3 papers
stat.CO2021
Entropy-based adaptive Hamiltonian Monte Carlo
Marcel Hirt, Michalis K. Titsias, Petros Dellaportas
Hamiltonian Monte Carlo (HMC) is a popular Markov Chain Monte Carlo (MCMC) algorithm to sample from an unnormalized probability distribution. A leapfrog integrator is commonly used…
stat.ML2019
Copula-like Variational Inference
Marcel Hirt, Petros Dellaportas, Alain Durmus
This paper considers a new family of variational distributions motivated by Sklar's theorem. This family is based on new copula-like densities on the hypercube with non-uniform mar…
stat.ML2018
Scalable Bayesian Learning for State Space Models using Variational Inference with SMC Samplers
Marcel Hirt, Petros Dellaportas
We present a scalable approach to performing approximate fully Bayesian inference in generic state space models. The proposed method is an alternative to particle MCMC that provide…