A Note on Nonnegative DoIt Approximation

Abstract

Recently, a new deterministic approximation method, known as design of experiments-based interpolation technique (DoIt), was proposed for Bayesian computation. A major weakness of this method is that the approximated posterior density can become negative. In this technical note, a modification to the approximation is proposed that guarantees nonnegativity of the approximated density. Surprisingly, the new approximation is much simpler and faster to compute than the original DoIt approximation. This article has supplementary materials online.

Keywords:

• Bayesian computation
• Experimental design
• Interpolation

ACKNOWLEDGMENT

This research was supported by U.S. National Science Foundation grant CMMI-1030125.