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MCMC for Bayesian uncertainty quantification from time-series data

Maybank, P. ORCID:, Peltzer, P., Naumann, U. and Bojak, I. ORCID: (2020) MCMC for Bayesian uncertainty quantification from time-series data. In: International Conference on Computational Science 2020, 3-5 Jun 2020, Amsterdam, Netherlands, pp. 707-718,

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To link to this item DOI: 10.1007/978-3-030-50436-6_52


In computational neuroscience, Neural Population Models (NPMs) are mechanistic models that describe brain physiology in a range of different states. Within computational neuroscience there is growing interest in the inverse problem of inferring NPM parameters from recordings such as the EEG (Electroencephalogram). Uncertainty quantification is essential in this application area in order to infer the mechanistic effect of interventions such as anaesthesia. This paper presents Open image in new window software for Bayesian uncertainty quantification in the parameters of NPMs from approximately stationary data using Markov Chain Monte Carlo (MCMC). Modern MCMC methods require first order (and in some cases higher order) derivatives of the posterior density. The software presented offers two distinct methods of evaluating derivatives: finite differences and exact derivatives obtained through Algorithmic Differentiation (AD). For AD, two different implementations are used: the open source Stan Math Library and the commercially licenced Open image in new window tool distributed by NAG (Numerical Algorithms Group). The use of derivative information in MCMC sampling is demonstrated through a simple example, the noise-driven harmonic oscillator. And different methods for computing derivatives are compared. The software is written in a modular object-oriented way such that it can be extended to derivative based MCMC for other scientific domains.

Item Type:Conference or Workshop Item (Paper)
Divisions:Life Sciences > School of Psychology and Clinical Language Sciences > Department of Psychology
ID Code:92142


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