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Bayesian model learning based on a parallel MCMC strategy
2006 (English)In: Statistics and computing, ISSN 0960-3174, E-ISSN 1573-1375, Vol. 16, no 4, 355-362 p.Article in journal (Refereed) Published
Abstract [en]

We introduce a novel Markov chain Monte Carlo algorithm for estimation of posterior probabilities over discrete model spaces. Our learning approach is applicable to families of models for which the marginal likelihood can be analytically calculated, either exactly or approximately, given any fixed structure. It is argued that for certain model neighborhood structures, the ordinary reversible Metropolis-Hastings algorithm does not yield an appropriate solution to the estimation problem. Therefore, we develop an alternative, non-reversible algorithm which can avoid the scaling effect of the neighborhood. To efficiently explore a model space, a finite number of interacting parallel stochastic processes is utilized. Our interaction scheme enables exploration of several local neighborhoods of a model space simultaneously, while it prevents the absorption of any particular process to a relatively inferior state. We illustrate the advantages of our method by an application to a classification model. In particular, we use an extensive bacterial database and compare our results with results obtained by different methods for the same data.

Place, publisher, year, edition, pages
2006. Vol. 16, no 4, 355-362 p.
Keyword [en]
Bayesian analysis, Markov chain Monte Carlo, model learning, parallel, search, chain monte-carlo, markov-chains, stochastic complexity, enterobacteriaceae, identification, classification, distributions, inference, algorithm
URN: urn:nbn:se:kth:diva-16063DOI: 10.1007/s11222-006-9391-yISI: 000241260600003OAI: diva2:334105
QC 20100525Available from: 2010-08-05 Created: 2010-08-05Bibliographically approved

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Koski, Timo
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