Open Access
March 2015 Sequential Monte Carlo with Adaptive Weights for Approximate Bayesian Computation
Fernando V. Bonassi, Mike West
Bayesian Anal. 10(1): 171-187 (March 2015). DOI: 10.1214/14-BA891

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.

Citation

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Fernando V. Bonassi. Mike West. "Sequential Monte Carlo with Adaptive Weights for Approximate Bayesian Computation." Bayesian Anal. 10 (1) 171 - 187, March 2015. https://doi.org/10.1214/14-BA891

Information

Published: March 2015
First available in Project Euclid: 28 January 2015

zbMATH: 1335.62015
MathSciNet: MR3420901
Digital Object Identifier: 10.1214/14-BA891

Keywords: adaptive simulation , complex modelling , dynamic bionetwork models , importance sampling , mixture model emulators

Rights: Copyright © 2015 International Society for Bayesian Analysis

Vol.10 • No. 1 • March 2015
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