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Title: Gradient-free MCMC methods for dynamic causal modelling

Abstract

Here, we compare the performance of four gradient-free MCMC samplers (random walk Metropolis sampling, slice-sampling, adaptive MCMC sampling and population-based MCMC sampling with tempering) in terms of the number of independent samples they can produce per unit computational time. For the Bayesian inversion of a single-node neural mass model, both adaptive and population-based samplers are more efficient compared with random walk Metropolis sampler or slice-sampling; yet adaptive MCMC sampling is more promising in terms of compute time. Slice-sampling yields the highest number of independent samples from the target density -- albeit at almost 1000% increase in computational time, in comparison to the most efficient algorithm (i.e., the adaptive MCMC sampler).

Authors:
 [1];  [1];  [1]
  1. Univ. College London, London (United Kingdom)
Publication Date:
Research Org.:
Univ. College London (United Kingdom)
Sponsoring Org.:
USDOE Office of Science (SC)
OSTI Identifier:
1241923
Alternate Identifier(s):
OSTI ID: 1344386
Grant/Contract Number:  
AC05-00OR22725
Resource Type:
Journal Article: Published Article
Journal Name:
NeuroImage
Additional Journal Information:
Journal Volume: 112; Journal ID: ISSN 1053-8119
Publisher:
Elsevier
Country of Publication:
United States
Language:
English
Subject:
74 ATOMIC AND MOLECULAR PHYSICS

Citation Formats

Sengupta, Biswa, Friston, Karl J., and Penny, Will D.. Gradient-free MCMC methods for dynamic causal modelling. United States: N. p., 2015. Web. doi:10.1016/j.neuroimage.2015.03.008.
Sengupta, Biswa, Friston, Karl J., & Penny, Will D.. Gradient-free MCMC methods for dynamic causal modelling. United States. doi:10.1016/j.neuroimage.2015.03.008.
Sengupta, Biswa, Friston, Karl J., and Penny, Will D.. Sat . "Gradient-free MCMC methods for dynamic causal modelling". United States. doi:10.1016/j.neuroimage.2015.03.008.
@article{osti_1241923,
title = {Gradient-free MCMC methods for dynamic causal modelling},
author = {Sengupta, Biswa and Friston, Karl J. and Penny, Will D.},
abstractNote = {Here, we compare the performance of four gradient-free MCMC samplers (random walk Metropolis sampling, slice-sampling, adaptive MCMC sampling and population-based MCMC sampling with tempering) in terms of the number of independent samples they can produce per unit computational time. For the Bayesian inversion of a single-node neural mass model, both adaptive and population-based samplers are more efficient compared with random walk Metropolis sampler or slice-sampling; yet adaptive MCMC sampling is more promising in terms of compute time. Slice-sampling yields the highest number of independent samples from the target density -- albeit at almost 1000% increase in computational time, in comparison to the most efficient algorithm (i.e., the adaptive MCMC sampler).},
doi = {10.1016/j.neuroimage.2015.03.008},
journal = {NeuroImage},
number = ,
volume = 112,
place = {United States},
year = {Sat Mar 14 00:00:00 EDT 2015},
month = {Sat Mar 14 00:00:00 EDT 2015}
}

Journal Article:
Free Publicly Available Full Text
Publisher's Version of Record at 10.1016/j.neuroimage.2015.03.008

Citation Metrics:
Cited by: 9 works
Citation information provided by
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