Diffusive nested sampling
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Abstract: We introduce a general Monte Carlo method based on Nested Sampling (NS), for sampling complex probability distributions and estimating the normalising constant. The method uses one or more particles, which explore a mixture of nested probability distributions, each successive distribution occupying ~e^-1 times the enclosed prior mass of the previous distribution. While NS technically requires independent generation of particles, Markov Chain Monte Carlo (MCMC) exploration fits naturally into this technique. We illustrate the new method on a test problem and find that it can achieve four times the accuracy of classic MCMC-based Nested Sampling, for the same computational effort; equivalent to a factor of 16 speedup. An additional benefit is that more samples and a more accurate evidence value can be obtained simply by continuing the run for longer, as in standard MCMC.
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Cites work
- scientific article; zbMATH DE number 5043156 (Why is no real title available?)
- MultiNest
- Nested sampling for general Bayesian computation
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Cited in
(16)- Nested sampling for uncertainty quantification and rare event estimation
- Nested sampling with demons
- Nested sampling, statistical physics and the Potts model
- Dynamic nested sampling: an improved algorithm for parameter estimation and evidence calculation
- Improving the efficiency and robustness of nested sampling using posterior repartitioning
- Nested sampling methods
- Sampling errors in nested sampling parameter estimation
- Proximal nested sampling for high-dimensional Bayesian model selection
- The ellipsoidal nested sampling and the expression of the model uncertainty in measurements
- Bayesian posterior repartitioning for nested sampling
- Properties of nested sampling
- Point process-based Monte Carlo estimation
- Sampling Hypersurfaces through Diffusion
- Turning on (and OFF)
- Using nested sampling in the analysis of multi-rate sound energy decay in acoustically coupled rooms
- A statistical test for nested sampling algorithms
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