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Improved MCMC Method for Parameter Estimation Based on Marginal Probability Density Function

[+] Author Affiliations
Dawn An, Joo-Ho Choi

Korea Aerospace University, Goyang, Gyeonggi, South Korea

Paper No. DETC2011-48784, pp. 1307-1316; 10 pages
doi:10.1115/DETC2011-48784
From:
  • ASME 2011 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference
  • Volume 2: 31st Computers and Information in Engineering Conference, Parts A and B
  • Washington, DC, USA, August 28–31, 2011
  • Conference Sponsors: Design Engineering Division and Computers and Information in Engineering Division
  • ISBN: 978-0-7918-5479-2
  • Copyright © 2011 by ASME

abstract

In many engineering problems, sampling is often used to estimate and quantify the probability distribution of uncertain parameters during the course of Bayesian framework, which is to draw proper samples that follow the probabilistic feature of the parameters. Among numerous approaches, Markov Chain Monte Carlo (MCMC) has gained the most popularity due to its efficiency and wide applicability. The MCMC, however, does not work well in the case of increased parameters and/or high correlations due to the difficulty of finding proper proposal distribution. In this paper, a method employing marginal probability density function (PDF) as a proposal distribution is proposed to overcome these problems. Several engineering problems which are formulated by Bayesian approach are addressed to demonstrate the effectiveness of proposed method.

Copyright © 2011 by ASME

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