Archive for ABC

asymptotically exact inference in likelihood-free models [a reply from the authors]

Posted in R, Statistics with tags , , , , , , , , , , , , , , , , , on December 1, 2016 by xi'an

[Following my post of lastTuesday, Matt Graham commented on the paper with force détails. Here are those comments. A nicer HTML version of the Markdown reply below is also available on Github.]

Thanks for the comments on the paper!

A few additional replies to augment what Amos wrote:

This however sounds somewhat intense in that it involves a quasi-Newton resolution at each step.

The method is definitely computationally expensive. If the constraint function is of the form of a function from an M-dimensional space to an N-dimensional space, with MN, for large N the dominant costs at each timestep are usually the constraint Jacobian (c/u) evaluation (with reverse-mode automatic differentiation this can be evaluated at a cost of O(N) generator / constraint evaluations) and Cholesky decomposition of the Jacobian product (c/u)(c/u) with O(N³) cost (though in many cases e.g. i.i.d. or Markovian simulated data, structure in the generator Jacobian can be exploited to give a significantly reduced cost). Each inner Quasi-Newton update involves a pair of triangular solve operations which have a O(N²) cost, two matrix-vector multiplications with O(MN) cost, and a single constraint / generator function evaluation; the number of Quasi-Newton updates required for convergence in the numerical experiments tended to be much less than N hence the Quasi-Newton iteration tended not to be the main cost.

The high computation cost per update is traded off however with often being able to make much larger proposed moves in high-dimensional state spaces with a high chance of acceptance compared to ABC MCMC approaches. Even in the relatively small Lotka-Volterra example we provide which has an input dimension of 104 (four inputs which map to ‘parameters’, and 100 inputs which map to ‘noise’ variables), the ABC MCMC chains using the coarse ABC kernel radius ϵ=100 with comparably very cheap updates were significantly less efficient in terms of effective sample size / computation time than the proposed constrained HMC approach. This was in large part due to the elliptical slice sampling updates in the ABC MCMC chains generally collapsing down to very small moves even for this relatively coarse ϵ. Performance was even worse using non-adaptive ABC MCMC methods and for smaller ϵ, and for higher input dimensions (e.g. using a longer sequence with correspondingly more random inputs) the comparison becomes even more favourable for the constrained HMC approach. Continue reading

asymptotically exact inference in likelihood-free models

Posted in Books, pictures, Statistics with tags , , , , , , , on November 29, 2016 by xi'an

“We use the intuition that inference corresponds to integrating a density across the manifold corresponding to the set of inputs consistent with the observed outputs.”

Following my earlier post on that paper by Matt Graham and Amos Storkey (University of Edinburgh), I now read through it. The beginning is somewhat unsettling, albeit mildly!, as it starts by mentioning notions like variational auto-encoders, generative adversial nets, and simulator models, by which they mean generative models represented by a (differentiable) function g that essentially turn basic variates with density p into the variates of interest (with intractable density). A setting similar to Meeds’ and Welling’s optimisation Monte Carlo. Another proximity pointed out in the paper is Meeds et al.’s Hamiltonian ABC.

“…the probability of generating simulated data exactly matching the observed data is zero.”

The section on the standard ABC algorithms mentions the fact that ABC MCMC can be (re-)interpreted as a pseudo-marginal MCMC, albeit one targeting the ABC posterior instead of the original posterior. The starting point of the paper is the above quote, which echoes a conversation I had with Gabriel Stolz a few weeks ago, when he presented me his free energy method and when I could not see how to connect it with ABC, because having an exact match seemed to cancel the appeal of ABC, all parameter simulations then producing an exact match under the right constraint. However, the paper maintains this can be done, by looking at the joint distribution of the parameters, latent variables, and observables. Under the implicit restriction imposed by keeping the observables constant. Which defines a manifold. The mathematical validation is achieved by designing the density over this manifold, which looks like

p(u)\left|\frac{\partial g^0}{\partial u}\frac{\partial g^0}{\partial u}^\text{T}\right|^{-\textonehalf}

if the constraint can be rewritten as g⁰(u)=0. (This actually follows from a 2013 paper by Diaconis, Holmes, and Shahshahani.) In the paper, the simulation is conducted by Hamiltonian Monte Carlo (HMC), the leapfrog steps consisting of an unconstrained move followed by a projection onto the manifold. This however sounds somewhat intense in that it involves a quasi-Newton resolution at each step. I also find it surprising that this projection step does not jeopardise the stationary distribution of the process, as the argument found therein about the approximation of the approximation is not particularly deep. But the main thing that remains unclear to me after reading the paper is how the constraint that the pseudo-data be equal to the observable data can be turned into a closed form condition like g⁰(u)=0. As mentioned above, the authors assume a generative model based on uniform (or other simple) random inputs but this representation seems impossible to achieve in reasonably complex settings.

rare events for ABC

Posted in Books, Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , on November 24, 2016 by xi'an

Dennis Prangle, Richard G. Everitt and Theodore Kypraios just arXived a new paper on ABC, aiming at handling high dimensional data with latent variables, thanks to a cascading (or nested) approximation of the probability of a near coincidence between the observed data and the ABC simulated data. The approach amalgamates a rare event simulation method based on SMC, pseudo-marginal Metropolis-Hastings and of course ABC. The rare event is the near coincidence of the observed summary and of a simulated summary. This is so rare that regular ABC is forced to accept not so near coincidences. Especially as the dimension increases.  I mentioned nested above purposedly because I find that the rare event simulation method of Cérou et al. (2012) has a nested sampling flavour, in that each move of the particle system (in the sample space) is done according to a constrained MCMC move. Constraint derived from the distance between observed and simulated samples. Finding an efficient move of that kind may prove difficult or impossible. The authors opt for a slice sampler, proposed by Murray and Graham (2016), however they assume that the distribution of the latent variables is uniform over a unit hypercube, an assumption I do not fully understand. For the pseudo-marginal aspect, note that while the approach produces a better and faster evaluation of the likelihood, it remains an ABC likelihood and not the original likelihood. Because the estimate of the ABC likelihood is monotonic in the number of terms, a proposal can be terminated earlier without inducing a bias in the method.

Lake Louise, Banff National Park, March 21, 2012This is certainly an innovative approach of clear interest and I hope we will discuss it at length at our BIRS ABC 15w5025 workshop next February. At this stage of light reading, I am slightly overwhelmed by the combination of so many computational techniques altogether towards a single algorithm. The authors argue there is very little calibration involved, but so many steps have to depend on as many configuration choices.

an attempt at EP-ABC from scratch, nothing more… [except for a few bugs]

Posted in R, Statistics, University life with tags , , , , , , on October 19, 2016 by xi'an

Following a request from one of the reviewers of our chapter Likelihood-free model choice, I tried to run EP-ABC on a toy problem and to compare it with the outcome of a random forest ABC. Literally starting from scratch, namely from the description found in Simon and Nicolas’ JASA paper.  To run my test, I chose as my modelled data an exponential Exp(λ) sample of size 20, with a Gaussian N(0,1) prior on the log parameter (here replicated 100 times):

#prior values

Then I applied the formulas found in the paper for approximating the evidence, first defining the log normalising constant for an unnormalised Gaussian density as on the top of p.318


[which exhibited a typo in the paper, as Simon Barthelmé figured out after emails exchanges that the right formulation was the inverse]


and iterating the site updates as described in Sections 2.2, 3.1 and Algorithms 1 and 3:

 #global and ith natural parameters for Gaussian approximations
 #constants Ci in (2.6)
 for (t in 1:Nep){
  for (i in sample(1:n)){
  #site i update
   Qm=Q-Qi[i] #m for minus i
   #ABC sample
#update by formula (3.3)
  if (Mh>1e3){
#enough proposals accepted
#update of Ci as in formula (2.7)
#with correction bottom of p.319
  normz[i]=log(Mh/M/2/eps)- Psi(er,Q)+Psi(erm,Qm)
#approximation of the log evidence as on p.318
return(sum(normz)+Psi(er,Q)-Psi(er0,Q0)) }

except that I made an R beginner’s mistake (!) when calling the normal simulation to be


to be compared with the genuine evidence under a conjugate Exp(1) prior [values of the evidence should differ but should not differ that much]


After correcting for those bugs and too small sample sizes, thanks to Simon kind-hearted help!, running this code results in minor discrepancies between both quantities:

M=1e4 #number of ABC samples
propep=.1 #tolerance factor
for (t in 1:100){
 #tolerance scaled by data

as shown by the comparison below between the evidence and the EP-ABC approximations to the evidence, called epabence (the dashed line is the diagonal):

epabcObviously, this short (if lengthy at my scale) experiment is not intended to conclude that EP-ABC work or does not work. (Simon also provided additional comparison with the genuine evidence, that is under the right prior, and with the zero Monte-Carlo version of the EP-ABC evidence, achieving a high concentration over the diagonal.) I just conclude that the method does require a certain amount of calibration to become stable. Calibrations steps that are clearly spelled out in the paper (adaptive choice of M, stabilisation by quasi-random samples, stabilisation by stochastic optimisation steps and importance sampling), but also imply that EP-ABC is also “far from routine use because it make take days to tune on real problems” (pp.315-316). Thinking about the reasons for such discrepancy over the past days, one possible explanation I see for the impact of the calibration parameters is that the validation of EP if any occurs at a numerical rather than Monte Carlo level, hence that the Monte Carlo error must be really small to avoid interfering with the numerical aspects.

advanced computational methods for complex models in Biology [talk]

Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , on September 29, 2016 by xi'an

St Pancras. London, Jan. 26, 2012

Here are the slides of the presentation I gave at the EPSRC Advanced Computational methods for complex models in Biology at University College London, last week. Introducing random forests as proper summaries for both model choice and parameter estimation (with considerable overlap with earlier slides, obviously!). The other talks of that highly interesting day on computational Biology were mostly about ancestral graphs, using Wright-Fisher diffusions for coalescents, plus a comparison of expectation-propagation and ABC on a genealogy model by Mark Beaumont and the decision theoretic approach to HMM order estimation by Chris Holmes. In addition, it gave me the opportunity to come back to the Department of Statistics at UCL more than twenty years after my previous visit, at a time when my friend Costas Goutis was still there. And to realise it had moved from its historical premises years ago. (I wonder what happened to the two staircases built to reduce frictions between Fisher and Pearson if I remember correctly…)

local kernel reduction for ABC

Posted in Books, pictures, Statistics, University life with tags , , , , , on September 14, 2016 by xi'an

“…construction of low dimensional summary statistics can be performed as in a black box…”

Today Zhou and Fukuzumi just arXived a paper that proposes a gradient-based dimension reduction for ABC summary statistics, in the spirit of RKHS kernels as advocated, e.g., by Arthur Gretton. Here the projection is a mere linear projection Bs of the vector of summary statistics, s, where B is an estimated Hessian matrix associated with the posterior expectation E[θ|s]. (There is some connection with the latest version of Li’s and Fearnhead’s paper on ABC convergence as they also define a linear projection of the summary statistics, based on asymptotic arguments, although their matrix does depend on the true value of the parameter.) The linearity sounds like a strong restriction [to me] especially when the summary statistics have no reason to belong to a vectorial space and thus be open to changes of bases and linear projections. For instance, a specific value taken by a summary statistic, like 0 say, may be more relevant than the range of their values. On a larger scale, I am doubtful about always projecting a vector of summary statistics on a subspace with the smallest possible dimension, ie the dimension of θ. In practical settings, it seems impossible to derive the optimal projection and a subvector is almost certain to loose information against a larger vector.

“Another proposal is to use different summary statistics for different parameters.”

Which is exactly what we did in our random forest estimation paper. Using a different forest for each parameter of interest (but no real tree was damaged in the experiment!).

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.)