on Markov chain Monte Carlo methods for tall data
Rémi Bardenet, Arnaud Doucet, and Chris Holmes arXived a long paper (with the above title) a month ago, paper that I did not have time to read in detail till today. The paper is quite comprehensive in its analysis of the current literature on MCMC for huge, tall, or big data. Even including our delayed acceptance paper! Now, it is indeed the case that we are all still struggling with this size difficulty. Making proposals in a wide range of directions, hopefully improving the efficiency of dealing with tall data. However, we are not there yet in that the outcome is either about as costly as the original MCMC implementation or its degree of approximation is unknown, even when bounds are available.
Most of the paper proposal is based on aiming at an unbiased estimator of the likelihood function in a pseudo-marginal manner à la Andrieu and Roberts (2009) and on a random subsampling scheme that presumes (a) iid-ness and (b) a lower bound on each term in the likelihood. It seems to me slightly unrealistic to assume that a much cheaper and tight lower bound on those terms could be available. Firmly set in the iid framework, the problem itself is unclear: do we need 10⁸ observations of a logistic model with a few parameters? The real challenge is rather in non-iid hierarchical models with random effects and complex dependence structures. For which subsampling gets much more delicate. None of the methods surveyed in the paper broaches upon such situations where the entire data cannot be explored at once.
An interesting experiment therein, based on the Glynn and Rhee (2014) unbiased representation, shows that the approach does not work well. This could lead the community to reconsider the focus on unbiasedness by coming full circle to the opposition between bias and variance. And between intractable likelihood and representative subsample likelihood.
Reading the (superb) coverage of earlier proposals made me trace back on the perceived appeal of the decomposition of Neiswanger et al. (2014) as I came to realise that the product of functions renormalised into densities has no immediate probabilistic connection with its components. As an extreme example, terms may fail to integrate. (Of course, there are many Monte Carlo features that exploit such a decomposition, from the pseudo-marginal to accept-reject algorithms. And more to come.) Taking samples from terms in the product is thus not directly related to taking samples from each term, in opposition with the arithmetic mixture representation. I was first convinced by using a fraction of the prior in each term but now find it unappealing because there is no reason the prior should change for a smaller sampler and no equivalent to the prohibition of using the data several times. At this stage, I would be much more in favour of raising a random portion of the likelihood function to the right power. An approach that I suggested to a graduate student earlier this year and which is also discussed in the paper. And considered too naïve and a “very poor approach” (Section 6, p.18), even though there must be versions that do not run afoul of the non-Gaussian nature of the log likelihood ratio. I am certainly going to peruse more thoroughly this Section 6 of the paper.
Another interesting suggestion in this definitely rich paper is the foray into an alternative bypassing the uniform sampling in the Metropolis-Hastings step, using instead the subsampled likelihood ratio. The authors call this “exchanging acceptance noise for subsampling noise” (p.22). However, there is no indication about the resulting stationary and I find the notion of only moving to higher likelihoods (or estimates of) counter to the spirit of Metropolis-Hastings algorithms. (I have also eventually realised the meaning of the log-normal “difficult” benchmark that I missed in the earlier : it means log-normal data is modelled by a normal density.) And yet another innovation along the lines of a control variate for the log likelihood ratio, no matter it sounds somewhat surrealistic.