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Approximate Bayesian Computation by Subset Simulation for model selection in dynamical systems

Vakilzadeh, Majid K. and Beck, James L. and Abrahamsson, Thomas (2017) Approximate Bayesian Computation by Subset Simulation for model selection in dynamical systems. Procedia Engineering, 199 . pp. 1056-1061. ISSN 1877-7058. https://resolver.caltech.edu/CaltechAUTHORS:20180222-111127652

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Abstract

Approximate Bayesian Computation (ABC) methods are originally conceived to expand the horizon of Bayesian inference methods to the range of models for which only forward simulation is available. However, there are well-known limitations of the ABC approach to the Bayesian model selection problem, mainly due to lack of a sufficient summary statistics that work across models. In this paper, we show that formulating the standard ABC posterior distribution as the exact posterior PDF for a hierarchical state-space model class allows us to independently estimate the evidence for each alternative candidate model. We also show that the model evidence is a simple by-product of the ABC-SubSim algorithm. The validity of the proposed approach to ABC model selection is illustrated using simulated data from a three-story shear building with Masing hysteresis.


Item Type:Article
Related URLs:
URLURL TypeDescription
https://doi.org/10.1016/j.proeng.2017.09.291DOIArticle
https://www.sciencedirect.com/science/article/pii/S1877705817337724PublisherArticle
Additional Information:© 2017 The Authors. Published by Elsevier Ltd. Under a Creative Commons license Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0). Peer-review under responsibility of the organizing committee of EURODYN 2017. Available online 12 September 2017.
Subject Keywords:Approximate Bayesian Computation; Subset Simulation; Bayesian model selection; Masing hysteretic models
Record Number:CaltechAUTHORS:20180222-111127652
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20180222-111127652
Official Citation:Majid K. Vakilzadeh, James L. Beck, Thomas Abrahamsson, Approximate Bayesian Computation by Subset Simulation for model selection in dynamical systems, Procedia Engineering, Volume 199, 2017, Pages 1056-1061, ISSN 1877-7058, https://doi.org/10.1016/j.proeng.2017.09.291. (http://www.sciencedirect.com/science/article/pii/S1877705817337724)
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:84922
Collection:CaltechAUTHORS
Deposited By: Tony Diaz
Deposited On:22 Feb 2018 19:25
Last Modified:03 Oct 2019 19:24

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