Adaptive Markov chain Monte Carlo algorithms for Bayesian inference: recent advances and comparative study: Fid-Bau Portal

Adaptive Markov chain Monte Carlo algorithms for Bayesian inference: recent advances and comparative study

Jin, Seung-Seop / Ju, Heekun / Jung, Hyung-Jo

Condition assessments of structures require prediction models such as empirical model and numerical simulation model. Generally, these prediction models have model parameters to be estimated from experimental data. Bayesian inference is the formal statistical framework to estimate the model parameters and their uncertainties. As a result, uncertainties associated with the model and measurement can be accounted for decision making. Markov Chain Monte Carlo (MCMC) algorithms have been widely employed. However, there still remain some implementation issues from the inappropriate selection of the proposal mechanism in Markov chain. Since the posterior density for a given problem is often problem-dependent and unknown, users require a trial-and-error approach to select and tune optimal proposal mechanism. To relieve this difficulty, various adaptive MCMC algorithms have been recently appeared. Users must understand their mechanism and limitations before applying the algorithms to their problems. However, there is no comprehensive work to provide detailed exposition and their performance comparison together. This study aims to bring together different adaptive MCMC algorithms with the goal of providing their mechanisms and evaluating their performances through comparative study. Three algorithms are chosen as the representative proposal mechanism. From comparative studies, the discussions were drawn in terms of performances, simplicity and computational costs for less-experienced users.