相关论文: The Gibbs sampler revisited from the perspective o…

Gibbs sampling is the de facto Markov chain Monte Carlo method used for inference and learning on large scale graphical models. For complicated factor graphs with lots of factors, the performance of Gibbs sampling can be limited by the…

The Griddy Gibbs sampling was proposed by Ritter and Tanner (1992) as a computationally efficient approximation of the well-known Gibbs sampling method. The algorithm is simple and effective and has been used successfully to address…

Sampling from a lattice Gaussian distribution is emerging as an important problem in various areas such as coding and cryptography. The default sampling algorithm --- Klein's algorithm yields a distribution close to the lattice Gaussian…

The Partially Collapsed Gibbs (PCG) sampler offers a new strategy for improving the convergence of a Gibbs sampler. PCG achieves faster convergence by reducing the conditioning in some of the draws of its parent Gibbs sampler. Although this…

Importance sampling (IS) is a powerful Monte Carlo methodology for the approximation of intractable integrals, very often involving a target probability density function. The performance of IS heavily depends on the appropriate selection of…

Markov Chain Monte Carlo (MCMC) methods are a popular technique in Bayesian statistical modeling. They have long been used to obtain samples from posterior distributions, but recent research has focused on the scalability of these…

Particle Markov chain Monte Carlo (PMCMC) is a systematic way of combining the two main tools used for Monte Carlo statistical inference: sequential Monte Carlo (SMC) and Markov chain Monte Carlo (MCMC). We present a novel PMCMC algorithm…

We introduce a novel training principle for probabilistic models that is an alternative to maximum likelihood. The proposed Generative Stochastic Networks (GSN) framework is based on learning the transition operator of a Markov chain whose…

We establish quantitative bounds for rates of convergence and asymptotic variances for iterated conditional sequential Monte Carlo (i-cSMC) Markov chains and associated particle Gibbs samplers. Our main findings are that the essential…

Markov Chain Monte Carlo (MCMC) methods such as Gibbs sampling are finding widespread use in applied statistics and machine learning. These often lead to difficult computational problems, which are increasingly being solved on parallel and…

The popularity of Adaptive MCMC has been fueled on the one hand by its success in applications, and on the other hand, by mathematically appealing and computationally straightforward optimisation criteria for the Metropolis algorithm…

Component-wise MCMC algorithms, including Gibbs and conditional Metropolis-Hastings samplers, are commonly used for sampling from multivariate probability distributions. A long-standing question regarding Gibbs algorithms is whether a…

We study the convergence properties of a collapsed Gibbs sampler for Bayesian vector autoregressions with predictors, or exogenous variables. The Markov chain generated by our algorithm is shown to be geometrically ergodic regardless of…

A new algorithm is developed to tackle the issue of sampling non-Gaussian model parameter posterior probability distributions that arise from solutions to Bayesian inverse problems. The algorithm aims to mitigate some of the hurdles faced…

Gibbs sampling is a Markov chain Monte Carlo technique commonly used for estimating marginal distributions. To speed up Gibbs sampling, there has recently been interest in parallelizing it by executing asynchronously. While empirical…

The target measure $\mu$ is the distribution of a random vector in a box $\cB$, a Cartesian product of bounded intervals. The Gibbs sampler is a Markov chain with invariant measure $\mu$. A ``coupling from the past'' construction of 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…

In this paper, we investigate combining blocking and collapsing -- two widely used strategies for improving the accuracy of Gibbs sampling -- in the context of probabilistic graphical models (PGMs). We show that combining them is not…

Bayesian inference in state-space models is challenging due to high-dimensional state trajectories. A viable approach is particle Markov chain Monte Carlo, combining MCMC and sequential Monte Carlo to form "exact approximations" to…

It is shown that a seemingly harmless reordering of the steps in a block Gibbs sampler can actually invalidate the algorithm. In particular, the Markov chain that is simulated by the "out-of-order" block Gibbs sampler does not have the…