相关论文: Auxiliary gradient-based sampling algorithms

Traditional MCMC algorithms are computationally intensive and do not scale well to large data. In particular, the Metropolis-Hastings (MH) algorithm requires passing over the entire dataset to evaluate the likelihood ratio in each…

When performing Bayesian data analysis using a general linear mixed model, the resulting posterior density is almost always analytically intractable. However, if proper conditionally conjugate priors are used, there is a simple two-block…

We present a framework for adaptive-stepsize MCMC sampling based on time-rescaled Langevin dynamics, in which the stepsize variation is dynamically driven by an additional degree of freedom. Our approach augments the phase space by an…

Monte Carlo sampling techniques have broad applications in machine learning, Bayesian posterior inference, and parameter estimation. Often the target distribution takes the form of a product distribution over a dataset with a large number…

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…

This paper advocates proximal Markov Chain Monte Carlo (ProxMCMC) as a flexible and general Bayesian inference framework for constrained or regularized estimation. Originally introduced in the Bayesian imaging literature, ProxMCMC employs…

Langevin Monte Carlo (LMC) is an iterative algorithm used to generate samples from a distribution that is known only up to a normalizing constant. The nonasymptotic dependence of its mixing time on the dimension and target accuracy is…

This paper develops a slice sampler for Bayesian linear regression models with arbitrary priors. The new sampler has two advantages over current approaches. One, it is faster than many custom implementations that rely on auxiliary latent…

Selecting informative nodes over large-scale networks becomes increasingly important in many research areas. Most existing methods focus on the local network structure and incur heavy computational costs for the large-scale problem. In this…

MALA is a popular gradient-based Markov chain Monte Carlo method to access the Gibbs-posterior distribution. Stochastic MALA (sMALA) scales to large data sets, but changes the target distribution from the Gibbs-posterior to a surrogate…

For large matrix factorisation problems, we develop a distributed Markov Chain Monte Carlo (MCMC) method based on stochastic gradient Langevin dynamics (SGLD) that we call Parallel SGLD (PSGLD). PSGLD has very favourable scaling properties…

In this work, we examine sampling problems with non-smooth potentials. We propose a novel Markov chain Monte Carlo algorithm for sampling from non-smooth potentials. We provide a non-asymptotical analysis of our algorithm and establish a…

Functional mixed models are widely useful for regression analysis with dependent functional data, including longitudinal functional data with scalar predictors. However, existing algorithms for Bayesian inference with these models only…

Hamiltonian Monte Carlo (HMC) sampling methods provide a mechanism for defining distant proposals with high acceptance probabilities in a Metropolis-Hastings framework, enabling more efficient exploration of the state space than standard…

We propose a Markov chain Monte Carlo (MCMC) algorithm based on third-order Langevin dynamics for sampling from distributions with log-concave and smooth densities. The higher-order dynamics allow for more flexible discretization schemes,…

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…

Computing the marginal likelihood or evidence is one of the core challenges in Bayesian analysis. While there are many established methods for estimating this quantity, they predominantly rely on using a large number of posterior samples…

Effective implementations of sampling-based probabilistic inference often require manually constructed, model-specific proposals. Inspired by recent progresses in meta-learning for training learning agents that can generalize to unseen…

Bayesian inference for doubly-intractable pairwise exponential graphical models typically involves variations of the exchange algorithm or approximate Markov chain Monte Carlo (MCMC) samplers. However, existing methods for both classes of…

In this paper, we explore a general Aggregated Gradient Langevin Dynamics framework (AGLD) for the Markov Chain Monte Carlo (MCMC) sampling. We investigate the nonasymptotic convergence of AGLD with a unified analysis for different data…