A simulated annealing approach to approximate Bayes computations

DOI10.1007/S11222-014-9507-8zbMATH Open1331.65026arXiv1208.2157OpenAlexW2052329135MaRDI QIDQ5963821FDOQ5963821

Authors: Carlo Albert, Andreas Scheidegger, H. R. Künsch 

Publication date: 23 February 2016

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

Abstract: Approximate Bayes Computations (ABC) are used for parameter inference when the likelihood function of the model is expensive to evaluate but relatively cheap to sample from. In particle ABC, an ensemble of particles in the product space of model outputs and parameters is propagated in such a way that its output marginal approaches a delta function at the data and its parameter marginal approaches the posterior distribution. Inspired by Simulated Annealing, we present a new class of particle algorithms for ABC, based on a sequence of Metropolis kernels, associated with a decreasing sequence of tolerances w.r.t. the data. Unlike other algorithms, our class of algorithms is not based on importance sampling. Hence, it does not suffer from a loss of effective sample size due to re-sampling. We prove convergence under a condition on the speed at which the tolerance is decreased. Furthermore, we present a scheme that adapts the tolerance and the jump distribution in parameter space according to some mean-fields of the ensemble, which preserves the statistical independence of the particles, in the limit of infinite sample size. This adaptive scheme aims at converging as close as possible to the correct result with as few system updates as possible via minimizing the entropy production in the system. The performance of this new class of algorithms is compared against two other recent algorithms on two toy examples.

Full work available at URL: https://arxiv.org/abs/1208.2157

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zbMATH Keywords

entropysimulated annealingnon-equilibrium thermodynamicsapproximate Bayes computations

Mathematics Subject Classification ID

Bayesian inference (62F15)

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Cited In (8)

• Bayesian inference of spreading processes on networks
• An approximate likelihood perspective on ABC methods
• Distance-learning for approximate Bayesian computation to model a volcanic eruption
• Adaptive approximate Bayesian computation for complex models
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• Simulated annealing in compound Gaussian random fields (image processing)
• Approximate Bayesian inference for simulation and optimization

Uses Software

• EasyABC

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