1,002,988 research outputs found
Parallel hierarchical sampling:a general-purpose class of multiple-chains MCMC algorithms
This paper introduces the Parallel Hierarchical Sampler (PHS), a class of Markov chain Monte Carlo algorithms using several interacting chains having the same target distribution but different mixing properties. Unlike any single-chain MCMC algorithm, upon reaching stationarity one of the PHS chains, which we call the “mother” chain, attains exact Monte Carlo sampling of the target distribution of interest. We empirically show that this translates in a dramatic improvement in the sampler’s performance with respect to single-chain MCMC algorithms. Convergence of the PHS joint transition kernel is proved and its relationships with single-chain samplers, Parallel Tempering (PT) and variable augmentation algorithms are discussed. We then provide two illustrative examples comparing the accuracy of PHS with
Automatic, fast and robust characterization of noise distributions for diffusion MRI
Knowledge of the noise distribution in magnitude diffusion MRI images is the
centerpiece to quantify uncertainties arising from the acquisition process. The
use of parallel imaging methods, the number of receiver coils and imaging
filters applied by the scanner, amongst other factors, dictate the resulting
signal distribution. Accurate estimation beyond textbook Rician or noncentral
chi distributions often requires information about the acquisition process
(e.g. coils sensitivity maps or reconstruction coefficients), which is not
usually available. We introduce a new method where a change of variable
naturally gives rise to a particular form of the gamma distribution for
background signals. The first moments and maximum likelihood estimators of this
gamma distribution explicitly depend on the number of coils, making it possible
to estimate all unknown parameters using only the magnitude data. A rejection
step is used to make the method automatic and robust to artifacts. Experiments
on synthetic datasets show that the proposed method can reliably estimate both
the degrees of freedom and the standard deviation. The worst case errors range
from below 2% (spatially uniform noise) to approximately 10% (spatially
variable noise). Repeated acquisitions of in vivo datasets show that the
estimated parameters are stable and have lower variances than compared methods.Comment: v2: added publisher DOI statement, fixed text typo in appendix A
Accelerated Parallel Non-conjugate Sampling for Bayesian Non-parametric Models
Inference of latent feature models in the Bayesian nonparametric setting is
generally difficult, especially in high dimensional settings, because it
usually requires proposing features from some prior distribution. In special
cases, where the integration is tractable, we could sample new feature
assignments according to a predictive likelihood. However, this still may not
be efficient in high dimensions. We present a novel method to accelerate the
mixing of latent variable model inference by proposing feature locations from
the data, as opposed to the prior. First, we introduce our accelerated feature
proposal mechanism that we will show is a valid Bayesian inference algorithm
and next we propose an approximate inference strategy to perform accelerated
inference in parallel. This sampling method is efficient for proper mixing of
the Markov chain Monte Carlo sampler, computationally attractive, and is
theoretically guaranteed to converge to the posterior distribution as its
limiting distribution.Comment: Previously known as "Accelerated Inference for Latent Variable
Models
Differential Evolution Markov Chain with snooker updater and fewer chains
Differential Evolution Markov Chain (DE-MC) is an adaptive MCMC algorithm, in which multiple chains are run in parallel. Standard DE-MC requires at least N=2d chains to be run in parallel, where d is the dimensionality of the posterior. This paper extends DE-MC with a snooker updater and shows by simulation and real examples that DE-MC can work for d up to 50–100 with fewer parallel chains (e.g. N=3) by exploiting information from their past by generating jumps from differences of pairs of past states. This approach extends the practical applicability of DE-MC and is shown to be about 5–26 times more efficient than the optimal Normal random walk Metropolis sampler for the 97.5% point of a variable from a 25–50 dimensional Student t 3 distribution. In a nonlinear mixed effects model example the approach outperformed a block-updater geared to the specific features of the mode
Decorrelation of Neutral Vector Variables: Theory and Applications
In this paper, we propose novel strategies for neutral vector variable
decorrelation. Two fundamental invertible transformations, namely serial
nonlinear transformation and parallel nonlinear transformation, are proposed to
carry out the decorrelation. For a neutral vector variable, which is not
multivariate Gaussian distributed, the conventional principal component
analysis (PCA) cannot yield mutually independent scalar variables. With the two
proposed transformations, a highly negatively correlated neutral vector can be
transformed to a set of mutually independent scalar variables with the same
degrees of freedom. We also evaluate the decorrelation performances for the
vectors generated from a single Dirichlet distribution and a mixture of
Dirichlet distributions. The mutual independence is verified with the distance
correlation measurement. The advantages of the proposed decorrelation
strategies are intensively studied and demonstrated with synthesized data and
practical application evaluations
Stochastic model of optical variability of BL Lacertae
We use optical photometric and polarimetric data of BL Lacertae that cover a
period of 22 years to study the variability of the source. The long-term
observations are employed for establishing parameters of a stochastic model
consisting of the radiation from a steady polarized source and a number of
variable components with different polarization parameters, proposed by
Hagen-Thorn et al. earlier. We infer parameters of the model from the
observations using numerical simulations based on a Monte Carlo method, with
values of each model parameter selected from a Gaussian distribution. We
determine the best set of model parameters by comparing model distributions to
the observational ones using the chi-square criterion. We show that the
observed photometric and polarimetric variability can be explained within a
model with a steady source of high polarization, ~40%, and with direction of
polarization parallel to the parsec scale jet, along with 10+-5 sources of
variable polarization.Comment: 4 pages, 10 figures, published by Astronomy and Astrophysics; v2:
typos correcte
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