Bayesian design of experiments for intractable likelihood models using coupled auxiliary models and multivariate emulation

DOI10.1214/19-BA1144zbMATH Open1437.62303arXiv1803.07018OpenAlexW2963983664WikidataQ128410751 ScholiaQ128410751MaRDI QIDQ2297233FDOQ2297233

Authors: Antony M. Overstall, J. M. McGree 

Publication date: 18 February 2020

Published in: Bayesian Analysis (Search for Journal in Brave)

Abstract: A Bayesian design is given by maximising an expected utility over a design space. The utility is chosen to represent the aim of the experiment and its expectation is taken with respect to all unknowns: responses, parameters and/or models. Although straightforward in principle, there are several challenges to finding Bayesian designs in practice. Firstly, the utility and expected utility are rarely available in closed form and require approximation. Secondly, the design space can be of high-dimensionality. In the case of intractable likelihood models, these problems are compounded by the fact that the likelihood function, whose evaluation is required to approximate the expected utility, is not available in closed form. A strategy is proposed to find Bayesian designs for intractable likelihood models. It relies on the development of an automatic, auxiliary modelling approach, using multivariate Gaussian process emulators, to approximate the likelihood function. This is then combined with a copula-based approach to approximate the marginal likelihood (a quantity commonly required to evaluate many utility functions). These approximations are demonstrated on examples of stochastic process models involving experimental aims of both parameter estimation and model comparison.

Full work available at URL: https://arxiv.org/abs/1803.07018

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zbMATH Keywords

parameter estimationapproximate Bayesian computationGaussian processindirect inferencemodel comparisonapproximate coordinate exchange

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to biology and medical sciences; meta analysis (62P10) Gaussian processes (60G15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Optimal statistical designs (62K05)

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Cited In (7)

• Optimal Bayesian experimental design for models with intractable likelihoods using indirect inference applied to biological process models
• Optimal Bayesian design for discriminating between models with intractable likelihoods in epidemiology
• Bayesian design of experiments for intractable likelihood models using coupled auxiliary models and multivariate emulation
• Parallel Gaussian process surrogate Bayesian inference with noisy likelihood evaluations
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Uses Software

• BayesDA
• acebayes

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