Search results for "Markov chain Monte Carlo"
showing 10 items of 79 documents
Nonlinear impact estimation in spatial autoregressive models
2018
International audience; This paper extends the literature on the calculation and interpretation of impacts for spatial autoregressive models. Using a Bayesian framework, we show how the individual direct and indirect impacts associated with an exogenous variable introduced in a nonlinear way in such models can be computed, theoretically and empirically. Rather than averaging the individual impacts, we suggest to graphically analyze them along with their confidence intervals calculated from Markov chain Monte Carlo (MCMC). We also explicitly derive the form of the gap between individual impacts in the spatial autoregressive model and the corresponding model without a spatial lag and show, in…
Monte Carlo simulation of DNA electrophoresis
1989
This paper describes an attempt to study the electrophoresis mobility of a DNA molecule in a gel by means of a Monte Carlo simulation. We find that the electrophoresis mobility mu can be well described by the empirical equation mu v kappa 1/N + kappa 2E2 with N being the number of monomers of the model chain and E being the applied field. For small E the data can merge into the linear response result mu = kappa 1/N. The paper also discusses necessary extensions of the present approach.
Comparison of different uncertainty techniques in urban stormwater quantity and quality modelling
2011
Abstract Urban drainage models are important tools used by both practitioners and scientists in the field of stormwater management. These models are often conceptual and usually require calibration using local datasets. The quantification of the uncertainty associated with the models is a must, although it is rarely practiced. The International Working Group on Data and Models, which works under the IWA/IAHR Joint Committee on Urban Drainage, has been working on the development of a framework for defining and assessing uncertainties in the field of urban drainage modelling. A part of that work is the assessment and comparison of different techniques generally used in the uncertainty assessm…
On the use of approximate Bayesian computation Markov chain Monte Carlo with inflated tolerance and post-correction
2020
Approximate Bayesian computation allows for inference of complicated probabilistic models with intractable likelihoods using model simulations. The Markov chain Monte Carlo implementation of approximate Bayesian computation is often sensitive to the tolerance parameter: low tolerance leads to poor mixing and large tolerance entails excess bias. We consider an approach using a relatively large tolerance for the Markov chain Monte Carlo sampler to ensure its sufficient mixing, and post-processing the output leading to estimators for a range of finer tolerances. We introduce an approximate confidence interval for the related post-corrected estimators, and propose an adaptive approximate Bayesi…
Group Importance Sampling for particle filtering and MCMC
2018
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 integrals involving a posterior distribution by means of weighted samples. In this work, we study the assignation of a single weighted sample which compresses the information contained in a population of weighted samples. Part of the theory that we present as Group Importance Sampling (GIS) has been employed implicitly in different works in the literature. The provided analysis yields several theoretical and practical consequences. For instance, we discus…
A Review of Multiple Try MCMC algorithms for Signal Processing
2018
Many applications in signal processing require the estimation of some parameters of interest given a set of observed data. More specifically, Bayesian inference needs the computation of {\it a-posteriori} estimators which are often expressed as complicated multi-dimensional integrals. Unfortunately, analytical expressions for these estimators cannot be found in most real-world applications, and Monte Carlo methods are the only feasible approach. A very powerful class of Monte Carlo techniques is formed by the Markov Chain Monte Carlo (MCMC) algorithms. They generate a Markov chain such that its stationary distribution coincides with the target posterior density. In this work, we perform a t…
Adaptive independent sticky MCMC algorithms
2018
In this work, we introduce a novel class of adaptive Monte Carlo methods, called adaptive independent sticky MCMC algorithms, for efficient sampling from a generic target probability density function (pdf). The new class of algorithms employs adaptive non-parametric proposal densities which become closer and closer to the target as the number of iterations increases. The proposal pdf is built using interpolation procedures based on a set of support points which is constructed iteratively based on previously drawn samples. The algorithm's efficiency is ensured by a test that controls the evolution of the set of support points. This extra stage controls the computational cost and the converge…
The Recycling Gibbs sampler for efficient learning
2018
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 complicated high-dimensional posterior distributions. The key point for the successful application of the Gibbs sampler is the ability to draw efficiently samples from the full-conditional probability density functions. Since in the general case this is not possible, in order to speed up the convergence of the chain, it is required to generate auxiliary samples whose information is eventually disregarded. In this work, we show that these auxiliary sample…
Conditional particle filters with diffuse initial distributions
2020
Conditional particle filters (CPFs) are powerful smoothing algorithms for general nonlinear/non-Gaussian hidden Markov models. However, CPFs can be inefficient or difficult to apply with diffuse initial distributions, which are common in statistical applications. We propose a simple but generally applicable auxiliary variable method, which can be used together with the CPF in order to perform efficient inference with diffuse initial distributions. The method only requires simulatable Markov transitions that are reversible with respect to the initial distribution, which can be improper. We focus in particular on random-walk type transitions which are reversible with respect to a uniform init…
Unbiased Inference for Discretely Observed Hidden Markov Model Diffusions
2021
We develop a Bayesian inference method for diffusions observed discretely and with noise, which is free of discretisation bias. Unlike existing unbiased inference methods, our method does not rely on exact simulation techniques. Instead, our method uses standard time-discretised approximations of diffusions, such as the Euler--Maruyama scheme. Our approach is based on particle marginal Metropolis--Hastings, a particle filter, randomised multilevel Monte Carlo, and importance sampling type correction of approximate Markov chain Monte Carlo. The resulting estimator leads to inference without a bias from the time-discretisation as the number of Markov chain iterations increases. We give conver…