thermodynamic integration plus temperings

Biljana Stojkova and David Campbel recently arXived a paper on the used of parallel simulated tempering for thermodynamic integration towards producing estimates of marginal likelihoods. Resulting into a rather unwieldy acronym of PT-STWNC for “Parallel Tempering – Simulated Tempering Without Normalizing Constants”. Remember that parallel tempering runs T chains in parallel for T different powers of the likelihood (from 0 to 1), potentially swapping chain values at each iteration. Simulated tempering monitors a single chain that explores both the parameter space and the temperature range. Requiring a prior on the temperature. Whose optimal if unrealistic choice was found by Geyer and Thomson (1995) to be proportional to the inverse (and unknown) normalising constant (albeit over a finite set of temperatures). Proposing the new temperature instead via a random walk, the Metropolis within Gibbs update of the temperature τ then involves normalising constants.

“This approach is explored as proof of concept and not in a general sense because the precision of the approximation depends on the quality of the interpolator which in turn will be impacted by smoothness and continuity of the manifold, properties which are difficult to characterize or guarantee given the multi-modal nature of the likelihoods.”

To bypass this issue, the authors pick for their (formal) prior on the temperature τ, a prior such that the profile posterior distribution on τ is constant, i.e. the joint distribution at τ and at the mode [of the conditional posterior distribution of the parameter] is constant. This choice makes for a closed form prior, provided this mode of the tempered posterior can de facto be computed for each value of τ. (However it is unclear to me why the exact mode would need to be used.) The resulting Metropolis ratio becomes independent of the normalising constants. The final version of the algorithm runs an extra exchange step on both this simulated tempering version and the untempered version, i.e., the original unnormalised posterior. For the marginal likelihood, thermodynamic integration is invoked, following Friel and Pettitt (2008), using simulated tempering samples of (θ,τ) pairs (associated instead with the above constant profile posterior) and simple Riemann integration of the expected log posterior. The paper stresses the gain due to a continuous temperature scale, as it “removes the need for optimal temperature discretization schedule.” The method is applied to the Glaxy (mixture) dataset in order to compare it with the earlier approach of Friel and Pettitt (2008), resulting in (a) a selection of the mixture with five components and (b) much more variability between the estimated marginal  likelihoods for different numbers of components than in the earlier approach (where the estimates hardly move with k). And (c) a trimodal distribution on the means [and unimodal on the variances]. This example is however hard to interpret, since there are many contradicting interpretations for the various numbers of components in the model. (I recall Radford Neal giving an impromptu talks at an ICMS workshop in Edinburgh in 2001 to warn us we should not use the dataset without a clear(er) understanding of the astrophysics behind. If I remember well he was excluded all low values for the number of components as being inappropriate…. I also remember taking two days off with Peter Green to go climbing Craigh Meagaidh, as the only authorised climbing place around during the foot-and-mouth epidemics.) In conclusion, after presumably too light a read (I did not referee the paper!), it remains unclear to me why the combination of the various tempering schemes is bringing a noticeable improvement over the existing. At a given computational cost. As the temperature distribution does not seem to favour spending time in the regions where the target is most quickly changing. As such the algorithm rather appears as a special form of exchange algorithm.

One Response to “thermodynamic integration plus temperings”

  1. Radford Neal Says:

    It’s not that you shouldn’t use the galaxy data without a clearer understanding of the astrophysics. It’s that you shouldn’t use the galaxy data at all, ever, since the selection of some number of mixture components for this data makes no sense whatsoever.

    Now, that’s really a recommendation of what not to do if you’re interested in statistical modeling issues regarding mixture models. If instead you’re interested in computational methods for estimating marginal likelihoods, then it’s not a terrible example – the numbers you get are total nonsense from a scientific standpoint, but for a given model and prior, there is a correct mathematical answer, and it’s of some interest to know whether a proposed method gets this correct answer, and if so how fast. A flaw in many such tests, however, is that they don’t actually know what the correct answer is, and hence may not recognize that their method doesn’t get it.

    Of course, it would be even better to test computational methods on problems where the answer is of scientific interest. It’s possible that the best method depends on the problem, in which case we’d prefer a method that does well on sensible problems, not one that does well only on ridiculous problems.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

This site uses Akismet to reduce spam. Learn how your comment data is processed.