testing MCMC code

Harvard2A title that caught my attention on arXiv: testing MCMC code by Roger Grosse and David Duvenaud. The paper is in fact a tutorial adapted from blog posts written by Grosse and Duvenaud, on the blog of the Harvard Intelligent Probabilistic Systems group. The purpose is to write code in such a modular way that (some) conditional probability computations can be tested. Using my favourite Gibbs sampler for the mixture model, they advocate computing the ratios

\dfrac{p(x'|z)}{p(x|z)}\quad\text{and}\quad \dfrac{p(x',z)}{p(x,z)}

to make sure they are exactly identical. (Where x denotes the part of the parameter being simulated and z anything else.) The paper also mentions an older paper by John Geweke—of which I was curiously unaware!—leading to another test: consider iterating the following two steps:

  1. update the parameter θ given the current data x by an MCMC step that preserves the posterior p(θ|x);
  2. update the data x given the current parameter value θ from the sampling distribution p(x|θ).

Since both steps preserve the joint distribution p(x,θ), values simulated from those steps should exhibit the same properties as a forward production of (x,θ), i.e., simulating from p(θ) and then from p(x|θ). So with enough simulations, comparison tests can be run. (Andrew has a very similar proposal at about the same time.) There are potential limitations to the first approach, obviously, from being unable to write the full conditionals [an ABC version anyone?!] to making a programming mistake that keep both ratios equal [as it would occur if a Metropolis-within-Gibbs was run by using the ratio of the joints in the acceptance probability]. Further, as noted by the authors it only addresses the mathematical correctness of the code, rather than the issue of whether the MCMC algorithm mixes well enough to provide a pseudo-iid-sample from p(θ|x). (Lack of mixing that could be spotted by Geweke’s test.) But it is so immediately available that it can indeed be added to every and all simulations involving a conditional step. While Geweke’s test requires re-running the MCMC algorithm altogether. Although clear divergence between an iid sampling from p(x,θ) and the Gibbs version above could appear fast enough for a stopping rule to be used. In fine, a worthwhile addition to the collection of checkings and tests built across the years for MCMC algorithms! (Of which the trick proposed by my friend Tobias Rydén to run first the MCMC code with n=0 observations in order to recover the prior p(θ) remains my favourite!)

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