## an extension of nested sampling

Posted in Books, Statistics, University life with tags , , , , , , , on December 16, 2014 by xi'an

I was reading [in the Paris métro] Hastings-Metropolis algorithm on Markov chains for small-probability estimation, arXived a few weeks ago by François Bachoc, Lionel Lenôtre, and Achref Bachouch, when I came upon their first algorithm that reminded me much of nested sampling: the following was proposed by Guyader et al. in 2011,

To approximate a tail probability P(H(X)>h),

• start from an iid sample of size N from the reference distribution;
• at each iteration m, select the point x with the smallest H(x)=ξ and replace it with a new point y simulated under the constraint H(y)≥ξ;
• stop when all points in the sample are such that H(X)>h;
• take

$\left(1-\dfrac{1}{N}\right)^{m-1}$

as the unbiased estimator of P(H(X)>h).

Hence, except for the stopping rule, this is the same implementation as nested sampling. Furthermore, Guyader et al. (2011) also take advantage of the bested sampling fact that, if direct simulation under the constraint H(y)≥ξ is infeasible, simulating via one single step of a Metropolis-Hastings algorithm is as valid as direct simulation. (I could not access the paper, but the reference list of Guyader et al. (2011) includes both original papers by John Skilling, so the connection must be made in the paper.) What I find most interesting in this algorithm is that it even achieves unbiasedness (even in the MCMC case!).

## another instance of ABC?

Posted in Statistics with tags , , , , , on December 2, 2014 by xi'an

“These characteristics are (1) likelihood is not available; (2) prior information is available; (3) a portion of the prior information is expressed in terms of functionals of the model that cannot be converted into an analytic prior on model parameters; (4) the model can be simulated. Our approach depends on an assumption that (5) an adequate statistical model for the data are available.”

A 2009 JASA paper by Ron Gallant and Rob McCulloch, entitled “On the Determination of General Scientific Models With Application to Asset Pricing”, may have or may not have connection with ABC, to wit the above quote, but I have trouble checking whether or not this is the case.

The true (scientific) model parametrised by θ is replaced with a (statistical) substitute that is available in closed form. And parametrised by g(θ). [If you can get access to the paper, I’d welcome opinions about Assumption 1 therein which states that the intractable density is equal to a closed-form density.] And the latter is over-parametrised when compared with the scientific model. As in, e.g., a N(θ,θ²) scientific model versus a N(μ,σ²) statistical model. In addition, the prior information is only available on θ. However, this does not seem to matter that much since (a) the Bayesian analysis is operated on θ only and (b) the Metropolis approach adopted by the authors involves simulating a massive number of pseudo-observations, given the current value of the parameter θ and the scientific model, so that the transform g(θ) can be estimated by maximum likelihood over the statistical model. The paper suggests using a secondary Markov chain algorithm to find this MLE. Which is claimed to be a simulated annealing resolution (p.121) although I do not see the temperature decreasing. The pseudo-model is then used in a primary MCMC step.

Hence, not truly an ABC algorithm. In the same setting, ABC would use a simulated dataset the same size as the observed dataset, compute the MLEs for both and compare them. Faster if less accurate when Assumption 1 [that the statistical model holds for a restricted parametrisation] does not stand.

Another interesting aspect of the paper is about creating and using a prior distribution around the manifold η=g(θ). This clearly relates to my earlier query about simulating on measure zero sets. The paper does not bring a definitive answer, as it never simulates exactly on the manifold, but this constitutes another entry on this challenging problem…

## efficient exploration of multi-modal posterior distributions

Posted in Books, Statistics, University life with tags , , , , on September 1, 2014 by xi'an

The title of this recent arXival had potential appeal, however the proposal ends up being rather straightforward and hence  anti-climactic! The paper by Hu, Hendry and Heng proposes to run a mixture of proposals centred at the various modes of  the target for an efficient exploration. This is a correct MCMC algorithm, granted!, but the requirement to know beforehand all the modes to be explored is self-defeating, since the major issue with MCMC is about modes that are  omitted from the exploration and remain undetected throughout the simulation… As provided, this is a standard MCMC algorithm with no adaptive feature and I would rather suggest our population Monte Carlo version, given the available information. Another connection with population Monte Carlo is that I think the performances would improve by Rao-Blackwellising the acceptance rate, i.e. removing the conditioning on the (ancillary) component of the index. For PMC we proved that using the mixture proposal in the ratio led to an ideally minimal variance estimate and I do not see why randomising the acceptance ratio in the current case would bring any improvement.

## understanding the Hastings algorithm

Posted in Books, Statistics with tags , , , , , on August 26, 2014 by xi'an

David Minh and Paul Minh [who wrote a 2001 Applied Probability Models] have recently arXived a paper on “understanding the Hastings algorithm”. They revert to the form of the acceptance probability suggested by Hastings (1970):

$\rho(x,y) = s(x,y) \left(1+\dfrac{\pi(x) q(y|x)}{\pi(y) q(x|y)}\right)^{-1}$

where s(x,y) is a symmetric function keeping the above between 0 and 1, and q is the proposal. This obviously includes the standard Metropolis-Hastings form of the ratio, as well as Barker’s (1965):

$\rho(x,y) = \left(1+\dfrac{\pi(x) q(y|x)}{\pi(y) q(x|y)}\right)^{-1}$

which is known to be less efficient by accepting less often (see, e.g., Antonietta Mira’s PhD thesis). The authors also consider the alternative

$\rho(x,y) = \min(\pi(y)/ q(y|x),1)\,\min(q(x|y)/\pi(x),1)$

which I had not seen earlier. It is a rather intriguing quantity in that it can be interpreted as (a) a simulation of y from the cutoff target corrected by reweighing the previous x into a simulation from q(x|y); (b) a sequence of two acceptance-rejection steps, each concerned with a correspondence between target and proposal for x or y. There is an obvious caveat in this representation when the target is unnormalised since the ratio may then be arbitrarily small… Yet another alternative could be proposed in this framework, namely the delayed acceptance probability of our paper with Marco and Clara, one special case being

$\rho(x,y) = \min(\pi_1(y)q(x|y)/\pi_1(x) q(y|x),1)\,\min(\pi_2(y)/\pi_1(x),1)$

where

$\pi(x)\propto\pi_1(x)\pi_2(x)$

is an arbitrary decomposition of the target. An interesting remark in the paper is that any Hastings representation can alternatively be written as

$\rho(x,y) = \min(\pi(y)/k(x,y)q(y|x),1)\,\min(k(x,y)q(x|y)/\pi(x),1)$

where k(x,y) is a (positive) symmetric function. Hence every single Metropolis-Hastings is also a delayed acceptance in the sense that it can be interpreted as a two-stage decision.

The second part of the paper considers an extension of the accept-reject algorithm where a value y proposed from a density q(y) is accepted with probability

$\min(\pi(y)/ Mq(y),1)$

and else the current x is repeated, where M is an arbitrary constant (incl. of course the case where it is a proper constant for the original accept-reject algorithm). Curiouser and curiouser, as Alice would say! While I think I have read some similar proposal in the past, I am a wee intrigued at the appear of using only the proposed quantity y to decide about acceptance, since it does not provide the benefit of avoiding generations that are rejected. In this sense, it appears as the opposite of our vanilla Rao-Blackwellisation. (The paper however considers the symmetric version called the independent Markovian minorizing algorithm that only depends on the current x.) In the extension to proposals that depend on the current value x, the authors establish that this Markovian AR is in fine equivalent to the generic Hastings algorithm, hence providing an interpretation of the “mysterious” s(x,y) through a local maximising “constant” M(x,y). A possibly missing section in the paper is the comparison of the alternatives, albeit the authors mention Peskun’s (1973) result that exhibits the Metropolis-Hastings form as the optimum.

Posted in Mountains, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , , , , , , , on April 21, 2014 by xi'an

As I was flying over Skye (with [maybe] a first if hazy perspective on the Cuillin ridge!) to Iceland, three long sets of replies to some of my posts appeared on the ‘Og:

Thanks to them for taking the time to answer my musings…

Posted in pictures, Statistics, Travel with tags , , , , , , , , , , , on April 15, 2014 by xi'an

“At equilibrium, we thus should not expect gains of several orders of magnitude.”

As was signaled to me several times during the MCqMC conference in Leuven, Rémi Bardenet, Arnaud Doucet and Chris Holmes (all from Oxford) just wrote a short paper for the proceedings of ICML on a way to speed up Metropolis-Hastings by reducing the number of terms one computes in the likelihood ratio involved in the acceptance probability, i.e.

$\prod_{i=1}^n\frac{L(\theta^\prime|x_i)}{L(\theta|x_i)}.$

The observations appearing in this likelihood ratio are a random subsample from the original sample. Even though this leads to an unbiased estimator of the true log-likelihood sum, this approach is not justified on a pseudo-marginal basis à la Andrieu-Roberts (2009). (Writing this in the train back to Paris, I am not convinced this approach is in fact applicable to this proposal as the likelihood itself is not estimated in an unbiased manner…)

In the paper, the quality of the approximation is evaluated by Hoeffding’s like inequalities, which serves as the basis for a stopping rule on the number of terms eventually evaluated in the random subsample. In fine, the method uses a sequential procedure to determine if enough terms are used to take the decision and the probability to take the same decision as with the whole sample is bounded from below. The sequential nature of the algorithm requires to either recompute the vector of likelihood terms for the previous value of the parameter or to store all of them for deriving the partial ratios. While the authors adress the issue of self-evaluating whether or not this complication is worth the effort, I wonder (from my train seat) why they focus so much on recovering the same decision as with the complete likelihood ratio and the same uniform. It would suffice to get the same distribution for the decision (an alternative that is easier to propose than to create of course). I also (idly) wonder if a Gibbs version would be manageable, i.e. by changing only some terms in the likelihood ratio at each iteration, in which case the method could be exact… (I found the above quote quite relevant as, in an alternative technique we are constructing with Marco Banterle, the speedup is particularly visible in the warmup stage.) Hence another direction in this recent flow of papers attempting to speed up MCMC methods against the incoming tsunami of “Big Data” problems.

## running MCMC for too long, and even longer…

Posted in Books, pictures, Running, Statistics, University life with tags , , , , , , , , , , , on October 23, 2013 by xi'an

Following my earlier post about the young astronomer who feared he was running his MCMC for too long, here is an update from his visit to my office this morning.  This visit proved quite an instructive visit for both of us. (Disclaimer: the picture of an observatory seen from across Brunel’s suspension bridge in Bristol is as earlier completely unrelated with the young astronomer!)

First, the reason why he thought MCMC was running too long was that the acceptance rate was plummeting down to zero, whatever the random walk scale. The reason for this behaviour is that he was actually running a standard simulated annealing algorithm, hence observing the stabilisation of the Markov chain in one of the (global) modes of the target function. In that sense, he was right that the MCMC was run for “too long”, as there was nothing to expect once the mode had been reached and the temperature turned down to zero. So the algorithm was working correctly.

Second, the astronomy problem he considers had a rather complex likelihood, for which he substituted a distance between the (discretised) observed data and (discretised) simulated data, simulated conditional on the current parameter value. Now…does this ring a bell? If not, here is a three letter clue: ABC… Indeed, the trick he had found to get around this likelihood calculation issue was to re-invent a version of ABC-MCMC! Except that the distance was re-introduced into a regular MCMC scheme as a substitute to the log-likelihood. And compared with the distance at the previous MCMC iteration. This is quite clever, even though this substitution suffers from a normalisation issue (that I already mentioned in the post about Holmes’ and Walker’s idea to turn loss functions into pseudo likelihoods. Regular ABC does not encounter this difficult, obviously. I am still bemused by this reinvention of ABC from scratch!

So we are now at a stage where my young friend will experiment with (hopefully) correct ABC steps, trying to derive the tolerance value from warmup simulations and use some of the accelerating tricks suggested by Umberto Picchini and Julie Forman to avoid simulating the characteristics of millions of stars for nothing. And we agreed to meet soon for an update. Indeed, a fairly profitable morning for both of us!