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Transitional Markov Chain Monte Carlo Method for Bayesian Model Updating, Model Class Selection, and Model Averaging

Ching, Jianye, Chen, Yi-Chu·2007·Journal of Engineering Mechanics
DOI 10.1061/(asce)0733-9399(2007)133:7(816

Abstract

This paper presents a newly developed simulation-based approach for Bayesian model updating, model class selection, and model averaging called the transitional Markov chain Monte Carlo (TMCMC) approach. The idea behind TMCMC is to avoid the problem of sampling from difficult target probability density functions (PDFs) but sampling from a series of intermediate PDFs that converge to the target PDF and are easier to sample. The TMCMC approach is motivated by the adaptive Metropolis–Hastings method developed by Beck and Au in 2002 and is based on Markov chain Monte Carlo. It is shown that TMCMC is able to draw samples from some difficult PDFs (e.g., multimodal PDFs, very peaked PDFs, and PDFs with flat manifold). The TMCMC approach can also estimate evidence of the chosen probabilistic model class conditioning on the measured data, a key component for Bayesian model class selection and model averaging. Three examples are used to demonstrate the effectiveness of the TMCMC approach in Bayesian model updating, model class selection, and model averaging.

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Metadata

Authors
Ching, J., & Chen, Y.-C.
Venue
Journal of Engineering Mechanics
Published
2007-07
Volume
133
Issue
7
Pages
816-832
ISSN
  • 0733-9399 (ISSN-L)
  • 1943-7889
DOI
10.1061/(asce)0733-9399(2007)133:7(816
OpenAlex
W2087752560
Cited by
837
References
16
FWCI
3.90
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Transitional Markov Chain Monte Carlo Method for Bayesian Model Updating, Model Class Selection, and Model Averaging. https://app.cochat.ai/papers/10.1061/(asce)0733-9399(2007)133:7(816
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Ching, J., & Chen, Y.-C. (2007). Transitional Markov Chain Monte Carlo Method for Bayesian Model Updating, Model Class Selection, and Model Averaging. Journal of Engineering Mechanics. https://doi.org/10.1061/(asce)0733-9399(2007)133%3A7(816

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