unbiased estimation of log-normalising constants

Maxime Rischard, Pierre Jacob, and Natesh Pillai [warning: both of whom are co-authors and friends of mine!] have just arXived a paper on the use of path sampling (a.k.a., thermodynamic integration) for log-constant unbiased approximation and the resulting consequences on Bayesian model comparison by X validation. If the goal is the estimation of the log of a ratio of two constants, creating an artificial path between the corresponding distributions and looking at the derivative at any point of this path of the log-density produces an unbiased estimator. Meaning that random sampling along the path, corrected by the distribution of the sampling still produces an unbiased estimator. From there the authors derive an unbiased estimator for any X validation objective function, CV(V,T)=-log p(V|T), taking m observations T in and leaving n-m observations T out… The marginal conditional log density in the criterion is indeed estimated by an unbiased path sampler, using a powered conditional likelihood. And unbiased MCMC schemes à la Jacob et al. for simulating unbiased MCMC realisations of the intermediary targets on the path. Tuning it towards an approximately constant cost for all powers.

So in all objectivity and fairness (!!!), I am quite excited by this new proposal within my favourite area! Or rather two areas since it brings together the estimation of constants and an alternative to Bayes factors for Bayesian testing. (Although the paper does not broach upon the calibration of the X validation values.)

2 Responses to “unbiased estimation of log-normalising constants”

  1. Thanks Christian!! Pierre should get all the credit for this. Also Maxime
    Will be on the job market this year 😊

  2. Pierre Jacob Says:

    Thanks for the support! If there’s any example on which you’d like us to try the method, let us know!

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