相关论文: A nonlinear population Monte Carlo scheme for the …

This paper addresses the problem of Monte Carlo approximation of posterior probability distributions. In particular, we have considered a recently proposed technique known as population Monte Carlo (PMC), which is based on an iterative…

In this paper we address the problem of Monte Carlo approximation of posterior probability distributions in stochastic kinetic models (SKMs). SKMs are multivariate Markov jump processes that model the interactions among species in…

Monte Carlo methods are widely used for approximating complicated, multidimensional integrals for Bayesian inference. Population Monte Carlo (PMC) is an important class of Monte Carlo methods, which utilizes a population of proposals to…

Sequential Monte Carlo Samplers are a class of stochastic algorithms for Monte Carlo integral estimation w.r.t. probability distributions, which combine elements of Markov chain Monte Carlo methods and importance sampling/resampling…

Population Monte Carlo (PMC) sampling methods are powerful tools for approximating distributions of static unknowns given a set of observations. These methods are iterative in nature: at each step they generate samples from a proposal…

Adaptive importance sampling (AIS) methods provide a useful alternative to Markov Chain Monte Carlo (MCMC) algorithms for performing inference of intractable distributions. Population Monte Carlo (PMC) algorithms constitute a family of AIS…

Using Markov chain Monte Carlo to sample from posterior distributions was the key innovation which made Bayesian data analysis practical. Notoriously, however, MCMC is hard to tune, hard to diagnose, and hard to parallelize. This…

We propose nested sequential Monte Carlo (NSMC), a methodology to sample from sequences of probability distributions, even where the random variables are high-dimensional. NSMC generalises the SMC framework by requiring only approximate,…

Adaptive importance sampling (AIS) methods are increasingly used for the approximation of distributions and related intractable integrals in the context of Bayesian inference. Population Monte Carlo (PMC) algorithms are a subclass of AIS…

The Bayesian estimation of the unknown parameters of state-space (dynamical) systems has received considerable attention over the past decade, with a handful of powerful algorithms being introduced. In this paper we tackle the theoretical…

Frequentist and likelihood methods of inference based on the multivariate skew-normal model encounter several technical difficulties with this model. In spite of the popularity of this class of densities, there are no broadly satisfactory…

This paper introduces a Bayesian framework that combines Markov chain Monte Carlo (MCMC) sampling, dimensionality reduction, and neural density estimation to efficiently handle inverse problems that (i) must be solved multiple times, and…

We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete--time state--space Markov model. The algorithm employs two layers of particle filters to approximate the…

Statistical signal processing applications usually require the estimation of some parameters of interest given a set of observed data. These estimates are typically obtained either by solving a multi-variate optimization problem, as in the…

Particle Markov Chain Monte Carlo methods are used to carry out inference in non-linear and non-Gaussian state space models, where the posterior density of the states is approximated using particles. Current approaches usually perform…

We investigate a stochastic version of the synthetic multicellular clock model proposed by Garcia-Ojalvo, Elowitz and Strogatz. By introducing dynamical noise in the model and assuming that the partial observations of the system can be…

The Markov Chain Monte Carlo (MCMC) methods are popular when considering sampling from a high-dimensional random variable $\mathbf{x}$ with possibly unnormalised probability density $p$ and observed data $\mathbf{d}$. However, MCMC requires…

Bayesian models have become very popular over the last years in several fields such as signal processing, statistics, and machine learning. Bayesian inference requires the approximation of complicated integrals involving posterior…

In many problems, complex non-Gaussian and/or nonlinear models are required to accurately describe a physical system of interest. In such cases, Monte Carlo algorithms are remarkably flexible and extremely powerful approaches to solve such…

Proximal Markov Chain Monte Carlo is a novel construct that lies at the intersection of Bayesian computation and convex optimization, which helped popularize the use of nondifferentiable priors in Bayesian statistics. Existing formulations…