Monte Carlo strategies in scientific computing
Bayesian missing data problemschain-structured modelscluster algorithmscomputational biologyconvergenceexact sampling methodGibbs samplerIsing modelMarkov chainsMarkov Monte CarloMetropolis algorithmmolecular dynamicsmolecular simulationMonte Carlopopulation geneticssequential Monte Carlosignal processingtextbook
Computational methods in Markov chains (60J22) Sampling theory, sample surveys (62D05) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Interacting particle systems in time-dependent statistical mechanics (82C22) Population dynamics (general) (92D25) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)
This recent addition to the Monte Carlo literature is divided into 13 chapters and an Appendix. It provides both the methodology and the underlying theory for applying Monte Carlo techniques to a broad range of problems. After a short discussion (Chapters 1 and 2) covering basic Monte Carlo techniques (including the exact sampling method for chain-structured models), the author moves (Chapters 3 and 4) to more advanced subjects as sequential Monte Carlo and its use in different applied fields as molecular simulation, population genetics, computational biology, Bayesian missing data problems, and signal processing problems. In the next chapters the author focuses his attention on Markov chain based dynamic Monte Carlo strategies: the Metropolis algorithm (Chapter 5), the Gibbs sampler (Chapter 6), cluster algorithms for the Ising model (Chapter 7), conditional sampling (Chapter 8), molecular dynamics and the method of hybrid Monte Carlo (Chapter 9), efficient Monte Carlo sampling (Chapters 10 and 11), Markov chains and their convergence (Chapter 12). At the end of the book (Chapter 13) the author discusses some theoretical topics related to MCMC. In the Appendix the author outlines the basics in probability theory and statistical inference procedures. As indicated by the author, this book is intended to serve three audiences: researchers specializing in the study of Monte Carlo algorithms, scientists who are interested in using advanced Monte Carlo techniques, and graduate students in statistics, computational biology, and computer sciences who want to learn about Monte Carlo computations. Overall, this book is a valuable and recommended reference to Monte Carlo methods; particularly it draws the attention to recent work in sequential Monte Carlo.
- A comparison of generalized hybrid Monte Carlo methods with and without momentum flip
- Projected equation methods for approximate solution of large linear systems
- Sensor self-localization with beacon position uncertainty
- Time series analysis via mechanistic models
- Parallel exact sampling and evaluation of Gaussian Markov random fields
- An adjustment for edge effects using an augmented neighborhood model in the spatial auto-logistic model
- Interacting sequential Monte Carlo samplers for trans-dimensional simulation
- Bayesian analysis of multivariate nominal measures using multivariate multinomial probit models
- Micro-local analysis for the Metropolis algorithm
- Robust optimization - a comprehensive survey
- Interactive localized content based image retrieval with multiple-instance active learning
- A selective view of stochastic inference and modeling problems in nanoscale biophysics
- Estimating the Gumbel scale parameter for local alignment of random sequences by importance sampling with stopping times
- Microsimulation model calibration using incremental mixture approximate Bayesian computation
- Bayesian evidence test for precise hypotheses
- A multigrid solver for two-dimensional stochastic diffusion equations.
- A geometric interpretation of the Metropolis-Hastings algorithm.
- Weighted batch means estimators in Markov chain Monte Carlo
- On parallelizable Markov chain Monte Carlo algorithms with waste-recycling
- New methods of simulating Lévy processes
- Exploring the conformational space for protein folding with sequential Monte Carlo
- Mixtures of experts for understanding model discrepancy in dynamic computer models
- Semiparametric Bayesian joint models of multivariate longitudinal and survival data
- A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density
- Variational Hamiltonian Monte Carlo via score matching
- An approximate likelihood perspective on ABC methods
- A Bayesian generalized linear model for Crimean-Congo hemorrhagic fever incidents
- Monte Carlo methods
- Local computations of the iterative proportional scaling procedure for hierarchical models
- Bayesian model selection for nonlinear aeroelastic systems using wind-tunnel data
- Semiparametric Bayesian inference on generalized linear measurement error models
- A peeling algorithm for multiple testing on a random field
- Safe Metropolis-Hastings algorithm and its application to swarm control
- Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo
- Hamiltonian Monte Carlo acceleration using surrogate functions with random bases
- Without-replacement sampling for particle methods on finite state spaces
- Modified Cholesky Riemann manifold Hamiltonian Monte Carlo: exploiting sparsity for fast sampling of high-dimensional targets
- Multimodal, high-dimensional, model-based, Bayesian inverse problems with applications in biomechanics
- Multiple-try simulated annealing algorithm for global optimization
- Importance sampling the union of rare events with an application to power systems analysis
- Transdimensional transformation based Markov chain Monte Carlo
- Markov chain Monte Carlo based on deterministic transformations
- Tempered particle filtering
- Forecast density combinations of dynamic models and data driven portfolio strategies
- Bayesian methods for estimating multi-segment discharge rating curves
- Importance sampling-based estimation over AND/OR search spaces for graphical models
- Computational advances for and from Bayesian analysis
- A parallel Monte Carlo method for population balance modeling of particulate processes using bookkeeping strategy
- On Russian roulette estimates for Bayesian inference with doubly-intractable likelihoods
- Decoupling correlated and uncorrelated parametric uncertainty contributions for nonlinear models
- Model comparison for Gibbs random fields using noisy reversible jump Markov chain Monte Carlo
- Sequential Monte Carlo for maximum weight subgraphs with application to solving image jigsaw puzzles
- Testing the independence of Poisson variates under the Holgate bivariate distribution: the power of a new evidence test.
- Spatial-temporal nonlinear filtering based on hierarchical statistical models
- Determining and analyzing differentially expressed genes from cDNA microarray experiments with complementary designs
- Towards uncertainty quantification and inference in the stochastic SIR epidemic model
- Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
- Likelihood-free Bayesian inference for \(\alpha\)-stable models
- Simulated annealing for higher dimensional projection depth
- Bayesian inference through encompassing priors and importance sampling for a class of marginal models for categorical data
- A semiparametric Bayesian approach to generalized partial linear mixed models for longitudinal data
- Stochastic alternating projections
- Combining stochastic and deterministic approaches within high efficiency molecular simulations
- Adaptive Gibbs samplers and related MCMC methods
- Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
- Exact sampling for intractable probability distributions via a Bernoulli factory
- Bayes multiple decision functions
- Construction of weakly CUD sequences for MCMC sampling
- Multivariate initial sequence estimators in Markov chain Monte Carlo
- Randomized reduced forward models for efficient Metropolis-Hastings MCMC, with application to subsurface fluid flow and capacitance tomography
- An adaptive MCMC method for Bayesian variable selection in logistic and accelerated failure time regression models
- Pricing discretely-monitored double barrier options with small probabilities of execution
- Bayesian test of normality versus a Dirichlet process mixture alternative
- Efficiency of delayed-acceptance random walk metropolis algorithms
- Product-form estimators: exploiting independence to scale up Monte Carlo
- Deep composition of tensor-trains using squared inverse Rosenblatt transports
- SVARs with occasionally-binding constraints
- A novel dual-stage adaptive kriging method for profust reliability analysis
- Optimal Bayesian design for model discrimination via classification
- A general purpose strategy for realizing the zero-variance importance sampling and calculating the unknown integration constant
- Employing the MCMC technique to compute the projection depth in high dimensions
- Variance bounding of delayed-acceptance kernels
- Computing the halfspace depth with multiple try algorithm and simulated annealing algorithm
- Hit and run as a unifying device
- Subsampling sequential Monte Carlo for static Bayesian models
- Controlled sequential Monte Carlo
- An efficient method combining active learning kriging and Monte Carlo simulation for profust failure probability
- Enforcing constraints for interpolation and extrapolation in generative adversarial networks
- Stochastic preconditioning of domain decomposition methods for elliptic equations with random coefficients
- A methodology for probabilistic model-based prognosis
- What belongs where? Variable selection for zero-inflated count models with an application to the demand for health care
- Recursions on the marginals and exact computation of the normalizing constant for Gibbs processes
- Permanents, \(\alpha\)-permanents and Sinkhorn balancing
- A Bayesian approach to crop model calibration under unknown error covariance
- Exact tests for the Rasch model via sequential importance sampling
- Analysis of clustered binary data with unequal cluster sizes: a semiparametric Bayesian approach
- The value of information in spatial decision making
- Efficient uncertainty quantification with the polynomial chaos method for stiff systems
- A Bayesian inference approach to identify a Robin coefficient in one-dimensional parabolic problems
- Efficient numerical simulation method for evaluations of global sensitivity analysis with parameter uncertainty
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