The method of forced probabilities: a computation trick for Bayesian model evidence

Abstract

AbstractBayesian model selection objectively ranks competing models by computing Bayesian Model Evidence (BME) against test data. BME is the likelihood of data to occur under each model, averaged over uncertain parameters. Computing BME can be problematic: exact analytical solutions require strong assumptions; mathematical approximations (information criteria) are often strongly biased; assumption-free numerical methods (like Monte Carlo) are computationally impossible if the data set is large, for example like high-resolution snapshots from experimental movies. To use BME as ranking criterion in such cases, we develop the “Method of Forced Probabilities (MFP)”. MFP swaps the direction of evaluation: instead of comparing thousands of model runs on random model realizations with the observed movie snapshots, we force models to reproduce the data in each time step and record the individual probabilities of the model following these exact transitions. MFP is fast and accurate for models that fulfil the Markov property in time, paired with high-quality data sets that resolve all individual events. We demonstrate our approach on stochastic macro-invasion percolation models that simulate gas migration in porous media, and list additional examples of probable applications. The corresponding experimental movie was obtained from slow gas injection into water-saturated, homogeneous sand in a 25 x 25 x 1 cm acrylic glass tank. Despite the movie not always satisfying the high demands (resolving all individual events), we can apply MFP by suggesting a few workarounds. Results confirm that the proposed method can compute BME in previously unfeasible scenarios, facilitating a ranking among competing model versions for future model improvement.