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On the efficiency of pseudo-marginal random walk Metropolis algorithms

27 September 2013

Chris Sherlock

Alexandre Hoang Thiery

Gareth O. Roberts

Jeffrey S. Rosenthal

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Papers citing "On the efficiency of pseudo-marginal random walk Metropolis algorithms"

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Title
Efficient MCMC Sampling with Expensive-to-Compute and Irregular Likelihoods Conor Rosato Harvinder Lehal Simon Maskell L. Devlin Malcolm Strens 42 0 0 15 May 2025
A survey of Monte Carlo methods for noisy and costly densities with application to reinforcement learning and ABC F. Llorente Luca Martino Jesse Read D. Delgado OffRL 165 14 0 03 Jan 2025
Variance bounds and robust tuning for pseudo-marginal Metropolis--Hastings algorithms Chris Sherlock 23 0 0 16 Nov 2024
Exploring the generalizability of the optimal 0.234 acceptance rate in random-walk Metropolis and parallel tempering algorithms Aidan Li Liyan Wang Tianye Dou Jeffrey S. Rosenthal 21 0 0 13 Aug 2024
Analysing symbolic data by pseudo-marginal methods Yu Yang M. Quiroz B. Beranger Robert Kohn Scott A. Sisson 43 0 0 08 Aug 2024
A hybrid tau-leap for simulating chemical kinetics with applications to parameter estimation Thomas Trigo Trindade K. Zygalakis 62 1 0 17 Jan 2024
Bayesian Inference of Reproduction Number from Epidemiological and Genetic Data Using Particle MCMC Alicia Gill Jere Koskela Xavier Didelot R. Everitt 15 4 0 16 Nov 2023
Neural Likelihood Approximation for Integer Valued Time Series Data Luke O'Loughlin John Maclean Andrew Black AI4TS 44 0 0 19 Oct 2023
Adaptively switching between a particle marginal Metropolis-Hastings and a particle Gibbs kernel in SMC $^2$ Imke Botha Robert Kohn Leah F. South Christopher C. Drovandi 63 0 0 21 Jul 2023
Bayesian model calibration for diblock copolymer thin film self-assembly using power spectrum of microscopy data and machine learning surrogate Lianghao Cao Keyi Wu J. Oden P. Chen Omar Ghattas 52 3 0 08 Jun 2023
Accelerating inference for stochastic kinetic models Tom Lowe Andrew Golightly Chris Sherlock 77 5 0 06 Jun 2022
Black-box Bayesian inference for economic agent-based models Joel Dyer Patrick W Cannon J. Farmer Sebastian M. Schmon 107 24 0 01 Feb 2022
Automatically adapting the number of state particles in SMC $^2$ Imke Botha Robert Kohn Leah F. South Christopher C. Drovandi 59 1 0 27 Jan 2022
Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models Andras Fulop J. Heng Junye Li 56 1 0 04 Jan 2022
Comparison of Markov chains via weak Poincaré inequalities with application to pseudo-marginal MCMC Christophe Andrieu Anthony Lee Samuel Power Andi Q. Wang 21 21 0 10 Dec 2021
The Block-Correlated Pseudo Marginal Sampler for State Space Models David Gunawan Pratiti Chatterjee Robert Kohn 25 0 0 29 Sep 2021
The Node-wise Pseudo-marginal Method Denishrouf Thesingarajah A. M. Johansen 22 0 0 17 Sep 2021
Pseudo-marginal Inference for CTMCs on Infinite Spaces via Monotonic Likelihood Approximations Miguel Biron-Lattes Alexandre Bouchard-Côté Trevor Campbell 121 2 0 28 May 2021
Optimal Scaling of MCMC Beyond Metropolis Sanket Agrawal Dootika Vats K. Łatuszyński Gareth O. Roberts 63 11 0 05 Apr 2021
Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes Andrew Golightly Chris Sherlock 65 3 0 11 Sep 2020
Bayesian Computation with Intractable Likelihoods M. Moores A. Pettitt Kerrie Mengersen TPM 97 3 0 08 Apr 2020
Exact Bayesian inference for discretely observed Markov Jump Processes using finite rate matrices Chris Sherlock Andrew Golightly 52 3 0 16 Dec 2019
Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities Jure Vogrinc W. Kendall 31 6 0 21 Oct 2019
The Neural Moving Average Model for Scalable Variational Inference of State Space Models Tom Ryder D. Prangle Andrew Golightly Isaac Matthews BDL AI4TS 83 6 0 02 Oct 2019
Particle Methods for Stochastic Differential Equation Mixed Effects Models Imke Botha Robert Kohn Christopher C. Drovandi 42 21 0 25 Jul 2019
Efficient inference for stochastic differential equation mixed-effects models using correlated particle pseudo-marginal algorithms Samuel Wiqvist Andrew Golightly Ashleigh T. McLean Umberto Picchini 21 1 0 23 Jul 2019
Ensemble MCMC: Accelerating Pseudo-Marginal MCMC for State Space Models using the Ensemble Kalman Filter Christopher C. Drovandi R. Everitt Andrew Golightly D. Prangle 81 14 0 05 Jun 2019
Optimal Scaling of Random-Walk Metropolis Algorithms on General Target Distributions Jun Yang Gareth O. Roberts Jeffrey S. Rosenthal OT 95 29 0 27 Apr 2019
Markov chain Monte Carlo importance samplers for Bayesian models with intractable likelihoods Jordan Franks 31 0 0 11 Apr 2019
Bayesian inference using synthetic likelihood: asymptotics and adjustments David T. Frazier David J. Nott Christopher C. Drovandi Robert Kohn 80 41 0 13 Feb 2019
On the use of approximate Bayesian computation Markov chain Monte Carlo with inflated tolerance and post-correction M. Vihola Jordan Franks 32 2 0 01 Feb 2019
Efficient sampling of conditioned Markov jump processes Andrew Golightly Chris Sherlock TPM 86 13 0 19 Sep 2018
Unbiased inference for discretely observed hidden Markov model diffusions Neil K. Chada Jordan Franks Ajay Jasra K. Law M. Vihola 69 29 0 26 Jul 2018
Subsampling MCMC - An introduction for the survey statistician M. Quiroz M. Villani Robert Kohn Minh-Ngoc Tran Khue-Dung Dang 65 23 0 23 Jul 2018
Large Sample Asymptotics of the Pseudo-Marginal Method Sebastian M. Schmon George Deligiannidis Arnaud Doucet M. Pitt 68 31 0 26 Jun 2018
Accelerating delayed-acceptance Markov chain Monte Carlo algorithms Samuel Wiqvist Umberto Picchini J. Forman Kresten Lindorff-Larsen Wouter Boomsma 36 8 0 15 Jun 2018
Correlated pseudo-marginal schemes for time-discretised stochastic kinetic models Andrew Golightly E. Bradley Tom Lowe Colin S. Gillespie 56 12 0 20 Feb 2018
Particle Filters and Data Assimilation Paul Fearnhead H. Kunsch 83 82 0 13 Sep 2017
Unbiased approximations of products of expectations Anthony Lee S. Tiberi Giacomo Zanella 34 7 0 04 Sep 2017
Hamiltonian Monte Carlo with Energy Conserving Subsampling Khue-Dung Dang M. Quiroz Robert Kohn Minh-Ngoc Tran M. Villani 118 62 0 02 Aug 2017
Efficient SMC $^2$ schemes for stochastic kinetic models Andrew Golightly T. Kypraios 63 11 0 10 Apr 2017
Sequential Monte Carlo Methods in the nimble R Package Nick Michaud P. de Valpine Daniel Turek C. Paciorek D. Nguyen 73 6 0 17 Mar 2017
Markov Chain Monte Carlo with the Integrated Nested Laplace Approximation V. Gómez‐Rubio H. Rue 82 71 0 26 Jan 2017
A rare event approach to high dimensional Approximate Bayesian computation D. Prangle R. Everitt T. Kypraios 92 22 0 08 Nov 2016
Pseudo-marginal Metropolis--Hastings using averages of unbiased estimators Chris Sherlock Alexandre Hoang Thiery Anthony Lee 53 5 0 31 Oct 2016
Likelihood-free stochastic approximation EM for inference in complex models Umberto Picchini TPM 34 5 0 12 Sep 2016
Importance sampling type estimators based on approximate marginal MCMC M. Vihola Jouni Helske Jordan Franks 90 25 0 08 Sep 2016
Bayesian inference for stochastic differential equation mixed effects models of a tumor xenography study Umberto Picchini J. Forman 51 24 0 09 Jul 2016
Pseudo-Marginal Hamiltonian Monte Carlo Johan Alenlöv Arnaud Doucet Fredrik Lindsten 77 22 0 08 Jul 2016
A Common Derivation for Markov Chain Monte Carlo Algorithms with Tractable and Intractable Targets K. Tran BDL 69 2 0 07 Jul 2016