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Recent Advances in Approximate Bayesian Computation Methodology (Application in structural dynamics).

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posted on 21.02.2017 by Anis Abdessalem, Keith Worden, Nikolaos Dervilis, David Wagg
"Recent advances in approximate Bayesian computation methodology: application in structural dynamics." Presentation given at the ENL Workshop, 9-10 January 2017, Bristol, United Kingdom.

In this work, a new variant of the approximate Bayesian computation (ABC) algorithms is presented based on the concept of the nested sampling (NS) algorithm proposed by Skilling [Ref.1] and an ellipsoidal sampling technique shown in Mukherjee et al. [Ref.2]. The ABC algorithms have been widely used for parameter estimation and model selection in different fields mainly when the likelihood function is intractable or cannot be approached in a closed form. However, those algorithms suffer from the high rejection rates during the sampling process. To overcome this problem, the authors propose a new variant of ABC algorithms called ABC-NS. The efficiency of the proposed algorithm will be compared with the ABC based on sequential Monte Carlo (ABC-SMC) sampler. The obtained results show how the ABC-NS outperforms the ABC-SMC in terms of computational efficiency while achieving the same or better results. Several examples have been proposed to illustrate the efficiency of the ABC-NS compared with the ABC-SMC for parameter estimation and model selection issues.

Ref.1: J. Skilling (2006) Nested sampling for general Bayesian computation. Bayesian Analysis, 1(4):833-860 [http://dx.doi.org/10.1214/06-BA127]
Ref.2: P. Mukherjee, D. Parkinson and A.R. Liddle (2006) A Nested Sampling Algorithm for Cosmological Model Selection. Astrophysical Journal Letters, 638 (2). L51-L54 [http://dx.doi.org/10.1086/501068]