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Journal Articles Statistics and Computing Year : 2012

Free Energy Methods for Bayesian Inference: Efficient Exploration of Univariate Gaussian Mixture Posteriors

Abstract

Because of their multimodality, mixture posterior distributions are difficult to sample with standard Markov chain Monte Carlo (MCMC) methods. We propose a strategy to enhance the sampling of MCMC in this context, using a biasing procedure which originates from computational Statistical Physics. The principle is first to choose a "reaction coordinate", that is, a "direction" in which the target distribution is multimodal. In a second step, the marginal log-density of the reaction coordinate with respect to the posterior distribution is estimated; minus this quantity is called "free energy" in the computational Statistical Physics literature. To this end, we use adaptive biasing Markov chain algorithms which adapt their targeted invariant distribution on the fly, in order to overcome sampling barriers along the chosen reaction coordinate. Finally, we perform an importance sampling step in order to remove the bias and recover the true posterior. The efficiency factor of the importance sampling step can easily be estimated \emph{a priori} once the bias is known, and appears to be rather large for the test cases we considered. A crucial point is the choice of the reaction coordinate. One standard choice (used for example in the classical Wang-Landau algorithm) is minus the log-posterior density. We discuss other choices. We show in particular that the hyper-parameter that determines the order of magnitude of the variance of each component is both a convenient and an efficient reaction coordinate. We also show how to adapt the method to compute the evidence (marginal likelihood) of a mixture model. We illustrate our approach by analyzing two real data sets.

Dates and versions

hal-00460914 , version 1 (02-03-2010)

Identifiers

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Nicolas Chopin, Tony Lelièvre, Gabriel Stoltz. Free Energy Methods for Bayesian Inference: Efficient Exploration of Univariate Gaussian Mixture Posteriors. Statistics and Computing, 2012, 22 (4), pp.897-916. ⟨10.1007/s11222-011-9257-9⟩. ⟨hal-00460914⟩
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