Langevin diffusion for population based sampling with an application in Bayesian inference for pharmacodynamics
From MaRDI portal
Publication:4641605
Abstract: We propose an algorithm for the efficient and robust sampling of the posterior probability distribution in Bayesian inference problems. The algorithm combines the local search capabilities of the Manifold Metropolis Adjusted Langevin transition kernels with the advantages of global exploration by a population based sampling algorithm, the Transitional Markov Chain Monte Carlo (TMCMC). The Langevin diffusion process is determined by either the Hessian or the Fisher Information of the target distribution with appropriate modifications for non positive definiteness. The present methods is shown to be superior over other population based algorithms, in sampling probability distributions for which gradients are available and is shown to handle otherwise unidentifiable models. We demonstrate the capabilities and advantages of the method in computing the posterior distribution of the parameters in a Pharmacodynamics model, for glioma growth and its drug induced inhibition, using clinical data.
Recommendations
- Affine invariant interacting Langevin dynamics for Bayesian inference
- High-dimensional Bayesian inference via the unadjusted Langevin algorithm
- An adaptive approach to Langevin MCMC
- Particle Metropolis-adjusted Langevin algorithms
- Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors' reply
Cites work
- scientific article; zbMATH DE number 2117879 (Why is no real title available?)
- A general metric for Riemannian manifold Hamiltonian Monte Carlo
- A stochastic Newton MCMC method for large-scale statistical inverse problems with application to seismic inversion
- Adaptive step size selection for Hessian-based manifold Langevin samplers
- An introduction to Bayesian analysis. Theory and methods.
- Approximate Bayesian computation by subset simulation
- Bayesian calibration of computer models. (With discussion)
- Bayesian computation: a summary of the current state, and samples backwards and forwards
- Dimension-independent likelihood-informed MCMC
- Efficient MCMC for climate model parameter estimation: parallel adaptive chains and early rejection
- Equi-energy sampler with applications in statistical inference and statistical mechanics
- Estimating Bayes factors via thermodynamic integration and population MCMC
- Joining forces of Bayesian and frequentist methodology: a study for inference in the presence of non-identifiability
- Langevin diffusions and Metropolis-Hastings algorithms
- Langevin diffusions and the Metropolis-adjusted Langevin algorithm
- Likelihood-informed dimension reduction for nonlinear inverse problems
- Marginal Likelihood Estimation via Power Posteriors
- Multilevel sequential Monte Carlo with dimension-independent likelihood-informed proposals
- Optimal Scaling of Discrete Approximations to Langevin Diffusions
- Optimal scaling for various Metropolis-Hastings algorithms.
- Parameter Differentiation of Quantum-Mechanical Linear Operators
- Probability Theory
- Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors' reply
- Sequential Monte Carlo Samplers
- Tolerance regions for a multivariate normal population
- \(\Pi\)4U: a high performance computing framework for Bayesian uncertainty quantification of complex models
This page was built for publication: Langevin diffusion for population based sampling with an application in Bayesian inference for pharmacodynamics
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4641605)
