Monte Carlo (MC) sampling methods are widely applied in Bayesian inference, system simulation and optimization problems. The Markov Chain Monte Carlo (MCMC) algorithms are a well-known class of MC methods which generate a Markov chain with the desired invariant distribution. In this document, we focus on the Metropolis-Hastings (MH) sampler, which can be considered as the atom of the MCMC techniques, introducing the basic notions and different properties. We describe in details all the elements involved in the MH algorithm and the most relevant variants. Several improvements and recent extensions proposed in the literature are also briefly discussed, providing a quick but exhaustive overview of the current Metropolis-based sampling's world.

It is not death that a man should fear but he should fear never beginning to live.

When it comes to bringing intelligence to real-time engineering systems, the world of finance has been hindered by its legacy. Compared to things like self-driving cars, incumbent financial infrastructure takes a very long time to update, and is siloed into systems that cannot really talk to each other. Paul Bilokon, founder of Thalesians, an organization to promote deeper thinking and philosophy within finance, points out that many nonfinancial systems are using software techniques that are far ahead. But he also sees this changing thanks to improved infrastructure tools and advancements in machine learning within finance. "Look at all these techniques that people use outside finance," Bilokon said.

Matrix factorisation methods decompose multivariate observations as linear combinations of latent feature vectors. The Indian Buffet Process (IBP) provides a way to model the number of latent features required for a good approximation in terms of regularised reconstruction error. Previous work has focussed on latent feature vectors with independent entries. We extend the model to include nondiagonal latent covariance structures representing characteristics such as smoothness. This is done by . Using simulations we demonstrate that under appropriate conditions a smoothness prior helps to recover the true latent features, while denoising more accurately. We demonstrate our method on a real neuroimaging dataset, where computational tractability is a sufficient challenge that the efficient strategy presented here is essential.

In this paper, we consider adaptive decision-making problems for stochastic state estimation with partial observations. First, we introduce the concept of weak adaptive submodularity, a generalization of adaptive submodularity, which has found great success in solving challenging adaptive state estimation problems. Then, for the problem of active diagnosis, i.e., discrete state estimation via active sensing, we show that an adaptive greedy policy has a near-optimal performance guarantee when the reward function possesses this property. We further show that the reward function for group-based active diagnosis, which arises in applications such as medical diagnosis and state estimation with persistent sensor faults, is also weakly adaptive submodular. Finally, in experiments of state estimation for an aircraft electrical system with persistent sensor faults, we observe that an adaptive greedy policy performs equally well as an exhaustive search.

Simple models, in information theoretic terms, are those with a small stochastic complexity. We study the stochastic complexity of spin models with interactions of arbitrary order. Invariance with respect to bijections within the space of operators allows us to classify models in complexity classes. This invariance also shows that simplicity is not related to the order of the interactions, but rather to their mutual arrangement. Models where statistical dependencies are localized on non-overlapping groups of few variables (and that afford predictions on independencies that are easy to falsify) are simple. On the contrary, fully connected pairwise models, which are often used in statistical learning, are highly complex because of their extended set of interactions.

This paper presents sampling-based speech parameter generation using moment-matching networks for Deep Neural Network (DNN)-based speech synthesis. Although people never produce exactly the same speech even if we try to express the same linguistic and para-linguistic information, typical statistical speech synthesis produces completely the same speech, i.e., there is no inter-utterance variation in synthetic speech. To give synthetic speech natural inter-utterance variation, this paper builds DNN acoustic models that make it possible to randomly sample speech parameters. The DNNs are trained so that they make the moments of generated speech parameters close to those of natural speech parameters. Since the variation of speech parameters is compressed into a low-dimensional simple prior noise vector, our algorithm has lower computation cost than direct sampling of speech parameters. As the first step towards generating synthetic speech that has natural inter-utterance variation, this paper investigates whether or not the proposed sampling-based generation deteriorates synthetic speech quality. In evaluation, we compare speech quality of conventional maximum likelihood-based generation and proposed sampling-based generation. The result demonstrates the proposed generation causes no degradation in speech quality.

Constraint-based causal discovery (CCD) algorithms require fast and accurate conditional independence (CI) testing. The Kernel Conditional Independence Test (KCIT) is currently one of the most popular CI tests in the non-parametric setting, but many investigators cannot use KCIT with large datasets because the test scales cubicly with sample size. We therefore devise two relaxations called the Randomized Conditional Independence Test (RCIT) and the Randomized conditional Correlation Test (RCoT) which both approximate KCIT by utilizing random Fourier features. In practice, both of the proposed tests scale linearly with sample size and return accurate p-values much faster than KCIT in the large sample size context. CCD algorithms run with RCIT or RCoT also return graphs at least as accurate as the same algorithms run with KCIT but with large reductions in run time.

Bayesian network structure learning is often performed in a Bayesian setting, evaluating candidate structures using their posterior probabilities for a given data set. Score-based algorithms then use those posterior probabilities as an objective function and return the maximum a posteriori network as the learned model. For discrete Bayesian networks, the canonical choice for a posterior score is the Bayesian Dirichlet equivalent uniform (BDeu) marginal likelihood with a uniform (U) graph prior, which assumes a uniform prior both on the network structures and on the parameters of the networks. In this paper, we investigate the problems arising from these assumptions, focusing on those caused by small sample sizes and sparse data. We then propose an alternative posterior score: the Bayesian Dirichlet sparse (BDs) marginal likelihood with a marginal uniform (MU) graph prior. Like U+BDeu, MU+BDs does not require any prior information on the probabilistic structure of the data and can be used as a replacement noninformative score. We study its theoretical properties and we evaluate its performance in an extensive simulation study, showing that MU+BDs is both more accurate than U+BDeu in learning the structure of the network and competitive in predicting power, while not being computationally more complex to estimate.

We consider the problem of learning a Gaussian variational approximation to the posterior distribution for a high-dimensional parameter, where we impose sparsity in the precision matrix to reflect appropriate conditional independence structure in the model. Incorporating sparsity in the precision matrix allows the Gaussian variational distribution to be both flexible and parsimonious, and the sparsity is achieved through parameterization in terms of the Cholesky factor. Efficient stochastic gradient methods which make appropriate use of gradient information for the target distribution are developed for the optimization. We consider alternative estimators of the stochastic gradients which have lower variation and are more stable. Our approach is illustrated using generalized linear mixed models and state space models for time series.