Comprehensive benchmarking of Markov chain Monte Carlo methods for dynamical systems.

BACKGROUND

In quantitative biology, mathematical models are used to describe and analyze biological processes. The parameters of these models are usually unknown and need to be estimated from experimental data using statistical methods. In particular, Markov chain Monte Carlo (MCMC) methods have become increasingly popular as they allow for a rigorous analysis of parameter and prediction uncertainties without the need for assuming parameter identifiability or removing non-identifiable parameters. A broad spectrum of MCMC algorithms have been proposed, including single- and multi-chain approaches. However, selecting and tuning sampling algorithms suited for a given problem remains challenging and a comprehensive comparison of different methods is so far not available.

RESULTS

We present the results of a thorough benchmarking of state-of-the-art single- and multi-chain sampling methods, including Adaptive Metropolis, Delayed Rejection Adaptive Metropolis, Metropolis adjusted Langevin algorithm, Parallel Tempering and Parallel Hierarchical Sampling. Different initialization and adaptation schemes are considered. To ensure a comprehensive and fair comparison, we consider problems with a range of features such as bifurcations, periodical orbits, multistability of steady-state solutions and chaotic regimes. These problem properties give rise to various posterior distributions including uni- and multi-modal distributions and non-normally distributed mode tails. For an objective comparison, we developed a pipeline for the semi-automatic comparison of sampling results.

CONCLUSION

The comparison of MCMC algorithms, initialization and adaptation schemes revealed that overall multi-chain algorithms perform better than single-chain algorithms. In some cases this performance can be further increased by using a preceding multi-start local optimization scheme. These results can inform the selection of sampling methods and the benchmark collection can serve for the evaluation of new algorithms. Furthermore, our results confirm the need to address exploration quality of MCMC chains before applying the commonly used quality measure of effective sample size to prevent false analysis conclusions.