A comparison of two Bayesian approaches for uncertainty quantification

Statistical calibration of model parameters conditioned on observations is performed in a Bayesian framework by evaluating the joint posterior probability density function (pdf) of the parameters. The posterior pdf is very often inferred by sampling the parameters with Markov Chain Monte Carlo (MCMC...

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Vydáno v:Environmental modelling & software : with environment data news Ročník 82; s. 21 - 30
Hlavní autoři: Mara, Thierry A., Delay, Frederick, Lehmann, François, Younes, Anis
Médium: Journal Article
Jazyk:angličtina
Vydáno: Elsevier Ltd 01.08.2016
Elsevier
Témata:
algorithms
Applications
Bayesian analysis
Bayesian parameter estimation
Bayesian theory
computer software
DREAM(ZS)
environmental models
Markov chain
Mathematical models
MCMC
MCPD sampler
Parameter uncertainty
Predictive uncertainty
Probability density functions
probability distribution
Samplers
Samples
Soil hydraulic parameter identification
soil hydraulic properties
Statistical analysis
Statistical methods
Statistics
Uncertainty
Parameter uncertainty
MCPD sampler
MCMC
Bayesian parameter estimation
Predictive uncertainty
DREAM(ZS)
Soil hydraulic parameter identification
soil hydraulic parameter identification
predictive uncertainty
parameter uncertainty
DREAM_(ZS) MCMC
ISSN:1364-8152
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Shrnutí:Statistical calibration of model parameters conditioned on observations is performed in a Bayesian framework by evaluating the joint posterior probability density function (pdf) of the parameters. The posterior pdf is very often inferred by sampling the parameters with Markov Chain Monte Carlo (MCMC) algorithms. Recently, an alternative technique to calculate the so-called Maximal Conditional Posterior Distribution (MCPD) appeared. This technique infers the individual probability distribution of a given parameter under the condition that the other parameters of the model are optimal. Whereas the MCMC approach samples probable draws of the parameters, the MCPD samples the most probable draws when one of the parameters is set at various prescribed values. In this study, the results of a user-friendly MCMC sampler called DREAM(ZS) and those of the MCPD sampler are compared. The differences between the two approaches are highlighted before running a comparison inferring two analytical distributions with collinearity and multimodality. Then, the performances of both samplers are compared on an artificial multistep outflow experiment from which the soil hydraulic parameters are inferred. The results show that parameter and predictive uncertainties can be accurately assessed with both the MCMC and MCPD approaches.
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ISSN:1364-8152
DOI:10.1016/j.envsoft.2016.04.010