相关论文: Hamiltonian Monte Carlo using an adjoint-different…

The Hamiltonian Monte Carlo (HMC) algorithm is a powerful Markov Chain Monte Carlo (MCMC) method that uses Hamiltonian dynamics to generate samples from a target distribution. To fully exploit its potential, we must understand how…

Latent factor GARCH models are difficult to estimate using Bayesian methods because standard Markov chain Monte Carlo samplers produce slowly mixing and inefficient draws from the posterior distributions of the model parameters. This paper…

The main challenges that arise when adopting Gaussian Process priors in probabilistic modeling are how to carry out exact Bayesian inference and how to account for uncertainty on model parameters when making model-based predictions on…

Nested sampling is a powerful approach to Bayesian inference ultimately limited by the computationally demanding task of sampling from a heavily constrained probability distribution. An effective algorithm in its own right, Hamiltonian…

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…

Hamiltonian Monte Carlo (HMC) is a powerful algorithm to sample latent variables from Bayesian models. The advent of probabilistic programming languages (PPLs) frees users from writing inference algorithms and lets users focus on modeling.…

Latent class analysis is used to perform model based clustering for multivariate categorical responses. Selection of the variables most relevant for clustering is an important task which can affect the quality of clustering considerably.…

We define a novel class of additive models, called Extended Latent Gaussian Models, that allow for a wide range of response distributions and flexible relationships between the additive predictor and mean response. The new class covers a…

Using a hierarchical construction, we develop methods for a wide and flexible class of models by taking a fully parametric approach to generalized linear mixed models with complex covariance dependence. The Laplace approximation is used to…

Hamiltonian Monte Carlo (HMC) is a powerful Markov chain Monte Carlo (MCMC) method for performing approximate inference in complex probabilistic models of continuous variables. In common with many MCMC methods, however, the standard HMC…

Many probabilistic models introduce strong dependencies between variables using a latent multivariate Gaussian distribution or a Gaussian process. We present a new Markov chain Monte Carlo algorithm for performing inference in models with…

Many probabilistic models of interest in scientific computing and machine learning have expensive, black-box likelihoods that prevent the application of standard techniques for Bayesian inference, such as MCMC, which would require access to…

In recent years, the Hamiltonian Monte Carlo (HMC) algorithm has been found to work more efficiently compared to other popular Markov Chain Monte Carlo (MCMC) methods (such as random walk Metropolis-Hastings) in generating samples from a…

Envelope models provide a sufficient dimension reduction framework for multivariate regression analysis. Bayesian inference for these models has been developed primarily using Markov chain Monte Carlo (MCMC) methods. Specifically, Gibbs…

Sampling occupies an important position in theories of various scientific fields, and Markov chain Monte Carlo (MCMC) provides the most common technique of sampling. In the progress of MCMC, a huge number of studies have aimed the…

Sampling from the full posterior distribution of high-dimensional non-linear, non-Gaussian latent dynamical models presents significant computational challenges. While Particle Gibbs (also known as conditional sequential Monte Carlo) is…

We propose a Bayesian elastic net that uses empirical likelihood and develop an efficient tuning of Hamiltonian Monte Carlo for posterior sampling. The proposed model relaxes the assumptions on the identity of the error distribution,…

Hamiltonian Monte Carlo (HMC) has been progressively incorporated within the statistician's toolbox as an alternative sampling method in settings when standard Metropolis-Hastings is inefficient. HMC generates a Markov chain on an augmented…

Approximate Bayesian inference for the class of latent Gaussian models can be achieved efficiently with integrated nested Laplace approximations (INLA). Based on recent reformulations in the INLA methodology, we propose a further extension…

Hamiltonian Monte Carlo (HMC) is an efficient Bayesian sampling method that can make distant proposals in the parameter space by simulating a Hamiltonian dynamical system. Despite its popularity in machine learning and data science, HMC is…