Likelihood-free parallel tempering

DOI10.1007/S11222-012-9328-6zbMATH Open1325.62007DBLPjournals/sac/BaragattiGP13aarXiv1108.3423OpenAlexW2052172061WikidataQ58424428 ScholiaQ58424428MaRDI QIDQ892434FDOQ892434

Authors: M. Baragatti, Agnès Grimaud, D. Pommeret 

Publication date: 19 November 2015

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

Abstract: Approximate Bayesian Computational (ABC) methods (or likelihood-free methods) have appeared in the past fifteen years as useful methods to perform Bayesian analyses when the likelihood is analytically or computationally intractable. Several ABC methods have been proposed: Monte Carlo Markov Chains (MCMC) methods have been developped by Marjoramet al. (2003) and by Bortotet al. (2007) for instance, and sequential methods have been proposed among others by Sissonet al. (2007), Beaumont et al. (2009) and Del Moral et al. (2009). Until now, while ABC-MCMC methods remain the reference, sequential ABC methods have appeared to outperforms them (see for example McKinley et al. (2009) or Sisson et al. (2007)). In this paper a new algorithm combining population-based MCMC methods with ABC requirements is proposed, using an analogy with the Parallel Tempering algorithm (Geyer, 1991). Performances are compared with existing ABC algorithms on simulations and on a real example.

Full work available at URL: https://arxiv.org/abs/1108.3423

zbMATH Keywords

intractable likelihoodparallel temperingMonte Carlo Markov chainlikelihood-freeapproximated Bayesian computationalpopulation-based

Mathematics Subject Classification ID

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Cited In (7)

• Non-Reversible Parallel Tempering: A Scalable Highly Parallel MCMC Scheme
• An approximate likelihood perspective on ABC methods
• Asymptotically Exact Data Augmentation: Models, Properties, and Algorithms
• Title not available (Why is that?)
• Coupling random inputs for parameter estimation in complex models
• Anytime parallel tempering
• Generalized multiple-point Metropolis algorithms for approximate Bayesian computation

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