A1502
Title: Manifold Markov chain Monte Carlo methods for Bayesian inference in diffusion models
Authors: Alexandros Beskos - University College London (United Kingdom) [presenting]
Alexandre Thiery - National University of Singapore (Singapore)
Matt Graham - Newcastle University (United Kingdom)
Abstract: Bayesian inference for nonlinear diffusions, observed at discrete times, is a challenging task that has prompted the development of a number of algorithms, mainly within the computational statistics community. We propose a new direction, and accompanying methodology - borrowing ideas from statistical physics and computational chemistry - for inferring the posterior distribution of latent diffusion paths and model parameters, given observations of the process. Joint configurations of the underlying process noise and of parameters, mapping onto diffusion paths consistent with observations, form an implicitly defined manifold. Then, by making use of a constrained Hamiltonian Monte Carlo algorithm on the embedded manifold, we are able to perform computationally efficient inference for a class of discretely observed diffusion models. Critically, in contrast with other approaches proposed in the literature, our methodology is highly automated, requiring minimal user intervention and applicable across a range of settings, including elliptic or hypo-elliptic systems; observations with or without noise; and linear or non-linear observation operators. Exploiting Markovianity, we propose a variant of the method with complexity that scales linearly in the resolution of path discretisation and the number of observation times.
