On optimality of kernels for approximate Bayesian computation using sequential Monte Carlo

Filippi Sarah (), Barnes Chris P., Cornebise Julien and Stumpf Michael P.H.
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Filippi Sarah: Imperial College London, London, UK
Barnes Chris P.: Imperial College London, London, UK
Cornebise Julien: University College London, London, UK
Stumpf Michael P.H.: Imperial College London, London, UK

Statistical Applications in Genetics and Molecular Biology, 2013, vol. 12, issue 1, 87-107

Abstract: Approximate Bayesian computation (ABC) has gained popularity over the past few years for the analysis of complex models arising in population genetics, epidemiology and system biology. Sequential Monte Carlo (SMC) approaches have become work-horses in ABC. Here we discuss how to construct the perturbation kernels that are required in ABC SMC approaches, in order to construct a sequence of distributions that start out from a suitably defined prior and converge towards the unknown posterior. We derive optimality criteria for different kernels, which are based on the Kullback-Leibler divergence between a distribution and the distribution of the perturbed particles. We will show that for many complicated posterior distributions, locally adapted kernels tend to show the best performance. We find that the added moderate cost of adapting kernel functions is easily regained in terms of the higher acceptance rate. We demonstrate the computational efficiency gains in a range of toy examples which illustrate some of the challenges faced in real-world applications of ABC, before turning to two demanding parameter inference problems in molecular biology, which highlight the huge increases in efficiency that can be gained from choice of optimal kernels. We conclude with a general discussion of the rational choice of perturbation kernels in ABC SMC settings.

Keywords: dynamical systems; Bayesian parameter inference; sequential Monte Carlo; adaptive kernels; Likelihood-free; Kullback-Leibler (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1515/sagmb-2012-0069

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