Efficient model choice and parameter estimation by using Nested Sampling applied in Eddy-Current Testing
Résumé
In many applications, such as Eddy-Current Testing (ECT), we are often interested in the joint model choice and parameter estimation. Nested Sampling (NS) is one of the possible methods. The key step that reflects the efficiency of the NS algorithm is how to get samples with hard constraint on the likelihood value. This contribution is based on the classical idea where the new sample is drawn within a hyper-ellipsoid, the latter being located from Gaussian approximation. This sampling strategy can automatically guarantee the hard constraint on the likelihood. Meanwhile, it shows the best sampling efficiency for models which have Gaussian-like likelihood distributions. We apply this method in ECT. The simulation results show that this method has high model choice ability and good parameter estimation accuracy, and low computational cost meanwhile.
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