A Bayesian inference and model selection algorithm with an optimization scheme to infer the model noise power

J López-Santiago, L Martino, M A Vázquez, Joaquín Míguez: A Bayesian inference and model selection algorithm with an optimization scheme to infer the model noise power. En: Monthly Notices of the Royal Astronomical Society, vol. 507, no. 3, pp. 3351-3361, 2021, ISSN: 0035-8711.

Resumen

Model fitting is possibly the most extended problem in science. Classical approaches include the use of least-squares fitting procedures and maximum likelihood methods to estimate the value of the parameters in the model. However, in recent years, Bayesian inference tools have gained traction. Usually, Markov chain Monte Carlo (MCMC) methods are applied to inference problems, but they present some disadvantages, particularly when comparing different models fitted to the same data set. Other Bayesian methods can deal with this issue in a natural and effective way. We have implemented an importance sampling (IS) algorithm adapted to Bayesian inference problems in which the power of the noise in the observations is not known a priori. The main advantage of IS is that the model evidence can be derived directly from the so-called importance weights – while MCMC methods demand considerable postprocessing. The use of our adaptive target adaptive importance sampling (ATAIS) method is shown by inferring, on the one hand, the parameters of a simulated flaring event that includes a damped oscillation and, on the other hand, real data from the Kepler mission. ATAIS includes a novel automatic adaptation of the target distribution. It automatically estimates the variance of the noise in the model. ATAIS admits parallelization, which decreases the computational run-times notably. We compare our method against a nested sampling method within a model selection problem.

BibTeX (Download)

@article{10.1093/mnras/stab2303,
title = {A Bayesian inference and model selection algorithm with an optimization scheme to infer the model noise power},
author = {J L\'{o}pez-Santiago and L Martino and M A V\'{a}zquez and Joaqu\'{i}n M\'{i}guez},
url = {https://doi.org/10.1093/mnras/stab2303},
doi = {10.1093/mnras/stab2303},
issn = {0035-8711},
year  = {2021},
date = {2021-01-01},
urldate = {2021-01-01},
journal = {Monthly Notices of the Royal Astronomical Society},
volume = {507},
number = {3},
pages = {3351-3361},
abstract = {Model fitting is possibly the most extended problem in science. Classical approaches include the use of least-squares fitting procedures and maximum likelihood methods to estimate the value of the parameters in the model. However, in recent years, Bayesian inference tools have gained traction. Usually, Markov chain Monte Carlo (MCMC) methods are applied to inference problems, but they present some disadvantages, particularly when comparing different models fitted to the same data set. Other Bayesian methods can deal with this issue in a natural and effective way. We have implemented an importance sampling (IS) algorithm adapted to Bayesian inference problems in which the power of the noise in the observations is not known a priori. The main advantage of IS is that the model evidence can be derived directly from the so-called importance weights – while MCMC methods demand considerable postprocessing. The use of our adaptive target adaptive importance sampling (ATAIS) method is shown by inferring, on the one hand, the parameters of a simulated flaring event that includes a damped oscillation and, on the other hand, real data from the Kepler mission. ATAIS includes a novel automatic adaptation of the target distribution. It automatically estimates the variance of the noise in the model. ATAIS admits parallelization, which decreases the computational run-times notably. We compare our method against a nested sampling method within a model selection problem.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}