Multilevel Monte Carlo in approximate Bayesian computation

by Ajay Jasra, Seongil Jo,, David Nott, Christine Shoemaker, Raul Tempone
Year: 2019

Bibliography

Jasra, Ajay, Seongil Jo, David Nott, Christine Shoemaker, and Raul Tempone. "Multilevel Monte Carlo in approximate Bayesian computation." Stochastic Analysis and Applications, Volume 37, no.3 (2019): 346-360.​

Abstract

​In the following article, we consider approximate Bayesian computation (ABC) inference. We introduce a method for numerically approximating ABC posteriors using the multilevel Monte Carlo (MLMC). A sequential Monte Carlo version of the approach is developed and it is shown under some assumptions that for a given level of mean square error, this method for ABC has a lower cost than iid sampling from the most accurate ABC approximation. Several numerical examples are given.

Keywords

Approximate Bayesian computation Multilevel Monte Carlo sequential Monte Carlo