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41
Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
 Biometrika
, 1995
"... Markov chain Monte Carlo methods for Bayesian computation have until recently been restricted to problems where the joint distribution of all variables has a density with respect to some xed standard underlying measure. They have therefore not been available for application to Bayesian model determi ..."
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Cited by 825 (19 self)
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Markov chain Monte Carlo methods for Bayesian computation have until recently been restricted to problems where the joint distribution of all variables has a density with respect to some xed standard underlying measure. They have therefore not been available for application to Bayesian model determination, where the dimensionality of the parameter vector is typically not xed. This article proposes a new framework for the construction of reversible Markov chain samplers that jump between parameter subspaces of di ering dimensionality, which is exible and entirely constructive. It should therefore have wide applicability in model determination problems. The methodology is illustrated with applications to multiple changepoint analysis in one and two dimensions, and toaBayesian comparison of binomial experiments.
Markov chains for exploring posterior distributions
 Annals of Statistics
, 1994
"... Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at ..."
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Cited by 753 (6 self)
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On Bayesian analysis of mixtures with an unknown number of components
 INSTITUTE OF INTERNATIONAL ECONOMICS PROJECT ON INTERNATIONAL COMPETITION POLICY," COM/DAFFE/CLP/TD(94)42
, 1997
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An Introduction to MCMC for Machine Learning
, 2003
"... This purpose of this introductory paper is threefold. First, it introduces the Monte Carlo method with emphasis on probabilistic machine learning. Second, it reviews the main building blocks of modern Markov chain Monte Carlo simulation, thereby providing and introduction to the remaining papers of ..."
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Cited by 223 (2 self)
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This purpose of this introductory paper is threefold. First, it introduces the Monte Carlo method with emphasis on probabilistic machine learning. Second, it reviews the main building blocks of modern Markov chain Monte Carlo simulation, thereby providing and introduction to the remaining papers of this special issue. Lastly, it discusses new interesting research horizons.
Using simulation methods for Bayesian econometric models: Inference, development and communication
 Econometric Review
, 1999
"... This paper surveys the fundamental principles of subjective Bayesian inference in econometrics and the implementation of those principles using posterior simulation methods. The emphasis is on the combination of models and the development of predictive distributions. Moving beyond conditioning on a ..."
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Cited by 200 (15 self)
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This paper surveys the fundamental principles of subjective Bayesian inference in econometrics and the implementation of those principles using posterior simulation methods. The emphasis is on the combination of models and the development of predictive distributions. Moving beyond conditioning on a fixed number of completely specified models, the paper introduces subjective Bayesian tools for formal comparison of these models with as yet incompletely specified models. The paper then shows how posterior simulators can facilitate communication between investigators (for example, econometricians) on the one hand and remote clients (for example, decision makers) on the other, enabling clients to vary the prior distributions and functions of interest employed by investigators. A theme of the paper is the practicality of subjective Bayesian methods. To this end, the paper describes publicly available software for Bayesian inference, model development, and communication and provides illustrations using two simple econometric models. *This paper was originally prepared for the Australasian meetings of the Econometric Society in Melbourne, Australia,
Metropolis Light Transport
 Computer Graphics (SIGGRAPH '97 Proceedings
, 1997
"... We present a new Monte Carlo method for solving the light transport problem, inspired by the Metropolis sampling method in computational physics. To render an image, we generate a sequence of light transport paths by randomly mutating a single current path (e.g. adding a new vertex to the path). Eac ..."
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Cited by 151 (1 self)
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We present a new Monte Carlo method for solving the light transport problem, inspired by the Metropolis sampling method in computational physics. To render an image, we generate a sequence of light transport paths by randomly mutating a single current path (e.g. adding a new vertex to the path). Each mutation is accepted or rejected with a carefully chosen probability, to ensure that paths are sampled according to the contribution they make to the ideal image. We then estimate this image by sampling many paths, and recording their locations on the image plane. Our algorithm is unbiased, handles general geometric and scattering models, uses little storage, and can be orders of magnitude more e#cient than previous unbiased approaches. It performs especially well on problems that are usually considered di#cult, e.g. those involving bright indirect light, small geometric holes, or glossy surfaces. Furthermore, it is competitive with previous unbiased algorithms even for relatively simple ...
Metropolized Independent Sampling with Comparisons to Rejection Sampling and Importance Sampling
, 1996
"... this paper, a special MetropolisHastings type algorithm, Metropolized independent sampling, proposed firstly in Hastings (1970), is studied in full detail. The eigenvalues and eigenvectors of the corresponding Markov chain, as well as a sharp bound for the total variation distance between the nth ..."
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Cited by 92 (3 self)
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this paper, a special MetropolisHastings type algorithm, Metropolized independent sampling, proposed firstly in Hastings (1970), is studied in full detail. The eigenvalues and eigenvectors of the corresponding Markov chain, as well as a sharp bound for the total variation distance between the nth updated distribution and the target distribution, are provided. Furthermore, the relationship between this scheme, rejection sampling, and importance sampling are studied with emphasizes on their relative efficiencies. It is shown that Metropolized independent sampling is superior to rejection sampling in two aspects: asymptotic efficiency and ease of computation. Key Words: Coupling, Delta method, Eigen analysis, Importance ratio. 1 1 Introduction
ML parameter estimation for Markov random fields, with applications to Bayesian tomography
 IEEE Trans. on Image Processing
, 1998
"... Abstract 1 Markov random fields (MRF) have been widely used to model images in Bayesian frameworks for image reconstruction and restoration. Typically, these MRF models have parameters that allow the prior model to be adjusted for best performance. However, optimal estimation of these parameters (so ..."
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Cited by 48 (18 self)
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Abstract 1 Markov random fields (MRF) have been widely used to model images in Bayesian frameworks for image reconstruction and restoration. Typically, these MRF models have parameters that allow the prior model to be adjusted for best performance. However, optimal estimation of these parameters (sometimes referred to as hyperparameters) is difficult in practice for two reasons: 1) Direct parameter estimation for MRF’s is known to be mathematically and numerically challenging. 2) Parameters can not be directly estimated because the true image crosssection is unavailable. In this paper, we propose a computationally efficient scheme to address both these difficulties for a general class of MRF models, and we derive specific methods of parameter estimation for the MRF model known as a generalized Gaussian MRF (GGMRF). The first section of the paper derives methods of direct estimation of scale and shape parameters for a general continuously valued MRF. For the GGMRF case, we show that the ML estimate of the scale parameter, σ, has a simple closed form solution, and we present an efficient scheme for computing the ML estimate of the shape parameter, p, by an offline numerical computation of the dependence of the partition function on p.
A note on MetropolisHastings kernel for general state spaces. The Annals of Applied Probability
, 1998
"... Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at ..."
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Cited by 30 (2 self)
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A tutorial on Reversible Jump MCMC with a view toward applications in QTLmapping
 ON QTL MAPPING. INTERNATIONAL STATISTICAL REVIEW
, 2006
"... A tutorial derivation of the reversible jump Markov chain Monte Carlo (MCMC) algorithm is given. Various examples illustrate how reversible jump MCMC is a general framework for MetropolisHastings algorithms where the proposal and the target distribution may have densities on spaces of varying dimen ..."
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Cited by 22 (1 self)
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A tutorial derivation of the reversible jump Markov chain Monte Carlo (MCMC) algorithm is given. Various examples illustrate how reversible jump MCMC is a general framework for MetropolisHastings algorithms where the proposal and the target distribution may have densities on spaces of varying dimension. It is nally discussed how reversible jump MCMC can be applied in genetics to compute the posterior distribution of the number, locations, eects, and genotypes of putative quantitative trait loci.