论文标题
贝叶斯模型选择的引用热力学整合:应用于Covid-19模型选择
Referenced Thermodynamic Integration for Bayesian Model Selection: Application to COVID-19 Model Selection
论文作者
论文摘要
模型选择是应用贝叶斯统计方法的基本组成部分。诸如Akaike信息标准之类的指标通常在实践中用于选择模型,但不纳入模型参数的不确定性,并且可以给出误导性的选择。使用完整后验分布的一种方法是计算两个模型的标准化常数(称为贝叶斯因子)的比率。通常在现实的问题中,这涉及分析上棘手的高维分布的整合,因此需要使用随机方法,例如热力学整合(TI)。在本文中,我们应用了Ti方法的变体,称为引用Ti,该方法通过使用明智选择的参考密度以有效的方式计算单个模型的归一化常数。列出了方法和理论考虑的优点,以及明确的教学1和2D示例。基准测试以可比的方法提出,我们发现有利的收敛性能。当应用于实际问题时,该方法在实践中被证明是有用的 - 用于对韩国Covid-19的半机械等级贝叶斯模型进行模型选择,涉及200D密度的整合。
Model selection is a fundamental part of the applied Bayesian statistical methodology. Metrics such as the Akaike Information Criterion are commonly used in practice to select models but do not incorporate the uncertainty of the models' parameters and can give misleading choices. One approach that uses the full posterior distribution is to compute the ratio of two models' normalising constants, known as the Bayes factor. Often in realistic problems, this involves the integration of analytically intractable, high-dimensional distributions, and therefore requires the use of stochastic methods such as thermodynamic integration (TI). In this paper we apply a variation of the TI method, referred to as referenced TI, which computes a single model's normalising constant in an efficient way by using a judiciously chosen reference density. The advantages of the approach and theoretical considerations are set out, along with explicit pedagogical 1 and 2D examples. Benchmarking is presented with comparable methods and we find favourable convergence performance. The approach is shown to be useful in practice when applied to a real problem - to perform model selection for a semi-mechanistic hierarchical Bayesian model of COVID-19 transmission in South Korea involving the integration of a 200D density.