Non-parametric Sampling Approximation via Voronoi Tessellations

In this article we propose a novel non-parametric sampling approach to estimate posterior distributions from parameters of interest. Starting from an initial sample over the parameter space, this method makes use of this initial information to form a geometrical structure known as Voronoi tessellation over the whole parameter space. This rough approximation to the posterior distribution provides a way to generate new points from the posterior distribution without any additional costly model evaluations. By using a traditional Markov Chain Monte Carlo (MCMC) over the non-parametric tessellation, the initial approximate distribution is refined sequentially. We applied this method to a couple of climate models to show that this hybrid scheme successfully approximates the posterior distribution of the model parameters.