Quasi-Monte Carlo (QMC) is a powerful method for evaluating high-dimensional integrals. However, its use is typically limited to distributions where direct sampling is straightforward, such as the uniform distribution on the unit hypercube…

A symmetrical quasiclassical (SQC) dynamics approach based on the Li-Miller (LM) mapping Hamiltonian (SQC-LM) was employed to describe nonadiabatic dynamics. In principle, the different initial sampling procedures may be applied in the…

This note introduces "Q-marginals", which are quantum states encoding some probability distribution in a manner suitable for use in Quantum Monte Carlo Integration (QMCI), and shows that these can be prepared directly from a classical…

In this expository paper we abstract and describe a simple MCMC scheme for sampling from intractable target densities. The approach has been introduced in Gon\c{c}alves et al. (2017a) in the specific context of jump-diffusions, and is based…

Discrete data are abundant and often arise as counts or rounded data. These data commonly exhibit complex distributional features such as zero-inflation, over-/under-dispersion, boundedness, and heaping, which render many parametric models…

Fitting stochastic kinetic models represented by Markov jump processes within the Bayesian paradigm is complicated by the intractability of the observed data likelihood. There has therefore been considerable attention given to the design of…