arXiv research

New MCMC method for complex models with large variables.

We propose a novel reversible jump Markov chain Monte Carlo (MCMC) simulated annealing algorithm to optimize radial basis function (RBF) networks. This algorithm enables us to maximize the joint posterior distribution of the network parameters and the number of basis functions. It performs a global search in the joint …

In this article we select the unknown dimension of the feature by re- versible jump MCMC inside a simulated annealing in bayesian set up of collaborative filter. We implement the same in MovieLens small dataset. We also tune the hyper parameter by using a modified empirical bayes. It can also be used to guess an initia…

Enhances RJMCMC efficiency with non-linear transport-based proposals.

New PDMP samplers tackle variable selection in models.

Unified framework for efficient trans-dimensional Bayesian inference using VI and NFs.

Generates random persistence diagrams for data analysis.

A new two-step MH method for Bayesian EL computation.

In this paper we build on previous work which uses inferences techniques, in particular Markov Chain Monte Carlo (MCMC) methods, to solve parameterized control problems. We propose a number of modifications in order to make this approach more practical in general, higher-dimensional spaces. We first introduce a new tar…

Online distributional prediction with latent cluster geometry

A new Monte Carlo sampling method derived from reverse diffusion.

This supplementary material includes three parts: some preliminary results, four examples, an experiment, three new algorithms, and all proofs of the results in the paper "Reversible MCMC on Markov equivalence classes of sparse directed acyclic graphs".

Unified framework for MCMC algorithms simplifies their design and application.

HDT improves MCMC on graphs with history-dependent sampling.

The book covers scalable MCMC methods for Bayesian learning.

Bayesian method selects interacting regions in Markov models.

New algorithm tackles big data Bayesian problems with latent variables.

In recent years a number of methods have been developed for automatically learning the (sparse) connectivity structure of Markov Random Fields. These methods are mostly based on L1-regularized optimization which has a number of disadvantages such as the inability to assess model uncertainty and expensive crossvalidatio…

In recent years a number of methods have been developed for automatically learning the (sparse) connectivity structure of Markov Random Fields. These methods are mostly based on L1-regularized optimization which has a number of disadvantages such as the inability to assess model uncertainty and expensive cross-validati…

This paper develops tools for nonreversible MCMC with convergence guarantees.

Adaptive Bayesian model for covariate-dependent power spectra analysis.

It is well-known that irreversible MCMC algorithms converge faster to their stationary distributions than reversible ones. Using the special geometric structure of Lie groups $\mathcal G$ and dissipation fields compatible with the symplectic structure, we construct an irreversible HMC-like MCMC algorithm on $\mathcal G…

Generative models using PDMPs with explicit jump rates and kernels.

Generative model handles varying data dimensions using jump diffusion processes.

The paper studies the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric affine model with stochastic volatility and jump in logarithm of VIX, we derive a linear relation between the stochastic volatility factor and VVIX index. We detect the exist…

A new model reconciles rough volatility and jumps.

Acyclic digraphs are the underlying representation of Bayesian networks, a widely used class of probabilistic graphical models. Learning the underlying graph from data is a way of gaining insights about the structural properties of a domain. Structure learning forms one of the inference challenges of statistical graphi…

This study bridges discrete and continuous state spaces using the Ehrenfest process and diffusion models.

SJDs unify masked, continuous, and hybrid diffusion models.

AutoStep MCMC adapts step size locally for better sampling efficiency.

Markov jump processes and continuous time Bayesian networks are important classes of continuous time dynamical systems. In this paper, we tackle the problem of inferring unobserved paths in these models by introducing a fast auxiliary variable Gibbs sampler. Our approach is based on the idea of uniformization, and sets…

In many applications, such as economics, operations research and reinforcement learning, one often needs to estimate a multivariate regression function f subject to a convexity constraint. For example, in sequential decision processes the value of a state under optimal subsequent decisions may be known to be convex or …

Bayesian method learns graph structures from Gaussian data efficiently.

MetFlow combines MCMC and VI efficiently for better inference.

Traditional MCMC algorithms are computationally intensive and do not scale well to large data. In particular, the Metropolis-Hastings (MH) algorithm requires passing over the entire dataset to evaluate the likelihood ratio in each iteration. We propose a general framework for performing MH-MCMC using mini-batches of th…

A standard technique for understanding underlying dependency structures among a set of variables posits a shared conditional probability distribution for the variables measured on individuals within a group. This approach is often referred to as module networks, where individuals are represented by nodes in a network, …

This study evaluates different normalizing flow architectures for MCMC.

A method to identify new classes of price jumps in financial markets.

Neural network MCMC sampler maximizes proposal entropy for efficient sampling.

Most energy and commodity markets exhibit mean-reversion and occasional distinctive price spikes, which results in demand for derivative products which protect the holder against high prices. To this end, in this paper we present exact and fast methodologies for the simulation of the spot price dynamics modeled as the …

Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. Methods for parameter estimation for such processes require ergodicity in order establish consistency and asymptotic normality of the associat…

BINDy uses Bayesian methods to identify nonlinear dynamics from data.

We consider a Markov process $X$, which is the solution of a stochastic differential equation driven by a Lévy process $Z$ and an independent Wiener process $W$. Under some regularity conditions, including non-degeneracy of the diffusive and jump components of the process as well as smoothness of the Lévy density of $Z…

A new model for short rates using pure-jump processes.

Machine learning infers time-reversible dynamics from data.

The aim of this paper is to examine the time scaling of the semivariance when returns are modeled by various types of jump-diffusion processes, including stochastic volatility models with jumps in returns and in volatility. In particular, we derive an exact formula for the semivariance when the volatility is kept const…

Optimal preconditioning improves Langevin sampling efficiency.

In this paper we classify maps from a torus phase space $X$ to $\mathcal{H}_n^*$, the space of $n \times n$, non-singular hermitian operators up to equivariant homotopy. The equivariance is with respect to a time-reversal involution on $X$ and an involution on $\mathcal{H}_n^*$ defining a certain symmetry class. Furthe…