Local Derivative-Free Approximation of Computationally Expensive Posterior Densities.

Bayesian inference using Markov chain Monte Carlo (MCMC) is computationally prohibitive when the posterior density of interest, , is computationally expensive to evaluate. We develop a derivative-free algorithm GRIMA to accurately approximate by interpolation over its high-probability density (HPD) region, which is initially unknown. Our local approach reduces the waste of computational budget on approximation of in the low-probability region, which is inherent in global experimental designs. However, estimation of the HPD region is nontrivial when derivatives of are not available or are not informative about the shape of the HPD region. Without relying on derivatives, GRIMA iterates (a) sequential knot selection over the estimated HPD region of to refine the surrogate posterior and (b) re-estimation of the HPD region using an MCMC sample from the updated surrogate density, which is inexpensive to obtain. GRIMA is applicable to approximation of general unnormalized posterior densities. To determine the range of tractable problem dimensions, we conduct simulation experiments on test densities with linear and nonlinear component-wise dependence, skewness, kurtosis and multimodality. Subsequently, we use GRIMA in a case study to calibrate a computationally intensive nonlinear regression model to real data from the Town Brook watershed. Supplemental materials for this article are available online.