Improving the efficiency and robustness of nested sampling using posterior repartitioning

DOI10.1007/S11222-018-9841-3zbMATH Open1430.62031arXiv1803.06387OpenAlexW2963400661MaRDI QIDQ2329804FDOQ2329804

Authors: Xi Chen, Saptarshi Das, Paul Gelderblom, M. P. Hobson 

Publication date: 18 October 2019

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: In real-world Bayesian inference applications, prior assumptions regarding the parameters of interest may be unrepresentative of their actual values for a given dataset. In particular, if the likelihood is concentrated far out in the wings of the assumed prior distribution, this can lead to extremely inefficient exploration of the resulting posterior by nested sampling algorithms, with unnecessarily high associated computational costs. Simple solutions such as broadening the prior range in such cases might not be appropriate or possible in real-world applications, for example when one wishes to assume a single standardised prior across the analysis of a large number of datasets for which the true values of the parameters of interest may vary. This work therefore introduces a posterior repartitioning (PR) method for nested sampling algorithms, which addresses the problem by redefining the likelihood and prior while keeping their product fixed, so that the posterior inferences and evidence estimates remain unchanged but the efficiency of the nested sampling process is significantly increased. Numerical results show that the PR method provides a simple yet powerful refinement for nested sampling algorithms to address the issue of unrepresentative priors.

Full work available at URL: https://arxiv.org/abs/1803.06387

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zbMATH Keywords

nested samplingBayesian modellingposterior repartitioningunrepresentative prior

Mathematics Subject Classification ID

Bayesian inference (62F15) Sampling theory, sample surveys (62D05)

Cites Work

• Pattern recognition and machine learning.
• Penalising model component complexity: a principled, practical approach to constructing priors
• Title not available (Why is that?)
• Properties of nested sampling
• Nested sampling for general Bayesian computation
• An Introduction to Numerical Analysis
• A new metric for probability distributions
• Objections to Bayesian statistics
• A tutorial on bridge sampling

Cited In (2)

• Nested sampling for general Bayesian computation
• Bayesian posterior repartitioning for nested sampling

Uses Software

• MultiNest
• PyMC
• pypmc
• polychord
• PRMLT

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