17,978 research outputs found
Information-geometric Markov Chain Monte Carlo methods using Diffusions
Recent work incorporating geometric ideas in Markov chain Monte Carlo is
reviewed in order to highlight these advances and their possible application in
a range of domains beyond Statistics. A full exposition of Markov chains and
their use in Monte Carlo simulation for Statistical inference and molecular
dynamics is provided, with particular emphasis on methods based on Langevin
diffusions. After this geometric concepts in Markov chain Monte Carlo are
introduced. A full derivation of the Langevin diffusion on a Riemannian
manifold is given, together with a discussion of appropriate Riemannian metric
choice for different problems. A survey of applications is provided, and some
open questions are discussed.Comment: 22 pages, 2 figure
Discussion of "Geodesic Monte Carlo on Embedded Manifolds"
Contributed discussion and rejoinder to "Geodesic Monte Carlo on Embedded
Manifolds" (arXiv:1301.6064)Comment: Discussion of arXiv:1301.6064. To appear in the Scandinavian Journal
of Statistics. 18 page
Curvature and Concentration of Hamiltonian Monte Carlo in High Dimensions
In this article, we analyze Hamiltonian Monte Carlo (HMC) by placing it in
the setting of Riemannian geometry using the Jacobi metric, so that each step
corresponds to a geodesic on a suitable Riemannian manifold. We then combine
the notion of curvature of a Markov chain due to Joulin and Ollivier with the
classical sectional curvature from Riemannian geometry to derive error bounds
for HMC in important cases, where we have positive curvature. These cases
include several classical distributions such as multivariate Gaussians, and
also distributions arising in the study of Bayesian image registration. The
theoretical development suggests the sectional curvature as a new diagnostic
tool for convergence for certain Markov chains.Comment: Comments welcom
Joining Forces of Bayesian and Frequentist Methodology: A Study for Inference in the Presence of Non-Identifiability
Increasingly complex applications involve large datasets in combination with
non-linear and high dimensional mathematical models. In this context,
statistical inference is a challenging issue that calls for pragmatic
approaches that take advantage of both Bayesian and frequentist methods. The
elegance of Bayesian methodology is founded in the propagation of information
content provided by experimental data and prior assumptions to the posterior
probability distribution of model predictions. However, for complex
applications experimental data and prior assumptions potentially constrain the
posterior probability distribution insufficiently. In these situations Bayesian
Markov chain Monte Carlo sampling can be infeasible. From a frequentist point
of view insufficient experimental data and prior assumptions can be interpreted
as non-identifiability. The profile likelihood approach offers to detect and to
resolve non-identifiability by experimental design iteratively. Therefore, it
allows one to better constrain the posterior probability distribution until
Markov chain Monte Carlo sampling can be used securely. Using an application
from cell biology we compare both methods and show that a successive
application of both methods facilitates a realistic assessment of uncertainty
in model predictions.Comment: Article to appear in Phil. Trans. Roy. Soc.
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