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Conference papers

Efficient Metropolis-Hastings sampling for nonlinear mixed effects models

Belhal Karimi 1 Marc Lavielle 1, 2 
1 XPOP - Modélisation en pharmacologie de population
CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique, Inria Saclay - Ile de France
Abstract : The ability to generate samples of the random effects from their conditional distributions is fundamental for inference in mixed effects models. Random walk Metropolis is widely used to conduct such sampling, but such a method can converge slowly for high dimension problems, or when the joint structure of the distributions to sample is complex. We propose a Metropolis-Hastings (MH) algorithm based on a multidimensional Gaussian proposal that takes into account the joint conditional distribution of the random effects and does not require any tuning, in contrast with more sophisticated samplers such as the Metropolis Adjusted Langevin Algorithm or the No-U-Turn Sampler that involve costly tuning runs or intensive computation. Indeed, this distribution is automatically obtained thanks to a Laplace approximation of the original model. We show that such approximation is equivalent to linearizing the model in the case of continuous data. Numerical experiments based on real data highlight the very good performances of the proposed method for continuous data models.
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  • HAL Id : hal-01958247, version 2

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Belhal Karimi, Marc Lavielle. Efficient Metropolis-Hastings sampling for nonlinear mixed effects models. BAYSM 2018 - Bayesian Young Statisticians Meeting, Jul 2018, Warwick, United Kingdom. ⟨hal-01958247v2⟩

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