Archive for ABC-SMC

ABC with no prior

Posted in Books, Kids, pictures with tags , , , , , , on April 30, 2018 by xi'an

“I’m trying to fit a complex model to some data that take a large amount of time to run. I’m also unable to write down a Likelihood function to this problem and so I turned to approximate Bayesian computation (ABC). Now, given the slowness of my simulations, I used Sequential ABC (…) In fact, contrary to the concept of Bayesian statistics (new knowledge updating old knowledge) I would like to remove all the influence of the priors from my estimates. “

A question from X validated where I have little to contribute as the originator of the problem had the uttermost difficulties to understand that ABC could not be run without a probability structure on the parameter space. Maybe a fiducialist in disguise?! To this purpose this person simulated from a collection of priors and took the best 5% across the priors, which is akin to either running a mixture prior or to use ABC for conducting prior choice, which reminds me of a paper of Toni et al. Not that it helps removing “all the influence of the priors”, of course…

An unrelated item of uninteresting trivia is that a question I posted in 2012 on behalf of my former student Gholamossein Gholami about the possibility to use EM to derive a Weibull maximum likelihood estimator (instead of sheer numerical optimisation) got over the 10⁴ views. But no answer so far!

delayed acceptance ABC-SMC

Posted in pictures, Statistics, Travel with tags , , , , , , , on December 11, 2017 by xi'an

Last summer, during my vacation on Skye,  Richard Everitt and Paulina Rowińska arXived a paper on delayed acceptance associated with ABC. ArXival that I missed, then! In order to decrease the number of simulations from the likelihood. As in our own delayed acceptance paper (without ABC), a cheap alternative generator is used to first reject the least likely parameters values, before possibly continuing to use a full generator. Also as lazy ABC. The first step of this ABC algorithm requires a cheap generator plus a primary tolerance ε¹ to compare the generation with the data or part of it. This may be followed by a second generation with a second tolerance level ε². The paper applies more specifically ABC-SMC as introduced in Sisson, Fan and Tanaka (2007) and reassessed in our subsequent 2009 Biometrika paper with Mark Beaumont, Jean-Marie Cornuet and Jean-Michel Marin. As well as in the ABC-SMC paper by Pierre Del Moral and Arnaud Doucet.

When looking at the version of the algorithm [Algorithm 2] based on two basic acceptance ABC steps, there are two features I find intriguing: (i) the primary step uses a cheap generator to reject early poor values of the parameter, followed by the second step involving a more expensive and exact generator, but I see no impact of the choice of this cheap generator in the acceptance probability; (ii) this is an SMC algorithm with imposed resampling at each iteration but there is no visible step for creating new weights after the resampling step. In the current presentation, it sounds like the weights do not change from the initial step, except for those turning to zero and the renormalisation transforms. Which makes the (unspecified) stratification of little interest if any. I must therefore miss a point in the implementation!

One puzzling sentence in the appendix is that the resampling algorithm used in the SMC step “ensures that every particle that is alive before resampling is represented in the resampled particles”, which reminds me of an argument [possibly a different one] made already in Sisson, Fan and Tanaka (2007) and that we could not validate in our subsequent paper. For resampling to be correct, a form of multinomial sampling must be implemented, even via variance reduction schemes like stratified or systematic sampling.

probably ABC [and provably robust]

Posted in Books, pictures, Statistics, Travel with tags , , , , , , , , on August 8, 2017 by xi'an

Two weeks ago, James Ridgway (formerly CREST) arXived a paper on misspecification and ABC, a topic on which David Frazier, Judith Rousseau and I have been working for a while now [and soon to be arXived as well].  Paper that I re-read on a flight to Amsterdam [hence the above picture], written as a continuation of our earlier paper with David, Gael, and Judith. One specificity of the paper is to use an exponential distribution on the distance between the observed and simulated sample within the ABC distribution. Which reminds me of the resolution by Bissiri, Holmes, and Walker (2016) of the intractability of the likelihood function. James’ paper contains oracle inequalities between the ABC approximation and the genuine distribution of the summary statistics, like a bound on the distance between the expectations of the summary statistics under both models. Which writes down as a sum of a model bias, of two divergences between empirical and theoretical averages, on smoothness penalties, and on a prior impact term. And a similar bound on the distance between the expected distance to the oracle estimator of θ under the ABC distribution [and a Lipschitz type assumption also found in our paper]. Which first sounded weird [to me] as I would have expected the true posterior, until it dawned on me that the ABC distribution is the one used for the estimation [a passing strike of over-Bayesianism!]. While the oracle bound could have been used directly to discuss the rate of convergence of the exponential rate λ to zero [with the sample size n], James goes into the interesting alternative direction of setting a prior on λ, an idea that dates back to Olivier Catoni and Peter Grünwald. Or rather a pseudo-posterior on λ, a common occurrence in the PAC-Bayesian literature. In one of his results, James obtains a dependence of λ on the dimension m of the summary [as well as the root dependence on the sample size n], which seems to contradict our earlier independence result, until one realises this scale parameter is associated with a distance variable, itself scaled in m.

The paper also contains a non-parametric part, where the parameter θ is the unknown distribution of the data and the summary the data itself. Which is quite surprising as I did not deem it possible to handle non-parametrics with ABC. Especially in a misspecified setting (although I have trouble perceiving what this really means).

“We can use most of the Monte Carlo toolbox available in this context.”

The theoretical parts are a bit heavy on notations and hard to read [as a vacation morning read at least!]. They are followed by a Monte Carlo implementation using SMC-ABC.  And pseudo-marginals [at least formally as I do not see how the specific features of pseudo-marginals are more that an augmented representation here]. And adaptive multiple pseudo-samples that reminded me of the Biometrika paper of Anthony Lee and Krys Latuszynski (Warwick). Therefore using indeed most of the toolbox!

astroABC: ABC SMC sampler for cosmological parameter estimation

Posted in Books, R, Statistics, University life with tags , , , , , , , , on September 6, 2016 by xi'an

“…the chosen statistic needs to be a so-called sufficient statistic in that any information about the parameter of interest which is contained in the data, is also contained in the summary statistic.”

Elise Jenningsa and Maeve Madigan arXived a paper on a new Python code they developed for implementing ABC-SMC, towards astronomy or rather cosmology applications. They stress the parallelisation abilities of their approach which leads to “crucial speed enhancement” against the available competitors, abcpmc and cosmoabc. The version of ABC implemented there is “our” ABC PMC where particle clouds are shifted according to mixtures of random walks, based on each and every point of the current cloud, with a scale equal to twice the estimated posterior variance. (The paper curiously refers to non-astronomy papers through their arXiv version, even when they have been published. Like our 2008 Biometrika paper.) A large part of the paper is dedicated to computing aspects that escape me, like the constant reference to MPIs. The algorithm is partly automated, except for the choice of the summary statistics and of the distance. The tolerance is chosen as a (large) quantile of the previous set of simulated distances. Getting comments from the designers of abcpmc and cosmoabc would be great.

“It is clear that the simple Gaussian Likelihood assumption in this case, which neglects the effects of systematics yields biased cosmological constraints.”

The last part of the paper compares ABC and MCMC on a supernova simulated dataset. Which is somewhat a dubious comparison since the model used for producing the data and running ABC is not the same as the Gaussian version used with MCMC. Unsurprisingly, MCMC then misses the true value of the cosmological parameters and most likely and more importantly the true posterior HPD region. While ABC SMC (or PMC) proceeds to a concentration around the genuine parameter values. (There is no additional demonstration of how accelerated the approach is.)

at CIRM [#3]

Posted in Kids, Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , on March 4, 2016 by xi'an

Simon Barthelmé gave his mini-course on EP, with loads of details on the implementation of the method. Focussing on the EP-ABC and MCMC-EP versions today. Leaving open the difficulty of assessing to which limit EP is converging. But mentioning the potential for asynchronous EP (on which I would like to hear more). Ironically using several times a logistic regression example, if not on the Pima Indians benchmark! He also talked about approximate EP solutions that relate to consensus MCMC. With a connection to Mark Beaumont’s talk at NIPS [at the time as mine!] on the comparison with ABC. While we saw several talks on EP during this week, I am still agnostic about the potential of the approach. It certainly produces a fast proxy to the true posterior and hence can be exploited ad nauseam in inference methods based on pseudo-models like indirect inference. In conjunction with other quick and dirty approximations when available. As in ABC, it would be most useful to know how far from the (ideal) posterior distribution does the approximation stands. Machine learning approaches presumably allow for an evaluation of the predictive performances, but less so for the modelling accuracy, even with new sampling steps. [But I know nothing, I know!]

Dennis Prangle presented some on-going research on high dimension [data] ABC. Raising the question of what is the true meaning of dimension in ABC algorithms. Or of sample size. Because the inference relies on the event d(s(y),s(y’))≤ξ or on the likelihood l(θ|x). Both one-dimensional. Mentioning Iain Murray’s talk at NIPS [that I also missed]. Re-expressing as well the perspective that ABC can be seen as a missing or estimated normalising constant problem as in Bornn et al. (2015) I discussed earlier. The central idea is to use SMC to simulate a particle cloud evolving as the target tolerance ξ decreases. Which supposes a latent variable structure lurking in the background.

Judith Rousseau gave her talk on non-parametric mixtures and the possibility to learn parametrically about the component weights. Starting with a rather “magic” result by Allman et al. (2009) that three repeated observations per individual, all terms in a mixture are identifiable. Maybe related to that simpler fact that mixtures of Bernoullis are not identifiable while mixtures of Binomial are identifiable, even when n=2. As “shown” in this plot made for X validated. Actually truly related because Allman et al. (2009) prove identifiability through a finite dimensional model. (I am surprised I missed this most interesting paper!) With the side condition that a mixture of p components made of r Bernoulli products is identifiable when p ≥ 2[log² r] +1, when log² is base 2-logarithm. And [x] the upper rounding. I also find most relevant this distinction between the weights and the remainder of the mixture as weights behave quite differently, hardly parameters in a sense.

a simulated annealing approach to Bayesian inference

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , , on October 1, 2015 by xi'an

Paris/Zürich, Oct. 3, 2011 A misleading title if any! Carlos Albert arXived a paper with this title this morning and I rushed to read it. Because it sounded like Bayesian analysis could be expressed as a special form of simulated annealing. But it happens to be a rather technical sequel [“that complies with physics standards”] to another paper I had missed, A simulated annealing approach to ABC, by Carlos Albert, Hans Künsch, and Andreas Scheidegger. Paper that appeared in Statistics and Computing last year, and which is most interesting!

“These update steps are associated with a flow of entropy from the system (the ensemble of particles in the product space of parameters and outputs) to the environment. Part of this flow is due to the decrease of entropy in the system when it transforms from the prior to the posterior state and constitutes the well-invested part of computation. Since the process happens in finite time, inevitably, additional entropy is produced. This entropy production is used as a measure of the wasted computation and minimized, as previously suggested for adaptive simulated annealing” (p.3)

The notion behind this simulated annealing intrusion into the ABC world is that the choice of the tolerance can be adapted along iterations according to a simulated annealing schedule. Both papers make use of thermodynamics notions that are completely foreign to me, like endoreversibility, but aim at minimising the “entropy production of the system, which is a measure for the waste of computation”. The central innovation is to introduce an augmented target on (θ,x) that is


where ε is the tolerance, while ρ(x,y) is a measure of distance to the actual observations, and to treat ε as an annealing temperature. In an ABC-MCMC implementation, the acceptance probability of a random walk proposal (θ’,x’) is then


Under some regularity constraints, the sequence of targets converges to


if ε decreases slowly enough to zero. While the representation of ABC-MCMC through kernels other than the Heaviside function can be found in the earlier ABC literature, the embedding of tolerance updating within the modern theory of simulated annealing is rather exciting.

Furthermore, we will present an adaptive schedule that attempts convergence to the correct posterior while minimizing the required simulations from the likelihood. Both the jump distribution in parameter space and the tolerance are adapted using mean fields of the ensemble.” (p.2)

What I cannot infer from a rather quick perusal of the papers is whether or not the implementation gets into the way of the all-inclusive theory. For instance, how can the Markov chain keep moving as the tolerance gets to zero? Even with a particle population and a sequential Monte Carlo implementation, it is unclear why the proposal scale factor [as in equation (34)] does not collapse to zero in order to ensure a non-zero acceptance rate. In the published paper, the authors used the same toy mixture example as ours [from Sisson et al., 2007], where we earned the award of the “incredibly ugly squalid picture”, with improvements in the effective sample size, but this remains a toy example. (Hopefully a post to be continued in more depth…)

ABC by population annealing

Posted in Statistics, University life with tags , , , , , , , , on January 6, 2015 by xi'an

The paper “Bayesian Parameter Inference and Model Selection by Population Annealing in System Biology” by Yohei Murakami got published in PLoS One last August but I only became aware of it when ResearchGate pointed it out to me [by mentioning one of our ABC papers was quoted there].

“We are recommended to try a number of annealing schedules to check the influence of the schedules on the simulated data (…) As a whole, the simulations with the posterior parameter ensemble could, not only reproduce the data used for parameter inference, but also capture and predict the data which was not used for parameter inference.”

Population annealing is a notion introduced by Y Iba, the very same IBA who introduced the notion of population Monte Carlo that we studied in subsequent papers. It reproduces the setting found in many particle filter papers of a sequence of (annealed or rather tempered) targets ranging from an easy (i.e., almost flat) target to the genuine target, and of an update of a particle set by MCMC moves and reweighing. I actually have trouble perceiving the difference with other sequential Monte Carlo schemes as those exposed in Del Moral, Doucet and Jasra (2006, Series B). And the same is true of the ABC extension covered in this paper. (Where the annealed intermediate targets correspond to larger tolerances.) This sounds like a traditional ABC-SMC algorithm. Without the adaptive scheme on the tolerance ε found e.g. in Del Moral et al., since the sequence is set in advance. [However, the discussion about the implementation includes the above quote that suggests a vague form of cross-validated tolerance construction]. The approximation of the marginal likelihood also sounds standard, the marginal being approximated by the proportion of accepted pseudo-samples. Or more exactly by the sum of the SMC weights at the end of the annealing simulation. This actually raises several questions: (a) this estimator is always between 0 and 1, while the marginal likelihood is not restricted [but this is due to a missing 1/ε in the likelihood estimate that cancels from both numerator and denominator]; (b) seeing the kernel as a non-parametric estimate of the likelihood led me to wonder why different ε could not be used in different models, in that the pseudo-data used for each model under comparison differs. If we were in a genuine non-parametric setting the bandwidth would be derived from the pseudo-data.

“Thus, Bayesian model selection by population annealing is valid.”

The discussion about the use of ABC population annealing somewhat misses the point of using ABC, which is to approximate the genuine posterior distribution, to wit the above quote: that the ABC Bayes factors favour the correct model in the simulation does not tell anything about the degree of approximation wrt the original Bayes factor. [The issue of non-consistent Bayes factors does not apply here as there is no summary statistic applied to the few observations in the data.] Further, the magnitude of the variability of the values of this Bayes factor as ε varies, from 1.3 to 9.6, mostly indicates that the numerical value is difficult to trust. (I also fail to explain the huge jump in Monte Carlo variability from 0.09 to 1.17 in Table 1.) That this form of ABC-SMC improves upon the basic ABC rejection approach is clear. However it needs to build some self-control to avoid arbitrary calibration steps and reduce the instability of the final estimates.

“The weighting function is set to be large value when the observed data and the simulated data are ‘‘close’’, small value when they are ‘‘distant’’, and constant when they are ‘‘equal’’.”

The above quote is somewhat surprising as the estimated likelihood f(xobs|xobs,θ) is naturally constant when xobs=xsim… I also failed to understand how the model intervened in the indicator function used as a default ABC kernel