We present a general framework for Bayesian estimation of incompletely observed multivariate diffusion processes. Observations are assumed to be discrete in time, noisy and incomplete. We assume the drift and diffusion coefficient depend on an unknown parameter. A data-augmentation algorithm for drawing from the posterior distribution is presented which is based on simulating diffusion bridges conditional on a noisy incomplete observation at an intermediate time. The dynamics of such filtered bridges are derived and it is shown how these can be simulated using a generalised version of the guided proposals introduced in Schauer, Van der Meulen and Van Zanten (2017, Bernoulli 23(4A)).
Besides potentially difficult simulation of diffusion bridges, there is another well known problem related to MCMC-algorithm for the problem considered. In case there are unknown parameters in the diffusion coefficient @math , any MCMC-scheme that includes the latent diffusion bridges leads to a scheme that is reducible. The reason for this is that a continuous sample path fixes the diffusion coefficient by means of its quadratic variation process. This phenomenon was first discussed in @cite_6 and a solution to it was proposed in both @cite_20 and @cite_8 within the projection-simulation setup. The resulting algorithm is referred to as the innovation scheme, as the innovations of the bridges are used as auxiliary data, instead of the discretised bridges themselves. A slightly more general solution was recently put forward in @cite_3 using the simulation-projection setup.
@cite_20 @cite_3 @cite_6 @cite_8
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In 1999 Kannan, Tet ali and Vempala proposed a MCMC method to uniformly sample all possible realizations of a given graphical degree sequence and conjectured its rapidly mixing nature. Recently their conjecture was proved affirmative for regular graphs (by Cooper, Dyer and Greenhill, 2007), for regular directed graphs (by Greenhill, 2011) and for half-regular bipartite graphs (by Miklos, Erdős and Soukup, 2013). Several heuristics on counting the number of possible realizations exist (via sampling processes), and while they work well in practice, so far no approximation guarantees exist for such an approach. This paper is the first to develop a method for counting realizations with provable approximation guarantee. In fact, we solve a slightly more general problem; besides the graphical degree sequence a small set of forbidden edges is also given. We show that for the general problem (which contains the Greenhill problem and the Miklos, Erdős and Soukup problem as special cases) the derived MCMC process is rapidly mixing. Further, we show that this new problem is self-reducible therefore it provides a fully polynomial randomized approximation scheme (a.k.a. FPRAS) for counting of all realizations. Recent advances in Bayesian learning with large-scale data have witnessed emergence of stochastic gradient MCMC algorithms (SG-MCMC), such as stochastic gradient Langevin dynamics (SGLD), stochastic gradient Hamiltonian MCMC (SGHMC), and the stochastic gradient thermostat. While finite-time convergence properties of the SGLD with a 1st-order Euler integrator have recently been studied, corresponding theory for general SG-MCMCs has not been explored. In this paper we consider general SG-MCMCs with high-order integrators, and develop theory to analyze finite-time convergence properties and their asymptotic invariant measures. Our theoretical results show faster convergence rates and more accurate invariant measures for SG-MCMCs with higher-order integrators. For example, with the proposed efficient 2nd-order symmetric splitting integrator, the mean square error (MSE) of the posterior average for the SGHMC achieves an optimal convergence rate of L-4 5 at L iterations, compared to L-2 3 for the SGHMC and SGLD with 1st-order Euler integrators. Furthermore, convergence results of decreasing-step-size SG-MCMCs are also developed, with the same convergence rates as their fixed-step-size counterparts for a specific decreasing sequence. Experiments on both synthetic and real datasets verify our theory, and show advantages of the proposed method in two large-scale real applications. Recently, Stochastic Gradient Markov Chain Monte Carlo (SG-MCMC) methods have been proposed for scaling up Monte Carlo computations to large data problems. Whilst these approaches have proven useful in many applications, vanilla SG-MCMC might suffer from poor mixing rates when random variables exhibit strong couplings under the target densities or big scale differences. In this study, we propose a novel SG-MCMC method that takes the local geometry into account by using ideas from Quasi-Newton optimization methods. These second order methods directly approximate the inverse Hessian by using a limited history of samples and their gradients. Our method uses dense approximations of the inverse Hessian while keeping the time and memory complexities linear with the dimension of the problem. We provide a formal theoretical analysis where we show that the proposed method is asymptotically unbiased and consistent with the posterior expectations. We illustrate the effectiveness of the approach on both synthetic and real datasets. Our experiments on two challenging applications show that our method achieves fast convergence rates similar to Riemannian approaches while at the same time having low computational requirements similar to diagonal preconditioning approaches. We study the underdamped Langevin diffusion when the log of the target distribution is smooth and strongly concave. We present a MCMC algorithm based on its discretization and show that it achieves @math error (in 2-Wasserstein distance) in @math steps. This is a significant improvement over the best known rate for overdamped Langevin MCMC, which is @math steps under the same smoothness concavity assumptions. The underdamped Langevin MCMC scheme can be viewed as a version of Hamiltonian Monte Carlo (HMC) which has been observed to outperform overdamped Langevin MCMC methods in a number of application areas. We provide quantitative rates that support this empirical wisdom.