Astronomy and Astrophysics – Astrophysics – Cosmology and Extragalactic Astrophysics
Scientific paper
2010-12-23
Astronomy and Astrophysics
Astrophysics
Cosmology and Extragalactic Astrophysics
v2 Trivial Latex change. Source code: http://easther.physics.yale.edu/interpmc.html
Scientific paper
We describe a novel approach to accelerating Monte Carlo Markov Chains. Our focus is cosmological parameter estimation, but the algorithm is applicable to any problem for which the likelihood surface is a smooth function of the free parameters and computationally expensive to evaluate. We generate a high-order interpolating polynomial for the log-likelihood using the first points gathered by the Markov chains as a training set. This polynomial then accurately computes the majority of the likelihoods needed in the latter parts of the chains. We implement a simple version of this algorithm as a patch (InterpMC) to CosmoMC and show that it accelerates parameter estimatation by a factor of between two and four for well-converged chains. The current code is primarily intended as a "proof of concept", and we argue that there is considerable room for further performance gains. Unlike other approaches to accelerating parameter fits, we make no use of precomputed training sets or special choices of variables, and InterpMC is almost entirely transparent to the user.
Bouland Adam
Easther Richard
Rosenfeld Katherine
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