Efficient computational strategies for doubly intractable problems with applications to Bayesian social networks

DOI10.1007/S11222-014-9516-7zbMATH Open1331.62127arXiv1403.4402OpenAlexW1983981363MaRDI QIDQ5963546FDOQ5963546

Alberto Caimo, Antonietta Mira

Publication date: 22 February 2016

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

Abstract: Powerful ideas recently appeared in the literature are adjusted and combined to design improved samplers for Bayesian exponential random graph models. Different forms of adaptive Metropolis-Hastings proposals (vertical, horizontal and rectangular) are tested and combined with the Delayed rejection (DR) strategy with the aim of reducing the variance of the resulting Markov chain Monte Carlo estimators for a given computational time. In the examples treated in this paper the best combination, namely horizontal adaptation with delayed rejection, leads to a variance reduction that varies between 92% and 144% relative to the adaptive direction sampling approximate exchange algorithm of Caimo and Friel (2011). These results correspond to an increased performance which varies from 10% to 94% if we take simulation time into account. The highest improvements are obtained when highly correlated posterior distributions are considered.

Full work available at URL: https://arxiv.org/abs/1403.4402

zbMATH Keywords

Markov chain Monte Carloexponential random graphsintractable likelihoodsdelayed rejectionadaptive Metropolis-Hastings proposaldoubly-intractable target

Mathematics Subject Classification ID

Bayesian inference (62F15) Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Social networks; opinion dynamics (91D30)

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Cited In (6)

• Equation-solving estimator based on the general n-step MHDR algorithm
• Exponential-family models of random graphs: inference in finite, super and infinite population scenarios
• Model comparison for Gibbs random fields using noisy reversible jump Markov chain Monte Carlo
• A multilayer exponential random graph modelling approach for weighted networks
• Exploiting multi-core architectures for reduced-variance estimation with intractable likelihoods
• Bayesian Model Selection for Exponential Random Graph Models via Adjusted Pseudolikelihoods

Uses Software

• R
• ergm
• statnet
• Bergm

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