167 citations · 623 across the 43 of their papers we have counts for
5 papers · 1 filter
Stable Matrix Parametrizations and Structured Adjoints for Ornstein-Uhlenbeck Processes
Filippo Monti, Andrew Holbrook, Nathan E. Glatt-Holtz +1
Ornstein-Uhlenbeck processes with flexible multivariate drift matrices are powerful models for capturing coupled, asymmetric, and damped-oscillatory mean reversion. However, likeli…
On the mixing properties of some preconditioned multiproposal Markov Chain Monte Carlo algorithms
Giulia Carigi, Nathan E. Glatt-Holtz, Cecilia F. Mondaini +1
We study two recently discovered "dimension-free" Monte Carlo sampling algorithms, the multiproposal and multiple-try preconditioned Crank-Nicolson methods (mpCN and MTpCN). These…
Mad Props: Parallelism in Markov Chain Monte Carlo Through the Lens of the Infinite Proposal Limit
Nathan E. Glatt-Holtz, Andrew J. Holbrook, Justin A. Krometis +1
Multiproposal MCMC (MP-MCMC) algorithms use clouds of proposals to efficiently traverse state spaces and overcome complex target geometries. While MCMC methods are embarrassingly p…
Multiproposal Elliptical Slice Sampling
Guillermina Senn, Nathan Glatt-Holtz, Giulia Carigi +2
We introduce Multiproposal Elliptical Slice Sampling, a self-tuning multiproposal Markov chain Monte Carlo method for Bayesian inference with Gaussian priors. Our method generalize…
Bayesian Semi-Blind Deconvolution at Scale
Guillermina Senn, Håkon Tjelmeland, Nathan Glatt-Holtz +2
Blind image deconvolution refers to the problem of simultaneously estimating the blur kernel and the true image from a set of observations when both the blur kernel and the true im…