Parallel Local Approximation MCMC for Expensive Models

Performing Bayesian inference via Markov chain Monte Carlo (MCMC) can be exceedingly expensive when posterior evaluations invoke the evaluation of a computationally expensive model, such as a system of PDEs. In recent work [ J. Amer. Statist. Assoc., 111 (2016), pp. 1591--1607] we described a framework for constructing and refining local approximations of such models during an MCMC simulation. The…