Reconstructing probability distributions with Gaussian processes. Issue 3 (2nd September 2019)

• Record Type: Journal Article
• Authors: McClintock, Thomas; Rozo, Eduardo
• Is Part Of: Monthly notices of the Royal Astronomical Society. Volume 489:Issue 3(2019)
• Page Start: 4155
• Page End: 4160
• Publication Date: 2019-09-02
• Subjects: methods: data analysis; Astronomy -- Periodicals; Periodicals; 520.5
• DOI: 10.1093/mnras/stz2426
• Languages: English
• ISSNs: 0035-8711

Abstract

ABSTRACT: Modern cosmological analyses constrain physical parameters using Markov Chain Monte Carlo (MCMC) or similar sampling techniques. Oftentimes, these techniques are computationally expensive to run and require up to thousands of CPU hours to complete. Here we present a method for reconstructing the log-probability distributions of completed experiments from an existing chain (or any set of posterior samples). The reconstruction is performed using Gaussian process regression for interpolating the log-probability. This allows for easy resampling, importance sampling, marginalization, testing different samplers, investigating chain convergence, and other operations. As an example use case, we reconstruct the posterior distribution of the most recent Planck 2018 analysis. We then resample the posterior, and generate a new chain with 40 times as many points in only 30 min. Our likelihood reconstruction tool is made publicly available online.