merging MCMC subposteriors
Christopher Nemeth and Chris Sherlock arXived a paper yesterday about an approach to distributed MCMC sampling via Gaussian processes. As in several other papers commented on the ‘Og, the issue is to merge MCMC samples from sub-posteriors into a sample or any sort of approximation of the complete (product) posterior. I am quite sympathetic to the approach adopted in this paper, namely to use a log-Gaussian process representation of each sub-posterior and then to replace each sub-posterior with its log-Gaussian process posterior expectation in an MCMC or importance scheme. And to assess its variability through the posterior variance of the sum of log-Gaussian processes. As pointed out by the authors the closed form representation of the posterior mean of the log-posterior is invaluable as it allows for an HMC implementation. And importance solutions as well. The probabilistic numerics behind this perspective are also highly relevant.
A few arguable (?) points:
- The method often relies on importance sampling and hence on the choice of an importance function that is most likely influential but delicate to calibrate in complex settings as I presume the Gaussian estimates are not useful in this regard;
- Using Monte Carlo to approximate the value of the approximate density at a given parameter value (by simulating from the posterior distribution) is natural but is it that efficient?
- It could be that, by treating all sub-posterior samples as noisy versions of the same (true) posterior, a more accurate approximation of this posterior could be constructed;
- The method relies on the exponentiation of a posterior expectation or simulation. As of yesterday, I am somehow wary of log-normal expectations!
- If the purpose of the exercise is to approximate univariate integrals, it would seem more profitable to use the Gaussian processes at the univariate level;
- The way the normalising missing constants and the duplicate simulations are processed (or not) could deserve further exploration;
- Computing costs are in fine unclear when compared with the other methods in the toolbox.