Prior-predictive value from fast growth simulations

H. Ahlers () and A. Engel ()

The European Physical Journal B: Condensed Matter and Complex Systems, 2008, vol. 62, issue 3, 357-364

Abstract: Building on a variant of the Jarzynski equation we propose a new method to numerically determine the prior-predictive value in a Bayesian inference problem. The method generalizes thermodynamic integration and is not hampered by equilibration problems. We demonstrate its operation by applying it to two simple examples and elucidate its performance. In the case of multi-modal posterior distributions the performance is superior to thermodynamic integration. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2008

Keywords: 02.50.-r Probability theory; stochastic processes; and statistics; 02.50.Tt Inference methods; 05.10.Ln Monte Carlo methods (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1140/epjb/e2008-00165-2

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