A population Monte Carlo scheme with transformed weights and its application to stochastic kinetic models

作者：Koblents Eugenia^*; Miguez Joaquin

来源：Statistics and Computing, 2015, 25(2): 407-425.

DOI：10.1007/s11222-013-9440-2

• Population Monte Carlo
• Importance sampling
• Degeneracy of importance weights
• Stochastic kinetic models

This paper addresses the Monte Carlo approximation of posterior probability distributions. In particular, we consider the population Monte Carlo (PMC) technique, which is based on an iterative importance sampling (IS) approach. An important drawback of this methodology is the degeneracy of the importance weights (IWs) when the dimension of either the observations or the variables of interest is high. To alleviate this difficulty, we propose a new method that performs a nonlinear transformation of the IWs. This operation reduces the weight variation, hence it avoids degeneracy and increases the efficiency of the IS scheme, specially when drawing from proposal functions which are poorly adapted to the true posterior. For the sake of illustration, we have applied the proposed algorithm to the estimation of the parameters of a Gaussian mixture model. This is a simple problem that enables us to discuss the main features of the proposed technique. As a practical application, we have also considered the challenging problem of estimating the rate parameters of a stochastic kinetic model (SKM). SKMs are multivariate systems that model molecular interactions in biological and chemical problems. We introduce a particularization of the proposed algorithm to SKMs and present numerical results.

• 出版日期2015-3