相关论文: Dynamic importance sampling for uniformly recurren…

Monte Carlo simulations are widely used in many areas including particle accelerators. In this lecture, after a short introduction and reviewing of some statistical backgrounds, we will discuss methods such as direct inversion, rejection…

Discrete-state, continuous-time Markov models are becoming commonplace in the modelling of biochemical processes. The mathematical formulations that such models lead to are opaque, and, due to their complexity, are often considered…

Gibbs sampling is one of the most commonly used Markov Chain Monte Carlo (MCMC) algorithms due to its simplicity and efficiency. It cycles through the latent variables, sampling each one from its distribution conditional on the current…

Performance-based engineering for natural hazards facilitates the design and appraisal of structures with rigorous evaluation of their uncertain structural behavior under potentially extreme stochastic loads expressed in terms of failure…

We consider importance sampling (IS) type weighted estimators based on Markov chain Monte Carlo (MCMC) targeting an approximate marginal of the target distribution. In the context of Bayesian latent variable models, the MCMC typically…

The performance of the Monte Carlo sampling methods relies on the crucial choice of a proposal density. The notion of optimality is fundamental to design suitable adaptive procedures of the proposal density within Monte Carlo schemes. This…

Importance sampling has been reported to produce algorithms with excellent empirical performance in counting problems. However, the theoretical support for its efficiency in these applications has been very limited. In this paper, we…

Markov chain Monte Carlo (MCMC) sampling is an important and commonly used tool for the analysis of hierarchical models. Nevertheless, practitioners generally have two options for MCMC: utilize existing software that generates a black-box…

Markov chain Monte Carlo (MCMC) methods asymptotically sample from complex probability distributions. The pseudo-marginal MCMC framework only requires an unbiased estimator of the unnormalized probability distribution function to construct…

Statistical signal processing applications usually require the estimation of some parameters of interest given a set of observed data. These estimates are typically obtained either by solving a multi-variate optimization problem, as in the…

Monte Carlo methods can provide accurate p-value estimates of word counting test statistics and are easy to implement. They are especially attractive when an asymptotic theory is absent or when either the search sequence or the word pattern…

To sample from a given target distribution, Markov chain Monte Carlo (MCMC) sampling relies on constructing an ergodic Markov chain with the target distribution as its invariant measure. For any MCMC method, an important question is how to…

Monte Carlo methods are essential tools for Bayesian inference. Gibbs sampling is a well-known Markov chain Monte Carlo (MCMC) algorithm, extensively used in signal processing, machine learning, and statistics, employed to draw samples from…

Bayesian methods and their implementations by means of sophisticated Monte Carlo techniques have become very popular in signal processing over the last years. Importance Sampling (IS) is a well-known Monte Carlo technique that approximates…

Power systems that need to integrate renewables at a large scale must account for the high levels of uncertainty introduced by these power sources. This can be accomplished with a system of many distributed grid-level storage devices.…

Sequential Monte Carlo (SMC) is a methodology for sampling approximately from a sequence of probability distributions of increasing dimension and estimating their normalizing constants. We propose here an alternative methodology named…

Importance sampling (IS) is a technique that enables statistical estimation of output performance at multiple input distributions from a single nominal input distribution. IS is commonly used in Monte Carlo simulation for variance reduction…

In this paper, we consider the problem of numerical investigation of the counting statistics for a class of one-dimensional systems. Importance sampling, the cornerstone technique usually implemented for such problems, critically hinges on…

MCMC methods (Monte Carlo Markov Chain) are a class of methods used to perform simulations per a probability distribution $P$. These methods are often used when we have difficulties to directly sample per a given probability distribution…

We introduce dynamic nested sampling: a generalisation of the nested sampling algorithm in which the number of "live points" varies to allocate samples more efficiently. In empirical tests the new method significantly improves calculation…