interdependent Gibbs samplers

Mark Kozdoba and Shie Mannor just arXived a paper on an approach to accelerate a Gibbs sampler. With title “interdependent Gibbs samplers“. In fact, it presents rather strong similarities with our SAME algorithm. More of the same, as Adam Johanssen (Warwick) entitled one of his papers! The paper indeed suggests multiplying replicas of latent variables (e.g., an hidden path for an HMM) in an artificial model. And as in our 2002 paper, with Arnaud Doucet and Simon Godsill, the focus here is on maximum likelihood estimation (of the genuine parameters, not of the latent variables). Along with argument that the resulting pseudo-posterior is akin to a posterior with a powered likelihood. And a link with the EM algorithm. And an HMM application.

“The generative model consist of simply sampling the parameters ,¬† and then sampling m independent copies of the paths”

If anything this proposal is less appealing than SAME because it aims directly at the powered likelihood, rather than utilising an annealed sequence of powers that allows for a primary exploration of the whole parameter space before entering the trapping vicinity of a mode. Which makes me fail to catch the argument from the authors that this improves Gibbs sampling, as a more acute mode has on the opposite the dangerous feature of preventing visits to other modes. Hence the relevance to resort to some form of annealing.

As already mused upon in earlier posts, I find it most amazing that this technique has been re-discovered so many times, both in statistics and in adjacent fields. The idea of powering the likelihood with independent copies of the latent variables is obviously natural (since a version pops up every other year, always under a different name), but earlier versions should eventually saturate the market!

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