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A New Monte Carlo Method for Estimating Marginal Likelihoods.

ABSTRACT: Evaluating the marginal likelihood in Bayesian analysis is essential for model selection. Estimators based on a single Markov chain Monte Carlo sample from the posterior distribution include the harmonic mean estimator and the inflated density ratio estimator. We propose a new class of Monte Carlo estimators based on this single Markov chain Monte Carlo sample. This class can be thought of as a generalization of the harmonic mean and inflated density ratio estimators using a partition weighted kernel (likelihood times prior). We show that our estimator is consistent and has better theoretical properties than the harmonic mean and inflated density ratio estimators. In addition, we provide guidelines on choosing optimal weights. Simulation studies were conducted to examine the empirical performance of the proposed estimator. We further demonstrate the desirable features of the proposed estimator with two real data sets: one is from a prostate cancer study using an ordinal probit regression model with latent variables; the other is for the power prior construction from two Eastern Cooperative Oncology Group phase III clinical trials using the cure rate survival model with similar objectives.

SUBMITTER: Wang YB

PROVIDER: S-EPMC5967857 | biostudies-literature | 2018 Jun

REPOSITORIES: biostudies-literature

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A New Monte Carlo Method for Estimating Marginal Likelihoods.

Wang Yu-Bo YB Chen Ming-Hui MH Kuo Lynn L Lewis Paul O PO

Bayesian analysis 20170228 2

Evaluating the marginal likelihood in Bayesian analysis is essential for model selection. Estimators based on a single Markov chain Monte Carlo sample from the posterior distribution include the harmonic mean estimator and the inflated density ratio estimator. We propose a new class of Monte Carlo estimators based on this single Markov chain Monte Carlo sample. This class can be thought of as a generalization of the harmonic mean and inflated density ratio estimators using a partition weighted k ...[more]

PMID: 29805725

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Project description:In this work, we present a robust and powerful method for the verification, with arbitrary accuracy, of Monte Carlo codes for simulating random walks in complex media. Such random walks are typical of photon propagation in turbid media, scattering of particles, i.e., neutrons in a nuclear reactor or animal/humans' migration. Among the numerous applications, Monte Carlo method is also considered a gold standard for numerically "solving" the scalar radiative transport equation even in complex geometries and distributions of the optical properties. In this work, we apply the verification method to a Monte Carlo code which is a forward problem solver extensively used for typical applications in the field of tissue optics. The method is based on the well-known law of average path length invariance when the entrance of the entities/particles in a medium obeys to a simple cosine law, i.e., Lambertian entrance, and annihilation of particles inside the medium is absent. By using this law we achieve two important points: (1) the invariance of the average path length guarantees that the expected value is known regardless of the complexity of the medium; (2) the accuracy of a Monte Carlo code can be assessed by simple statistical tests. We will show that we can reach an arbitrary accuracy of the estimated average pathlength as the number of simulated trajectories increases. The method can be applied in complete generality versus the scattering and geometrical properties of the medium, as well as in presence of refractive index mismatches in the optical case. In particular, this verification method is reliable to detect inaccuracies in the treatment of boundaries of finite media. The results presented in this paper, obtained by a standard computer machine, show a verification of our Monte Carlo code up to the sixth decimal digit. We discuss how this method can provide a fundamental tool for the verification of Monte Carlo codes in the geometry of interest, without resorting to simpler geometries and uniform distribution of the scattering properties.

Dataset Information

A New Monte Carlo Method for Estimating Marginal Likelihoods.

Publications

A New Monte Carlo Method for Estimating Marginal Likelihoods.

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