Population-Based Reversible Jump Markov Chain Monte Carlo

DOI10.1093/BIOMET/ASM069MaRDI QIDQ3606636zbMATH OpenOpenAlexFDO

Authors Ajay Jasra, David A. Stephens, Chris Holmes

Publication date 26 February 2009

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0711.0186

zbMATH Keywords

Bayesian variable selectiongene expression datamixture modelreversible jump Markov chain Monte Carlouniform ergodicity

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to biology and medical sciences; meta analysis (62P10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Abstract: In this paper we present an extension of population-based Markov chain Monte Carlo (MCMC) to the trans-dimensional case. One of the main challenges in MCMC-based inference is that of simulating from high and trans-dimensional target measures. In such cases, MCMC methods may not adequately traverse the support of the target; the simulation results will be unreliable. We develop population methods to deal with such problems, and give a result proving the uniform ergodicity of these population algorithms, under mild assumptions. This result is used to demonstrate the superiority, in terms of convergence rate, of a population transition kernel over a reversible jump sampler for a Bayesian variable selection problem. We also give an example of a population algorithm for a Bayesian multivariate mixture model with an unknown number of components. This is applied to gene expression data of 1000 data points in six dimensions and it is demonstrated that our algorithm out performs some competing Markov chain samplers.

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Cited in

(28)

• Interacting sequential Monte Carlo samplers for trans-dimensional simulation
• Population Markov chain Monte Carlo
• Quantifying uncertainty in transdimensional Markov chain Monte Carlo using discrete Markov models
• A generalized multiple-try version of the reversible jump algorithm
• Transdimensional transformation based Markov chain Monte Carlo
• Bayesian optimal sequential design for nonparametric regression via inhomogeneous evolutionary MCMC
• Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method
• Anytime parallel tempering
• Annealing stochastic approximation Monte Carlo algorithm for neural network training
• High-dimensional Bayesian parameter estimation: case study for a model of JAK2/STAT5 signaling
• A path sampling identity for computing the Kullback-Leibler and J divergences
• Markov chain Monte Carlo methods and the label switching problem in Bayesian mixture modeling
• Multiset Model Selection
• Parallel hierarchical sampling: a general-purpose interacting Markov chains Monte Carlo algorithm
• A geometric approach to transdimensional markov chain monte carlo
• A Bayesian model of NMR spectra for the deconvolution and quantification of metabolites in complex biological mixtures
• Efficient sampling on the simplex with a self-adjusting logit transform proposal
• An MCMC model search algorithm for regression problems
• Volatility prediction based on scheduled macroeconomic announcements
• Reversible jump MCMC for inference in a deterministic individual–based model of tree growth for studying forest dynamics
• Bayesian inference with subset simulation in varying dimensions applied to the Karhunen-Loève expansion
• Model choice using reversible jump Markov chain Monte Carlo
• Parallel tempering with equi-energy moves
• Bayesian analysis of quasi-life tables
• Likelihood-free parallel tempering
• Bayesian fractional polynomials
• A new R package for Bayesian estimation of multivariate normal mixtures allowing for selection of the number of components and interval-censored data
• A fully Bayesian approach to inference for Coxian phase-type distributions with covariate dependent mean

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