相关论文: Dynamic Shrinkage Priors for Large Time-varying Pa…

Standard MCMC methods can scale poorly to big data settings due to the need to evaluate the likelihood at each iteration. There have been a number of approximate MCMC algorithms that use sub-sampling ideas to reduce this computational…

Deep discrete structured models have seen considerable progress recently, but traditional inference using dynamic programming (DP) typically works with a small number of states (less than hundreds), which severely limits model capacity. At…

There has been considerable interest in making Bayesian inference more scalable. In big data settings, most literature focuses on reducing the computing time per iteration, with less focused on reducing the number of iterations needed in…

The particle filter (PF), also known as sequential Monte Carlo (SMC), approximates high-dimensional probability distributions and their normalizing constants in the discrete-time setting. To reduce the variance of the Monte Carlo…

We present a probabilistic generative model for timing deviations in expressive music performance. The structure of the proposed model is equivalent to a switching state space model. The switch variables correspond to discrete note…

Adaptive Markov chain Monte Carlo (MCMC) algorithms, which automatically tune their parameters based on past samples, have proved extremely useful in practice. The self-tuning mechanism makes them `non-Markovian', which means that their…

The paper proposes a time-varying parameter global vector autoregressive (TVP-GVAR) framework for predicting and analysing developed region economic variables. We want to provide an easily accessible approach for the economy application…

Completely random measures provide a principled approach to creating flexible unsupervised models, where the number of latent features is infinite and the number of features that influence the data grows with the size of the data set. Due…

Stochastic gradient Markov chain Monte Carlo (SGMCMC) is a popular class of algorithms for scalable Bayesian inference. However, these algorithms include hyperparameters such as step size or batch size that influence the accuracy of…

We study a variance reduction strategy based on control variables for simulating the averaged macroscopic behavior of a stochastic slow-fast system. We assume that this averaged behavior can be written in terms of a few slow degrees of…

The multinomial probit model is often used to analyze choice behaviour. However, estimation with existing Markov chain Monte Carlo (MCMC) methods is computationally costly, which limits its applicability to large choice data sets. This…

Two popular classes of methods for approximate inference are Markov chain Monte Carlo (MCMC) and variational inference. MCMC tends to be accurate if run for a long enough time, while variational inference tends to give better approximations…

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…

We consider large-scale Markov decision processes (MDPs) with parameter uncertainty, under the robust MDP paradigm. Previous studies showed that robust MDPs, based on a minimax approach to handle uncertainty, can be solved using dynamic…

An intriguing new class of piecewise deterministic Markov processes (PDMPs) has recently been proposed as an alternative to Markov chain Monte Carlo (MCMC). In order to facilitate the application to a larger class of problems, we propose a…

This article proposes a Bayesian approach to regression with a scalar response against vector and tensor covariates. Tensor covariates are commonly vectorized prior to analysis, failing to exploit the structure of the tensor, and resulting…

Estimating time-varying correlation matrices is challenging because existing methods may adapt slowly to structural changes, impose insufficient regularization, or produce diffuse posterior uncertainty. In moderate dimensions, an additional…

Monte Carlo methods -- such as Markov chain Monte Carlo (MCMC) and piecewise deterministic Markov process (PDMP) samplers -- provide asymptotically exact estimators of expectations under a target distribution. There is growing interest in…

Piecewise deterministic Markov processes (PDMPs) are a class of continuous-time Markov processes that were recently used to develop a new class of Markov chain Monte Carlo algorithms. However, the implementation of the processes is…

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…