Archive for Bernouilli factory

¼th i-like workshop in St. Anne’s College, Oxford

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , on March 27, 2014 by xi'an

IMG_0153Due to my previous travelling to and from Nottingham for the seminar and back home early enough to avoid the dreary evening trains from Roissy airport (no luck there, even at 8pm, the RER train was not operating efficiently!, and no fast lane is planed prior to 2023…), I did not see many talks at the i-like workshop. About ¼th, roughly… I even missed the poster session (and the most attractive title of Lazy ABC by Dennis Prangle) thanks to another dreary train ride from Derby to Oxford.

IMG_0150As it happened I had already heard or read parts of the talks in the Friday morning session, but this made understanding them better. As in Banff, Paul Fearnhead‘s talk on reparameterisations for pMCMC on hidden Markov models opened a wide door to possible experiments on those algorithms. The examples in the talk were mostly of the parameter duplication type, somewhat creating unidentifiability to decrease correlation, but I also wondered at the possibility of introducing frequent replicas of the hidden chain in order to fight degeneracy. Then Sumeet Singh gave a talk on the convergence properties of noisy ABC for approximate MLE. Although I had read some of the papers behind the talk, it made me realise how keeping balls around each observation in the ABC acceptance step was not leading to extinction as the number of observations increased. (Summet also had a good line with his ABCDE algorithm, standing for ABC done exactly!) Anthony Lee covered his joint work with Krys Łatuszyński on the ergodicity conditions on the ABC-MCMC algorithm, the only positive case being the 1-hit algorithm as discussed in an earlier post. This result will hopefully get more publicity, as I frequently read that increasing the number of pseudo-samples has no clear impact on the ABC approximation. Krys Łatuszyński concluded the morning with an aggregate of the various results he and his co-authors had obtained on the fascinating Bernoulli factory. Including constructive derivations.

After a few discussions on and around research topics, it was too soon time to take advantage of the grand finale of a March shower to walk from St. Anne’s College to Oxford Station, in order to start the trip back home. I was lucky enough to find a seat and could start experimenting in R the new idea my trip to Nottingham had raised! While discussing a wee bit with my neighbour, a delightful old lady from the New Forest travelling to Coventry, recovering from a brain seizure, wondering about my LaTeX code syntax despite the tiny fonts, and who most suddenly popped a small screen from her bag to start playing Candy Crush!, apologizing all the same. The overall trip was just long enough for my R code to validate this idea of mine, making this week in England quite a profitable one!!! IMG_0145

The Bernoulli factory

Posted in R, Statistics with tags , , , , , , , on April 23, 2010 by xi'an

A few months ago, Latuszyński, Kosmidis, Papaspiliopoulos and Roberts arXived a paper I should have noticed earlier as its topic is very much related to our paper with Randal Douc on the vanilla Rao-Blackwellisation scheme. It is motivated by the Bernoulli factory problem, which aims at (unbiasedly) estimating f(p) from an iid sequence of Bernoulli B(p). (The paper only considers functions f valued in [0,1]. In our case, the function is f(p)=1/p.) It appears that this problem has been studied for quite a while, in particular by Yuval Peres. Being in a train to Marseille (thanks to Eyjafjallajökull!), I do not have access to those earlier papers of Peres’, but Latuszyński et al. mentions that there are conditions on f such that it is sufficient to generate a Bernoulli event with probability

f_0(p) = \min (2p, 1-2\epsilon)

where \varepsilon>0 is arbitrary. In particular, constructing an unbiased estimator of

f_0(p) = \min ( 2p, 1 )

does not seem to be achievable (Nacu and Peres, 2005). (The way it is rephrased in Latuszyński et al. does not seem correct, though, as they state that f(p)=2p cannot be estimated in an unbiased manner, missing the constraint that the estimator must belong to [0,1], I think.)

The paper by Latuszyński et al. develops an original scheme to achieve simulation from B(f(p)) through the simulation of two bounding sequences that are respectively super- and submartingales and that both converge to f(p). (But their simulation scheme does not have to wait for the two sequences to coalesce.) This idea presumably (?) stemmed from the experience of the authors, in particular Gareth Roberts, in perfect sampling, since the most advanced perfect samplers made intensive use of this sandwiching idea of Kendall and Møller (2000, Advances in Applied Probability). The whole thing is also related to the famous Series B paper of Beskos et al. (2006). The method of Latuszyński et al. then builds the upper and lower processes via a truncated series decomposion of f(p), whose availability induces constraints on f.

The first application illustrated in Latuszyński et al. is the unbiased estimation of a transform f(p) that has a known series expansion

f(p) = \sum_{i=1}^\infty (1-)^k a_k p^k

with

1\le a_1\le a_2 \le \cdots

In that case, we could use the scheme of our paper with Randal, estimating p^k by

\hat p^k = X_1\ldots X_k.

The probability of using at least n simulations is then p^n, while the scheme of Latuszyński et al. leads to a probability of  a_n p^n. (Note however that the direct approach above allows to handle any series decomposition, alternating or not, with no constraint on the a_i‘s.)

What I find exciting about this Bernoulli factory problem is that the well-known issue of the absence of unbiased estimators for most transforms of a parameter p (Lehmann and Casella, 1998) vanishes when an unlimited number of iid simulations with mean p is available. Here are the slides of the talk given by Omiros last week at the Big’ MC seminar:

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