## riddles on Egyptian fractions and Bernoulli factories

Posted in Books, Kids, R with tags , , , , , , , , , , , , , on June 11, 2019 by xi'an

Two fairy different riddles on the weekend Riddler. The first one is (in fine) about Egyptian fractions: I understand the first one as

Find the Egyptian fraction decomposition of 2 into 11 distinct unit fractions that maximises the smallest fraction.

And which I cannot solve despite perusing this amazing webpage on Egyptian fractions and making some attempts at brute force  random exploration. Using Fibonacci’s greedy algorithm. I managed to find such decompositions

2 = 1 +1/2 +1/6 +1/12 +1/16 +1/20 +1/24 +1/30 +1/42 +1/48 +1/56

after seeing in this short note

2 = 1 +1/3 +1/5 +1/7 +1/9 +1/42 +1/15 +1/18 +1/30 +1/45 +1/90

And then Robin came with the following:

2 = 1 +1/4 +1/5 +1/8 +1/10 +1/12 +1/15 +1/20 +1/21 +1/24 +1/28

which may prove to be the winner! But there is even better:

2 = 1 +1/5 +1/6 +1/8 +1/9 +1/10 +1/12 +1/15 +1/18 +1/20 +1/24

The second riddle is a more straightforward Bernoulli factory problem:

Given a coin with a free-to-choose probability p of head, design an experiment with a fixed number k of draws that returns three outcomes with equal probabilities.

For which I tried a brute-force search of all possible 3-partitions of the 2-to-the-k events for a range of values of p from .01 to .5 and for k equal to 3,4,… But never getting an exact balance between the three groups. Reading later the solution on the Riddler, I saw that there was an exact solution for 4 draws when $p=\frac{3-\sqrt{3(4\sqrt{9}-6)}}{6}$

Augmenting the precision of my solver (by multiplying all terms by 100), I indeed found a difference of

> solver((3-sqrt(3*(4*sqrt(6)-9)))/6,ba=1e5)
 8.940697e-08

which means an error of 9 x 100⁻⁴ x 10⁻⁸, ie roughly 10⁻¹⁵.

## Bernoulli race particle filters

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , on March 27, 2019 by xi'an Sebastian Schmon, Arnaud Doucet and George Deligiannidis have recently arXived an AISTATS paper with the above nice title. The motivation for the extension is facing intractable particle weights for state space models, as for instance in discretised diffusions.  In most cases, actually, the weight associated with the optimal forward proposal involves an intractable integral which is the predictive of the current observed variate given the past hidden states. And in some cases, there exist unbiased and non-negative estimators of the targets,  which can thus be substituted, volens nolens,  to the original filter. As in many pseudo-marginal derivations, this new algorithm can be interpreted as targeting an augmented distribution that involves the auxiliary random variates behind the unbiased estimators of the particle weights. A worthwhile remark since it allows for the preservation of the original target as in (8) provided the auxiliary random variates are simulated from the right conditionals. (At least ideally as I have no clue when this is feasible.)

“if Bernoulli resampling is per-formed, the variance for any Monte Carlo estimate will be the same as if the true weights were known and one applies standard multinomial resampling.”

The Bernoulli race in the title stands for a version of the Bernoulli factory problem, where an intractable and bounded component of the weight can be turned into a probability, for which a Bernoulli draw is available, hence providing a Multinomial sampling with the intractable weights since replacing the exact probability with an estimate does not modify the Bernoulli distribution, amazingly so! Even with intractable normalising constants in particle filters. The practicality of the approach may however be restricted by the possibility of some intractable terms being very small and requiring many rejections for one acceptance, as the number of attempts is a compound geometric. The intractability may add to the time request the drawback of keeping this feature hidden as well. Or force some premature interruption in the settings of a parallel implementation.

## Barker at the Bernoulli factory

Posted in Books, Statistics with tags , , , , , , , on October 5, 2017 by xi'an Yesterday, Flavio Gonçalves, Krzysztof Latuszýnski, and Gareth Roberts (Warwick) arXived a paper on Barker’s algorithm for Bayesian inference with intractable likelihoods.

“…roughly speaking Barker’s method is at worst half as good as Metropolis-Hastings.”

Barker’s acceptance probability (1965) is a smooth if less efficient version of Metropolis-Hastings. (Barker wrote his thesis in Adelaide, in the Mathematical Physics department. Most likely, he never interacted with Ronald Fisher, who died there in 1962) This smoothness is exploited by devising a Bernoulli factory consisting in a 2-coin algorithm that manages to simulate the Bernoulli variable associated with the Barker probability, from a coin that can simulate Bernoulli’s with probabilities proportional to [bounded] π(θ). For instance, using a bounded unbiased estimator of the target. And another coin that simulates another Bernoulli on a remainder term. Assuming the bound on the estimate of π(θ) is known [or part of the remainder term]. This is a neat result in that it expands the range of pseudo-marginal methods (and resuscitates Barker’s formula from oblivion!). The paper includes an illustration in the case of the far-from-toyish Wright-Fisher diffusion. [Making Fisher and Barker meeting, in the end!]

## optimal Bernoulli factory

Posted in Statistics with tags , , , , , , , , , , on January 17, 2017 by xi'an One of the last arXivals of the year was this paper by Luis Mendo on an optimal algorithm for Bernoulli factory (or Lovàsz‘s or yet Basu‘s) problems, i.e., for producing an unbiased estimate of f(p), 0<p<1, from an unrestricted number of Bernoulli trials with probability p of heads. (See, e.g., Mark Huber’s recent book for background.) This paper drove me to read an older 1999 unpublished document by Wästlund, unpublished because of the overlap with Keane and O’Brien (1994). One interesting gem in this document is that Wästlund produces a Bernoulli factory for the function f(p)=√p, which is not of considerable interest per se, but which was proposed to me as a puzzle by Professor Sinha during my visit to the Department of Statistics at the University of Calcutta. Based on his 1979 paper with P.K. Banerjee. The algorithm is based on a stopping rule N: throw a fair coin until the number of heads n+1 is greater than the number of tails n. The event N=2n+1 occurs with probability ${2n \choose n} \big/ 2^{2n+1}$

[Using a biased coin with probability p to simulate a fair coin is straightforward.] Then flip the original coin n+1 times and produce a result of 1 if at least one toss gives heads. This happens with probability √p.

Mendo generalises Wästlund‘s algorithm to functions expressed as a power series in (1-p) $f(p)=1-\sum_{i=1}^\infty c_i(1-p)^i$

with the sum of the weights being equal to one. This means proceeding through Bernoulli B(p) generations until one realisation is one or a probability $c_i\big/1-\sum_{j=1}^{i-1}c_j$

event occurs [which can be derived from a Bernoulli B(p) sequence]. Furthermore, this version achieves asymptotic optimality in the number of tosses, thanks to a form of Cramer-Rao lower bound. (Which makes yet another connection with Kolkata!)

## exam question

Posted in Kids, Statistics, University life with tags , , , , , , , , , on June 24, 2016 by xi'an A question for my third year statistics exam that I borrowed from Cross Validated: no student even attempted to solve this question…! And another one borrowed from the highly popular post on the random variable [almost] always smaller than its mean!

## a Bernoulli factory of sorts?

Posted in Books, Kids, Statistics with tags , , , , , on May 10, 2016 by xi'an A nice question was posted on X validated as to figure out a way to simulate a Bernoulli B(q) variate when using only a Bernoulli B(p) generator. With the additional question of handling the special case q=a/b, a rational probability. This is not exactly a Bernoulli factory problem in that q does not write as f(p), but still a neat challenge. My solution would have been similar to the one posted by William Huber, namely to simulate a sequence of B(p) or B(1-p) towards zooming on q until the simulation of the underlying uniforms U allows us to conclude at the position of U wrt q. For instance, if p>q and X~B(p) is equal to zero, the underlying uniform is more than p, hence more than q, leading to returning zero for the B(q) generation. Else, a second B(p) or B(1-p) generation means breaking the interval (0,p) into two parts, one of which allows for stopping the generation, and so on. The solution posted by William Huber contains an R code that could be easily improved by choosing for each interval between p and (1-p) towards the maximal probability of stopping. I still wonder at the ultimate optimal solution that would minimise the (average or median) number of calls to the Bernoulli(p) generator.

## perfect sampling, just perfect!

Posted in Books, Statistics, University life with tags , , , , , , , , on January 19, 2016 by xi'an Great news! Mark Huber (whom I’ve know for many years, so this review may be not completely objective!) has just written a book on perfect simulation! I remember (and still share) the excitement of the MCMC community when the first perfect simulation papers of Propp and Wilson (1995) came up on the (now deceased) MCMC preprint server, as it seemed then the ideal (perfect!) answer to critics of the MCMC methodology, plugging MCMC algorithms into a generic algorithm that eliminating burnin, warmup, and convergence issues… It seemed both magical, with the simplest argument: “start at T=-∞ to reach stationarity at T=0”, and esoteric (“why forward fails while backward works?!”), requiring simple random walk examples (and a java app by Jeff Rosenthal) to understand the difference (between backward and forward), as well as Wilfrid Kendall’s kids’ coloured wood cubes and his layer of leaves falling on the ground and seen from below… These were exciting years, with MCMC still in its infancy, and no goal seemed too far away! Now that years have gone, and that the excitement has clearly died away, perfect sampling can be considered in a more sedate manner, with pros and cons well-understood. This is why Mark Huber’s book is coming at a perfect time if any! It covers the evolution of the perfect sampling techniques, from the early coupling from the past to the monotonous versions, to the coalescence principles, with applications to spatial processes, to the variations on nested sampling and their use in doubly intractable distributions, with forays into the (fabulous) Bernoulli factory problem (a surprise for me, as Bernoulli factories are connected with unbiasedness, not stationarity! Even though my only fieldwork [with Randal Douc] in such factories was addressing a way to turn MCMC into importance sampling. The key is in the notion of approximate densities, introduced in Section 2.6.). The book is quite thorough with the probabilistic foundations of the different principles, with even “a [tiny weeny] little bit of measure theory.

Any imperfection?! Rather, only a (short too short!) reflection on the limitations of perfect sampling, namely that it cannot cover the simulation of posterior distributions in the Bayesian processing of most statistical models. Which makes the quote

“Distributions where the label of a node only depends on immediate neighbors, and where there is a chance of being able to ignore the neighbors are the most easily handled by perfect simulation protocols (…) Statistical models in particular tend to fall into this category, as they often do not wish to restrict the outcome too severely, instead giving the data a chance to show where the model is incomplete or incorrect.” (p.223)

just surprising, given the very small percentage of statistical models which can be handled by perfect sampling. And the downsizing of perfect sampling related papers in the early 2000’s. Which also makes the final and short section on the future of perfect sampling somewhat restricted in its scope.

So, great indeed!, a close to perfect entry to a decade of work on perfect sampling. If you have not heard of the concept before, consider yourself lucky to be offered such a gentle guidance into it. If you have dabbled with perfect sampling before, reading the book will be like meeting old friends and hearing about their latest deeds. More formally, Mark Huber’s book should bring you a new perspective on the topic. (As for me, I had never thought of connecting perfect sampling with accept reject algorithms.)