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- Riemann Manifold Langevin, Hamiltonian Monte, Carlo Mark Girolami, Ben Calderhead, Siu A Chin
- 2010

This paper proposes Metropolis adjusted Langevin and Hamiltonian Monte Carlo sampling methods defined on the Riemann manifold to resolve the shortcomings of existing Monte Carlo algorithms when sampling from target densities that may be high dimensional and exhibit strong correlations. The methods provide fully automated adaptation mechanisms that… (More)

A Bayesian approach to model comparison based on the integrated or marginal likelihood is considered, and applications to linear regression models and nonlinear ordinary differential equation (ODE) models are used as the setting in which to elucidate and further develop existing statistical methodology. The focus is on two methods of marginal likelihood… (More)

Identification and comparison of nonlinear dynamical system models using noisy and sparse experimental data is a vital task in many fields, however current methods are computationally expensive and prone to error due in part to the nonlinear nature of the likelihood surfaces induced. We present an accelerated sampling procedure which enables Bayesian… (More)

- Riemannian Manifold Hamiltonian, Monte Carlo, Mark Girolami, Ben Calderhead, Siu A Chin
- 2009

The paper proposes a Riemannian Manifold Hamiltonian Monte Carlo sampler to resolve the shortcomings of existing Monte Carlo algorithms when sampling from target densities that may be high dimensional and exhibit strong correlations. The method provides a fully automated adaptation mechanism that circumvents the costly pilot runs required to tune proposal… (More)

Markov chain Monte Carlo methods (MCMC) are essential tools for solving many modern-day statistical and computational problems; however, a major limitation is the inherently sequential nature of these algorithms. In this paper, we propose a natural generalization of the Metropolis-Hastings algorithm that allows for parallelizing a single chain using… (More)

One of the enduring challenges in Markov chain Monte Carlo methodology is the development of proposal mechanisms to make moves distant from the current point, that are accepted with high probability and at low computational cost. The recent introduction of locally adaptive MCMC methods based on the natural underlying Riemannian geometry of such models goes… (More)

- Oksana A Chkrebtii, David A Campbell, Ben Calderhead, Mark A Girolami
- 2016

We explore probability modelling of discretization uncertainty for system states defined implicitly by ordinary or partial differential equations. Accounting for this uncertainty can avoid posterior under-coverage when likelihoods are constructed from a coarsely discretized approximation to system equations. A formalism is proposed for inferring a fixed but… (More)

The stochastic behavior of single ion channels is most often described as an aggregated continuous-time Markov process with discrete states. For ligand-gated channels each state can represent a different conformation of the channel protein or a different number of bound ligands. Single-channel recordings show only whether the channel is open or shut: states… (More)