Bayesian Analysis

Efficient MCMC for Climate Model Parameter Estimation: Parallel Adaptive Chains and Early Rejection

Antti Solonen, Pirkka Ollinaho, Marko Laine, Heikki Haario, Johanna Tamminen, and Heikki Järvinen

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The emergence of Markov chain Monte Carlo (MCMC) methods has opened a way for Bayesian analysis of complex models. Running MCMC samplers typically requires thousands of model evaluations, which can exceed available computer resources when this evaluation is computationally intensive. We will discuss two generally applicable techniques to improve the efficiency of MCMC. First, we consider a parallel version of the adaptive MCMC algorithm of Haario et al. (2001), implementing the idea of inter-chain adaptation introduced by Craiu et al. (2009). Second, we present an early rejection (ER) approach, where model simulation is stopped as soon as one can conclude that the proposed parameter value will be rejected by the MCMC algorithm.

This work is motivated by practical needs in estimating parameters of climate and Earth system models. These computationally intensive models involve non-linear expressions of the geophysical and biogeochemical processes of the Earth system. Modeling of these processes, especially those operating in scales smaller than the model grid, involves a number of specified parameters, or ‘tunables’. MCMC methods are applicable for estimation of these parameters, but they are computationally very demanding. Efficient MCMC variants are thus needed to obtain reliable results in reasonable time. Here we evaluate the computational gains attainable through parallel adaptive MCMC and Early Rejection using both simple examples and a realistic climate model.

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Bayesian Anal., Volume 7, Number 3 (2012), 715-736.

First available in Project Euclid: 28 August 2012

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Adaptive MCMC Climate Models Parallel MCMC Early Rejection


Solonen, Antti; Ollinaho, Pirkka; Laine, Marko; Haario, Heikki; Tamminen, Johanna; Järvinen, Heikki. Efficient MCMC for Climate Model Parameter Estimation: Parallel Adaptive Chains and Early Rejection. Bayesian Anal. 7 (2012), no. 3, 715--736. doi:10.1214/12-BA724.

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