PolyStan wraps PolyChord nested sampling for Stan models, enabling evidence computation and multimodal posterior sampling through a cmdstan-style interface.
Nested sampling with plateaus
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abstract
It was recently emphasised by Riley (2019); Schittenhelm & Wacker (2020) that that in the presence of plateaus in the likelihood function nested sampling (NS) produces faulty estimates of the evidence and posterior densities. After informally explaining the cause of the problem, we present a modified version of NS that handles plateaus and can be applied retrospectively to NS runs from popular NS software using anesthetic. In the modified NS, live points in a plateau are evicted one by one without replacement, with ordinary NS compression of the prior volume after each eviction but taking into account the dynamic number of live points. The live points are replenished once all points in the plateau are removed. We demonstrate it on a number of examples. Since the modification is simple, we propose that it becomes the canonical version of Skilling's NS algorithm.
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PolyStan: PolyChord nested sampling and Bayesian evidences for Stan models
PolyStan wraps PolyChord nested sampling for Stan models, enabling evidence computation and multimodal posterior sampling through a cmdstan-style interface.