Targeting Bayes factors with direct-path non-equilibrium thermodynamic integration

Marco Grzegorczyk (), Andrej Aderhold () and Dirk Husmeier ()
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Marco Grzegorczyk: Groningen University
Andrej Aderhold: Glasgow University
Dirk Husmeier: Glasgow University

Computational Statistics, 2017, vol. 32, issue 2, No 15, 717-761

Abstract: Abstract Thermodynamic integration (TI) for computing marginal likelihoods is based on an inverse annealing path from the prior to the posterior distribution. In many cases, the resulting estimator suffers from high variability, which particularly stems from the prior regime. When comparing complex models with differences in a comparatively small number of parameters, intrinsic errors from sampling fluctuations may outweigh the differences in the log marginal likelihood estimates. In the present article, we propose a TI scheme that directly targets the log Bayes factor. The method is based on a modified annealing path between the posterior distributions of the two models compared, which systematically avoids the high variance prior regime. We combine this scheme with the concept of non-equilibrium TI to minimise discretisation errors from numerical integration. Results obtained on Bayesian regression models applied to standard benchmark data, and a complex hierarchical model applied to biopathway inference, demonstrate a significant reduction in estimator variance over state-of-the-art TI methods.

Keywords: Bayesian inference; Marginal likelihood; Temperature ladder; Variance reduction; Jarzynski’s theorem; Benchmark studies; Biopathway (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s00180-017-0721-7

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