1,002,988 research outputs found

    Parallel hierarchical sampling:a general-purpose class of multiple-chains MCMC algorithms

    Get PDF
    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

    Full text link
    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

    Full text link
    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

    Get PDF
    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

    Full text link
    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

    Full text link
    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
    corecore