Sequential Monte Carlo with adaptive weights for approximate Bayesian computation

DOI10.1214/14-BA891MaRDI QIDQ273582zbMATH OpenOpenAlexFDO

Authors Fernando V. Bonassi, Mike West

Publication date 22 April 2016

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.07791, https://projecteuclid.org/euclid.ba/1422468427

zbMATH Keywords

importance samplingadaptive simulationcomplex modellingdynamic bionetwork modelsmixture model emulators

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Bayesian problems; characterization of Bayes procedures (62C10)

Abstract: Methods of approximate Bayesian computation (ABC) are increasingly used for analysis of complex models. A major challenge for ABC is over-coming the often inherent problem of high rejection rates in the accept/reject methods based on prior:predictive sampling. A number of recent developments aim to address this with extensions based on sequential Monte Carlo (SMC) strategies. We build on this here, introducing an ABC SMC method that uses data-based adaptive weights. This easily implemented and computationally trivial extension of ABC SMC can very substantially improve acceptance rates, as is demonstrated in a series of examples with simulated and real data sets, including a currently topical example from dynamic modelling in systems biology applications.

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Cited in

(17)

• An adaptive sequential Monte Carlo method for approximate Bayesian computation
• Adapting the ABC distance function
• Approximate Bayesian computation for Lorenz curves from grouped data
• Reliability inference for multicomponent stress-strength model under generalized progressive hybrid censoring
• Variance estimation in adaptive sequential Monte Carlo
• Modularized Bayesian analyses and cutting feedback in likelihood-free inference
• Weighted approximate Bayesian computation via Sanov's theorem
• Minimax confidence intervals for the sliced Wasserstein distance
• A scheme for adaptive selection of population sizes in approximate Bayesian computation -- sequential Monte Carlo
• Approximate Bayesian computation for finite mixture models
• Adaptive sequential Monte Carlo by means of mixture of experts
• Adaptive approximate Bayesian computation for complex models
• Adaptive approximate Bayesian computation
• Adaptive approximate Bayesian computation tolerance selection
• Bayesian functional forecasting with locally-autoregressive dependent processes
• A comparison of likelihood-free methods with and without summary statistics
• On sequential Monte Carlo, partial rejection control and approximate Bayesian computation

Describes a project that uses

Uses Software

• ABC-SysBio
• abc

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