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This paper introduces the Bayesian Inference Engine (BIE), a generalparallel, optimised software package for parameter inference and modelselection. This package is motivated by the analysis needs of modernastronomical surveys and the need to organise and reuse expensive derived data.The BIE is the first platform for computational statistics designed explicitlyto enable Bayesian update and model comparison for astronomical problems.Bayesian update is based on the representation of high-dimensional posteriordistributions using metric-ball-tree based kernel density estimation. Among itsalgorithmic offerings, the BIE emphasises hybrid tempered MCMC schemes thatrobustly sample multimodal posterior distributions in high-dimensionalparameter spaces. Moreover, the BIE is implements a full persistence orserialisation system that stores the full byte-level image of the runninginference and previously characterised posterior distributions for later use.Two new algorithms to compute the marginal likelihood from the posteriordistribution, developed for and implemented in the BIE, enable model comparisonfor complex models and data sets. Finally, the BIE was designed to be acollaborative platform for applying Bayesian methodology to astronomy. Itincludes an extensible object-oriented and easily extended framework thatimplements every aspect of the Bayesian inference. By providing a variety ofstatistical algorithms for all phases of the inference problem, a scientist mayexplore a variety of approaches with a single model and data implementation.Additional technical details and download details are available fromhttp://www.astro.umass.edu/bie. The BIE is distributed under the GNU GPL.

Computational statistics using the Bayesian Inference Engine