Connecting the Dots: Towards Continuous Time Hamiltonian Monte Carlo

Continuous time Hamiltonian Monte Carlo is introduced, as a powerful alternative to Markov chain Monte Carlo methods for continuous target distributions. The method is constructed in two steps: First Hamiltonian dynamics are chosen as the deterministic dynamics in a continuous time piecewise deterministic Markov process. Under very mild restrictions, such a process will have the desired target distribution as an invariant distribution. Secondly, the numerical implementation of such processes, based on adaptive numerical integration of second order ordinary differential equations is considered. The numerical implementation yields an approximate, yet highly robust algorithm that, unlike conventional Hamiltonian Monte Carlo, enables the exploitation of the complete Hamiltonian trajectories (hence the title). The proposed algorithm may yield large speedups and improvements in stability relative to relevant benchmarks, while incurring numerical errors that are negligible relative to the overall Monte Carlo errors

A Coverage Study of the CMSSM Based on ATLAS Sensitivity Using Fast Neural Networks Techniques

We assess the coverage properties of confidence and credible intervals on the CMSSM parameter space inferred from a Bayesian posterior and the profile likelihood based on an ATLAS sensitivity study. In order to make those calculations feasible, we introduce a new method based on neural networks to approximate the mapping between CMSSM parameters and weak-scale particle masses. Our method reduces the computational effort needed to sample the CMSSM parameter space by a factor of ~ 10^4 with respect to conventional techniques. We find that both the Bayesian posterior and the profile likelihood intervals can significantly over-cover and identify the origin of this effect to physical boundaries in the parameter space. Finally, we point out that the effects intrinsic to the statistical procedure are conflated with simplifications to the likelihood functions from the experiments themselves.Comment: Further checks about accuracy of neural network approximation, fixed typos, added refs. Main results unchanged. Matches version accepted by JHE

Bayesian coherent analysis of in-spiral gravitational wave signals with a detector network

The present operation of the ground-based network of gravitational-wave laser interferometers in "enhanced" configuration brings the search for gravitational waves into a regime where detection is highly plausible. The development of techniques that allow us to discriminate a signal of astrophysical origin from instrumental artefacts in the interferometer data and to extract the full range of information are some of the primary goals of the current work. Here we report the details of a Bayesian approach to the problem of inference for gravitational wave observations using a network of instruments, for the computation of the Bayes factor between two hypotheses and the evaluation of the marginalised posterior density functions of the unknown model parameters. The numerical algorithm to tackle the notoriously difficult problem of the evaluation of large multi-dimensional integrals is based on a technique known as Nested Sampling, which provides an attractive alternative to more traditional Markov-chain Monte Carlo (MCMC) methods. We discuss the details of the implementation of this algorithm and its performance against a Gaussian model of the background noise, considering the specific case of the signal produced by the in-spiral of binary systems of black holes and/or neutron stars, although the method is completely general and can be applied to other classes of sources. We also demonstrate the utility of this approach by introducing a new coherence test to distinguish between the presence of a coherent signal of astrophysical origin in the data of multiple instruments and the presence of incoherent accidental artefacts, and the effects on the estimation of the source parameters as a function of the number of instruments in the network.Comment: 22 page

Bayesian Analysis of ODE's: solver optimal accuracy and Bayes factors

In most relevant cases in the Bayesian analysis of ODE inverse problems, a numerical solver needs to be used. Therefore, we cannot work with the exact theoretical posterior distribution but only with an approximate posterior deriving from the error in the numerical solver. To compare a numerical and the theoretical posterior distributions we propose to use Bayes Factors (BF), considering both of them as models for the data at hand. We prove that the theoretical vs a numerical posterior BF tends to 1, in the same order (of the step size used) as the numerical forward map solver does. For higher order solvers (eg. Runge-Kutta) the Bayes Factor is already nearly 1 for step sizes that would take far less computational effort. Considerable CPU time may be saved by using coarser solvers that nevertheless produce practically error free posteriors. Two examples are presented where nearly 90% CPU time is saved while all inference results are identical to using a solver with a much finer time step.Comment: 28 pages, 6 figure

A Bayesian periodogram finds evidence for three planets in HD 11964

A Bayesian multi-planet Kepler periodogram has been developed for the analysis of precision radial velocity data (Gregory 2005b and 2007). The periodogram employs a parallel tempering Markov chain Monte Carlo algorithm. The HD 11964 data (Butler et al. 2006) has been re-analyzed using 1, 2, 3 and 4 planet models. Assuming that all the models are equally probable a priori, the three planet model is found to be >= 600 times more probable than the next most probable model which is a two planet model. The most probable model exhibits three periods of 38.02+0.06-0.05, 360+-4 and 1924+44-43 d, and eccentricities of 0.22+0.11-0.22, 0.63+0.34-0.17 and 0.05+0.03-0.05, respectively. Assuming the three signals (each one consistent with a Keplerian orbit) are caused by planets, the corresponding limits on planetary mass (M sin i) and semi-major axis are 0.090+0.15-0.14 M_J, 0.253+-0.009 au, 0.21+0.06-0.07 M_J, 1.13+-0.04 au, 0.77+-0.08 M_J, 3.46+-0.13 au, respectively. The small difference (1.3 sigma) between the 360 day period and one year suggests that it might be worth investigating the barycentric correction for the HD 11964 data

An Efficient Interpolation Technique for Jump Proposals in Reversible-Jump Markov Chain Monte Carlo Calculations

Selection among alternative theoretical models given an observed data set is an important challenge in many areas of physics and astronomy. Reversible-jump Markov chain Monte Carlo (RJMCMC) is an extremely powerful technique for performing Bayesian model selection, but it suffers from a fundamental difficulty: it requires jumps between model parameter spaces, but cannot efficiently explore both parameter spaces at once. Thus, a naive jump between parameter spaces is unlikely to be accepted in the MCMC algorithm and convergence is correspondingly slow. Here we demonstrate an interpolation technique that uses samples from single-model MCMCs to propose inter-model jumps from an approximation to the single-model posterior of the target parameter space. The interpolation technique, based on a kD-tree data structure, is adaptive and efficient in modest dimensionality. We show that our technique leads to improved convergence over naive jumps in an RJMCMC, and compare it to other proposals in the literature to improve the convergence of RJMCMCs. We also demonstrate the use of the same interpolation technique as a way to construct efficient "global" proposal distributions for single-model MCMCs without prior knowledge of the structure of the posterior distribution, and discuss improvements that permit the method to be used in higher-dimensional spaces efficiently.Comment: Minor revision to match published versio

BAMBI: blind accelerated multimodal Bayesian inference

In this paper we present an algorithm for rapid Bayesian analysis that combines the benefits of nested sampling and artificial neural networks. The blind accelerated multimodal Bayesian inference (BAMBI) algorithm implements the MultiNest package for nested sampling as well as the training of an artificial neural network (NN) to learn the likelihood function. In the case of computationally expensive likelihoods, this allows the substitution of a much more rapid approximation in order to increase significantly the speed of the analysis. We begin by demonstrating, with a few toy examples, the ability of a NN to learn complicated likelihood surfaces. BAMBI's ability to decrease running time for Bayesian inference is then demonstrated in the context of estimating cosmological parameters from Wilkinson Microwave Anisotropy Probe and other observations. We show that valuable speed increases are achieved in addition to obtaining NNs trained on the likelihood functions for the different model and data combinations. These NNs can then be used for an even faster follow-up analysis using the same likelihood and different priors. This is a fully general algorithm that can be applied, without any pre-processing, to other problems with computationally expensive likelihood functions.Comment: 12 pages, 8 tables, 17 figures; accepted by MNRAS; v2 to reflect minor changes in published versio