Prior-predictive value from fast growth simulations

Details Prior-predictive value from fast growth simulations Prior-predictive value from fast growth simulations

2007-11-22

arxiv.org/abs/0711.3630v1

Physics

Data Analysis, Statistics and Probability

8 pages, 11 figures

Scientific paper

10.1140/epjb/e2008-00165-2

Building on a variant of the Jarzynski equation we propose a new method to numerically determine the prior-predictive value in a Bayesian inference problem. The method generalizes thermodynamic integration and is not hampered by equilibration problems. We demonstrate its operation by applying it to two simple examples and elucidate its performance. In the case of multi-modal posterior distributions the performance is superior to thermodynamic integration.

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