相关论文: Dimension free convergence rates for Gibbs sampler…

One of the fundamental tasks of science is to find explainable relationships between observed phenomena. One approach to this task that has received attention in recent years is based on probabilistic graphical modelling with sparsity…

In this paper we consider fully Bayesian inference in general state space models. Existing particle Markov chain Monte Carlo (MCMC) algorithms use an augmented model that takes into account all the variable sampled in a sequential Monte…

We give the first rigorous proof of the convergence of Riemannian Hamiltonian Monte Carlo, a general (and practical) method for sampling Gibbs distributions. Our analysis shows that the rate of convergence is bounded in terms of natural…

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…

We present here two irreversible Markov chain Monte Carlo algorithms for general discrete state systems, one of the algorithms is based on the random-scan Gibbs sampler for discrete states and the other on its improved version, the…

Linear regression with measurement error in the covariates is a heavily studied topic, however, the statistics/econometrics literature is almost silent to estimating a multi-equation model with measurement error. This paper considers a…

The use of Gaussian processes (GPs) is supported by efficient sampling algorithms, a rich methodological literature, and strong theoretical grounding. However, due to their prohibitive computation and storage demands, the use of exact GPs…

Bayesian model selection provides a powerful framework for objectively comparing models directly from observed data, without reference to ground truth data. However, Bayesian model selection requires the computation of the marginal…

The Bayesian probit regression model (Albert and Chib (1993)) is popular and widely used for binary regression. While the improper flat prior for the regression coefficients is an appropriate choice in the absence of any prior information,…

We develop a scalable multi-step Monte Carlo algorithm for inference under a large class of nonparametric Bayesian models for clustering and classification. Each step is "embarrassingly parallel" and can be implemented using the same Markov…

Sequential Monte Carlo samplers represent a compelling approach to posterior inference in Bayesian models, due to being parallelisable and providing an unbiased estimate of the posterior normalising constant. In this work, we significantly…

Bayesian inference in deep neural networks is challenging due to the high-dimensional, strongly multi-modal parameter posterior density landscape. Markov chain Monte Carlo approaches asymptotically recover the true posterior but are…

A growing number of generative statistical models do not permit the numerical evaluation of their likelihood functions. Approximate Bayesian computation (ABC) has become a popular approach to overcome this issue, in which one simulates…

Performing reliable Bayesian inference on a big data scale is becoming a keystone in the modern era of machine learning. A workhorse class of methods to achieve this task are Markov chain Monte Carlo (MCMC) algorithms and their design to…

We analyze the complexity of Gibbs samplers for inference in crossed random effect models used in modern analysis of variance. We demonstrate that for certain designs the plain vanilla Gibbs sampler is not scalable, in the sense that its…

Gaussian time-series models are often specified through their spectral density. Such models present several computational challenges, in particular because of the non-sparse nature of the covariance matrix. We derive a fast approximation of…

Quasi-Monte Carlo (QMC) methods for estimating integrals are attractive since the resulting estimators typically converge at a faster rate than pseudo-random Monte Carlo. However, they can be difficult to set up on arbitrary posterior…

Gibbs sampling is a common procedure used to fit finite mixture models. However, it is known to be slow to converge when exploring correlated regions of a parameter space and so blocking correlated parameters is sometimes implemented in…

Over the last decade, a large variety of clustering algorithms have been developed to detect coregulatory relationships among genes from microarray gene expression data. Model based clustering approaches have emerged as statistically well…

We consider the problem of inferring a latent function in a probabilistic model of data. When dependencies of the latent function are specified by a Gaussian process and the data likelihood is complex, efficient computation often involve…