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Unbiased and Consistent Nested Sampling via Sequential Monte Carlo

05/10/2018
by   Robert Salomone, et al.
The University of Queensland
0

We introduce a new class of sequential Monte Carlo methods called Nested Sampling via Sequential Monte Carlo (NS-SMC), which reframes the Nested Sampling method of Skilling (2006) in terms of sequential Monte Carlo techniques. This new framework allows one to obtain provably consistent estimates of marginal likelihood and posterior inferences when Markov chain Monte Carlo (MCMC) is used to produce new samples. An additional benefit is that marginal likelihood estimates are also unbiased. In contrast to NS, the analysis of NS-SMC does not require the (unrealistic) assumption that the simulated samples be independent. As the original NS algorithm is a special case of NS-SMC, this provides insights as to why NS seems to produce accurate estimates despite a typical violation of its assumptions. For applications of NS-SMC, we give advice on tuning MCMC kernels in an automated manner via a preliminary pilot run, and present a new method for appropriately choosing the number of MCMC repeats at each iteration. Finally, a numerical study is conducted where the performance of NS-SMC and temperature-annealed SMC is compared on several challenging and realistic problems. MATLAB code for our experiments is made available at https://github.com/LeahPrice/SMC-NS.

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Code Repositories

SMC-NS

Unbiased and Consistent Nested Sampling via Sequential Monte Carlo


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