Archive for adaptive importance sampling

a new rule for adaptive importance sampling

Posted in Books, Statistics with tags , , , , , , , , , on March 5, 2019 by xi'an

Art Owen and Yi Zhou have arXived a short paper on the combination of importance sampling estimators. Which connects somehow with the talk about multiple estimators I gave at ESM last year in Helsinki. And our earlier AMIS combination. The paper however makes two important assumptions to reach optimal weighting, which is inversely proportional to the variance:

  1. the estimators are uncorrelated if dependent;
  2. the variance of the k-th estimator is of order a (negative) power of k.

The later is puzzling when considering a series of estimators, in that k appears to act as a sample size (as in AMIS), the power is usually unknown but also there is no reason for the power to be the same for all estimators. The authors propose to use ½ as the default, both because this is the standard Monte Carlo rate and because the loss in variance is then minimal, being 12% larger.

As an aside, Art Owen also wrote an invited discussion “the unreasonable effectiveness of Monte Carlo” of ” Probabilistic Integration: A Role in Statistical Computation?” by François-Xavier Briol, Chris  Oates, Mark Girolami (Warwick), Michael Osborne and Deni Sejdinovic, to appear in Statistical Science, discussion that contains a wealth of smart and enlightening remarks. Like the analogy between pseudo-random number generators [which work unreasonably well!] vs true random numbers and Bayesian numerical integration versus non-random functions. Or the role of advanced bootstrapping when assessing the variability of Monte Carlo estimates (citing a paper of his from 1992). Also pointing out at an intriguing MCMC paper by  Michael Lavine and Jim Hodges to appear in The American Statistician.

optimal proposal for ABC

Posted in Statistics with tags , , , , , , , , , , on October 8, 2018 by xi'an

As pointed out by Ewan Cameron in a recent c’Og’ment, Justin Alsing, Benjamin Wandelt, and Stephen Feeney have arXived last August a paper where they discuss an optimal proposal density for ABC-SMC and ABC-PMC. Optimality being understood as maximising the effective sample size.

“Previous studies have sought kernels that are optimal in the (…) Kullback-Leibler divergence between the proposal KDE and the target density.”

The effective sample size for ABC-SMC is actually the regular ESS multiplied by the fraction of accepted simulations. Which surprisingly converges to the ratio


under the (true) posterior. (Where q(θ) is the importance density and π(θ) the prior density.] When optimised in q, this usually produces an implicit equation which results in a form of geometric mean between posterior and prior. The paper looks at approximate ways to find this optimum. Especially at an upper bound on q. Something I do not understand from the simulations is that the starting point seems to be the plain geometric mean between posterior and prior, in a setting where the posterior is supposedly unavailable… Actually the paper is silent on how the optimal can be approximated in practice, for the very reason I just mentioned. Apart from using a non-parametric or mixture estimate of the posterior after each SMC iteration, which may prove extremely costly when processed through the optimisation steps. However, an interesting if side outcome of these simulations is that the above geometric mean does much better than the posterior itself when considering the effective sample size.

IMS workshop [day 5]

Posted in Books, pictures, Statistics, Travel with tags , , , , , , , , on September 3, 2018 by xi'an

The last day of the starting workshop [and my last day in Singapore] was a day of importance [sampling] with talks by Matti Vihola opposing importance sampling and delayed acceptance and particle MCMC, related to several papers of his that I missed. To be continued in the coming weeks at the IMS, which is another reason to regret having to leave that early [as my Parisian semester starts this Monday with an undergrad class at 8:30!]

And then a talk by Joaquín Miguez on stabilizing importance sampling by truncation which reminded me very much of the later work by Andrew Gelman and Aki Vehtari on Pareto smoothed importance sampling, with further operators adapted to sequential settings and the similar drawback that when the importance sampler is poor, i.e., when the simulated points are all very far from the centre of mass, no amount of fudging with the weights will bring the points closer. AMIS made an appearance as a reference method, to be improved by this truncation of the weights, a wee bit surprising as it should bring the large weights of the earlier stages down.

Followed by an almost silent talk by Nick Whiteley, who having lost his voice to the air conditioning whispered his talk in the microphone. Having once faced a lost voice during an introductory lecture to a large undergraduate audience, I could not but completely commiserate for the hardship of the task. Although this made the audience most silent and attentive. His topic was the Viterbi process and its parallelisation, by using a truncated horizon (presenting connection with overdamped Langevin, eg Durmus and Moulines and Dalalyan).

And due to a pressing appointment with my son and his girlfriend [who were traveling through Singapore on that day] for a chili crab dinner on my way to the airport, I missed the final talk by Arnaud Doucet, where he was to reconsider PDMP algorithms without the continuous time layer, a perspective I find most appealing!

Overall, this was a quite diverse and rich [starting] seminar, backed by the superb organisation of the IMS and the smooth living conditions on the NUS campus [once I had mastered the bus routes], which would have made much more sense for me as part of a longer stay, which is actually what happened the previous time I visited the IMS (in 2005), again clashing with my course schedule at home… And as always, I am impressed with the city-state of Singapore, for the highly diverse food scene in particular, but also this [maybe illusory] impression of coexistence between communities. And even though the ecological footprint could certainly be decreased, measures to curb car ownership (with a 150% purchase tax) and use (with congestion charges).

X divergence for approximate inference

Posted in Statistics with tags , , , , , , , on March 14, 2017 by xi'an

Dieng et al. arXived this morning a new version of their paper on using the Χ divergence for variational inference. The Χ divergence essentially is the expectation of the squared ratio of the target distribution over the approximation, under the approximation. It is somewhat related to Expectation Propagation (EP), which aims at the Kullback-Leibler divergence between the target distribution and the approximation, under the target. And to variational Bayes, which is the same thing just the opposite way! The authors also point a link to our [adaptive] population Monte Carlo paper of 2008. (I wonder at a possible version through Wasserstein distance.)

Some of the arguments in favour of this new version of variational Bayes approximations is that (a) the support of the approximation over-estimates the posterior support; (b) it produces over-dispersed versions; (c) it relates to a well-defined and global objective function; (d) it allows for a sandwich inequality on the model evidence; (e) the function of the [approximation] parameter to be minimised is under the approximation, rather than under the target. The latest allows for a gradient-based optimisation. While one of the applications is on a Bayesian probit model applied to the Pima Indian women dataset [and will thus make James and Nicolas cringe!], the experimental assessment shows lower error rates for this and other benchmarks. Which in my opinion does not tell so much about the original Bayesian approach.

parallel adaptive importance sampling

Posted in Statistics with tags , , , , , on August 30, 2016 by xi'an

Following Paul Russell’s talk at MCqMC 2016, I took a look at his recently arXived paper. In the plane to Sydney. The pseudo-code representation of the method is identical to our population Monte Carlo algorithm as is the suggestion to approximate the posterior by a mixture, but one novel aspect is to use Reich’s ensemble transportation at the resampling stage, in order to maximise the correlation between the original and the resampled versions of the particle systems. (As in our later versions of PMC, the authors also use as importance denominator the entire mixture rather than conditioning on the selected last-step particle.)

“The output of the resampling algorithm gives us a set of evenly weighted samples that we believe represents the target distribution well”

I disagree with this statement: Reweighting does not improve the quality of the posterior approximation, since it introduces more variability. If the original sample is found missing in its adequation to the target, so is the resampled one. Worse, by producing a sample with equal weights, this step may give a false impression of adequate representation…

Another unclear point in the pape relates to tuning the parameters of the mixture importance sampler. The paper discusses tuning these parameters during a burn-in stage, referring to “due to the constraints on adaptive MCMC algorithms”, which indeed is only pertinent for MCMC algorithms, since importance sampling can be constantly modified while remaining valid. This was a major point for advocating PMC. I am thus unsure what the authors mean by a burn-in period in such a context. Actually, I am also unsure on how they use effective sample size to select the new value of the importance parameter, e.g., the variance β in a random walk mixture: the effective sample size involves this variance implicitly through the realised sample hence changing β means changing the realised sample… This seems too costly to contemplate so I wonder at the way Figure 4.2 is produced.

“A popular approach for adaptive MCMC algorithms is to view the scaling parameter as a random variable which we can sample during the course of the MCMC iterations.”

While this is indeed an attractive notion [that I played with in the early days of adaptive MCMC, with the short-lived notion of cyber-parameters], I do not think it is of much help in optimising an MCMC algorithm, since the scaling parameter need be optimised, resulting into a time-inhomogeneous target. A more appropriate tool is thus stochastic optimisation à la Robbins-Monro, as exemplified in Andrieu and Moulines (2006). The paper however remains unclear as to how the scales are updated (see e.g. Section 4.2).

“Ideally, we would like to use a resampling algorithm which is not prohibitively costly for moderately or large sized ensembles, which preserves the mean of the samples, and which makes it much harder for the new samples to forget a significant region in the density.”

The paper also misses on the developments of the early 2000’s about more sophisticated resampling steps, especially Paul Fearnhead’s contributions (see also Nicolas Chopin’s thesis). There exist valid resampling methods that require a single uniform (0,1) to be drawn, rather than m. The proposed method has a flavour similar to systematic resampling, but I wonder at the validity of returning values that are averages of earlier simulations, since this modifies their distribution into ones with slimmer tails. (And it is parameterisation dependent.) Producing xi with probability pi is not the same as returning the average of the pixi‘s.

adaptive resample move for estimating constants

Posted in Books, Statistics, University life with tags , , , , , on April 4, 2016 by xi'an

bike trail from Kenilworth to the University of Warwick

“…adaptive resample-move allows us to reduce the variance of the estimate of normalizing constants.”

A few days before our Estimating Constants workshop, Marco Fraccaroa, Ulrich Paquet, and Ole Winthera arXived a paper on estimating normalising constants by resample-move sequential Monte Carlo. The main result of this note is a theorem that derives the optimal relative size of each particle system, based on the approximate variance of the associated importance weights. Which is of major importance when running a sequential algorithm under computing time or budget constraints. In practice this theorem cannot be applied in a sequential manner [since it depends on future steps] and the authors propose instead an adaptive algorithm, enlarging the current set of particles if the effective sample size per particle is not large enough. There may however be a danger of an endless step if the proposal is particularly ill-fitted to the target. Under a fixed total budget, this potential explosion in the number of particles may jeopardize the entire process. Unless some safeguarding mechanism is introduced towards getting back in time to recover more variety in earlier steps. The paper compares the adaptive method with other solutions, including an Riemanian manifold HMC, on Gaussian processes and restricted Boltzman machines. Both examples being associated with very specialised ways of building the sequence of tempered targets, it seems.

gradient importance sampling

Posted in Books, pictures, Statistics, University life with tags , , , , , , on July 30, 2015 by xi'an

from my office, La Défense & Bois de Boulogne, Paris, May 15, 2012Ingmar Schuster, who visited Paris-Dauphine last Spring (and is soon to return here as a postdoc funded by Fondation des Sciences Mathématiques de Paris) has arXived last week a paper on gradient importance sampling. In this paper, he builds a sequential importance sampling (or population Monte Carlo) algorithm that exploits the additional information contained in the gradient of the target. The proposal or importance function being essentially the MALA move as its proposal, mixed across the elements of the previous population. When compared with our original PMC mixture of random walk proposals found in e.g. this paper, each term in the mixture thus involves an extra gradient, with a scale factor that decreases to zero as 1/t√t. Ingmar compares his proposal with an adaptive Metropolis, an adaptive MALTa and an HM algorithms, for two mixture distributions and the banana target of Haario et al. (1999) we also used in our paper. As well as a logistic regression. In each case, he finds both a smaller squared error and a smaller bias for the same computing time (evaluated as the number of likelihood evaluations). While we discussed this scheme when he visited, I remain intrigued as to why it works so well when compared with the other solutions. One possible explanation is that the use of the gradient drift is more efficient on a population of particles than on a single Markov chain, provided the population covers all modes of importance on the target surface: the “fatal” attraction of the local model is then much less of an issue…