BIRS call for Oaxaca

Here is a call for support from Nassim Goussoub, Scientific Director of BIRS:I would  like to call upon you to consider aiding the people of the State of Oaxaca. As you may know, through their support for BIRS-CMO, the people of Oaxaca have welcomed the World’s mathematical sciences community with open arms. With the plans to build a permanent facility under way, they are destined to be our hosts for years to come. I therefore ask you to contribute — if you can. Here are some of the foundations accepting donations.

1. Francisco Toledo’s Foundation, IAGO (Instituto Artes Gráficas de Oaxaca) https://www.paypal.me/donativoistmo

2. International Community Foundation(ICF) https://donate.icfdn.org/npo/international-disaster-relief-fund

3. Global Giving https://www.globalgiving.org/projects/mexico-earthquake-and-hurricane-relief-fund/

4. Red Cross Mexico https://www.cruzrojamexicana.org.mx 6. Unicef Mexico https://www.unicef.org/mexico/spanish/

efficient acquisition rules for ABC

A few weeks ago, Marko Järvenpää, Michael Gutmann, Aki Vehtari and Pekka Marttinen arXived a paper on sampling design for ABC that reminded me of presentations Michael gave at NIPS 2014 and in Banff last February. The main notion is that, when the simulation from the model is hugely expensive, random sampling does not make sense.

“While probabilistic modelling has been used to accelerate ABC inference, and strategies have been proposed for selecting which parameter to simulate next, little work has focused on trying to quantify the amount of uncertainty in the estimator of the ABC posterior density itself.”

The above question  is obviously interesting, if already considered in the literature for it seems to focus on the Monte Carlo error in ABC, addressed for instance in Fearnhead and Prangle (2012), Li and Fearnhead (2016) and our paper with David Frazier, Gael Martin, and Judith Rousseau. With corresponding conditions on the tolerance and the number of simulations to relegate Monte Carlo error to a secondary level. And the additional remark that the (error free) ABC distribution itself is not the ultimate quantity of interest. Or the equivalent (?) one that ABC is actually an exact Bayesian method on a completed space.

The paper initially confused me for a section on the very general formulation of ABC posterior approximation and error in this approximation. And simulation design for minimising this error. It confused me as it sounded too vague but only for a while as the remaining sections appear to be independent. The operational concept of the paper is to assume that the discrepancy between observed and simulated data, when perceived as a random function of the parameter θ, is a Gaussian process [over the parameter space]. This modelling allows for a prediction of the discrepancy at a new value of θ, which can be chosen as maximising the variance of the likelihood approximation. Or more precisely of the acceptance probability. While the authors report improved estimation of the exact posterior, I find no intuition as to why this should be the case when focussing on the discrepancy, especially because small discrepancies are associated with parameters approximately generated from the posterior.

Rundlestone Session

Mnt Rundle [jatp]

machine learning-based approach to likelihood-free inference

At ABC’ory last week, Kyle Cranmer gave an extended talk on estimating the likelihood ratio by classification tools. Connected with a 2015 arXival. The idea is that the likelihood ratio is invariant by a transform s(.) that is monotonic with the likelihood ratio itself. It took me a few minutes (after the talk) to understand what this meant. Because it is a transform that actually depends on the parameter values in the denominator and the numerator of the ratio. For instance the ratio itself is a proper transform in the sense that the likelihood ratio based on the distribution of the likelihood ratio under both parameter values is the same as the original likelihood ratio. Or the (naïve Bayes) probability version of the likelihood ratio. Which reminds me of the invariance in Fearnhead and Prangle (2012) of the Bayes estimate given x and of the Bayes estimate given the Bayes estimate. I also feel there is a connection with Geyer’s logistic regression estimate of normalising constants mentioned several times on the ‘Og. (The paper mentions in the conclusion the connection with this problem.)

Now, back to the paper (which I read the night after the talk to get a global perspective on the approach), the ratio is of course unknown and the implementation therein is to estimate it by a classification method. Estimating thus the probability for a given x to be from one versus the other distribution. Once this estimate is produced, its distributions under both values of the parameter can be estimated by density estimation, hence an estimated likelihood ratio be produced. With better prospects since this is a one-dimensional quantity. An objection to this derivation is that it intrinsically depends on the pair of parameters θ¹ and θ² used therein. Changing to another pair requires a new ratio, new simulations, and new density estimations. When moving to a continuous collection of parameter values, in a classical setting, the likelihood ratio involves two maxima, which can be formally represented in (3.3) as a maximum over a likelihood ratio based on the estimated densities of likelihood ratios, except that each evaluation of this ratio seems to require another simulation. (Which makes the comparison with ABC more complex than presented in the paper [p.18], since ABC major computational hurdle lies in the production of the reference table and to a lesser degree of the local regression, both items that can be recycled for any new dataset.) A smoothing step is then to include the pair of parameters θ¹ and θ² as further inputs of the classifier.  There still remains the computational burden of simulating enough values of s(x) towards estimating its density for every new value of θ¹ and θ². And while the projection from x to s(x) does effectively reduce the dimension of the problem to one, the method still aims at estimating with some degree of precision the density of x, so cannot escape the curse of dimensionality. The sleight of hand resides in the classification step, since it is equivalent to estimating the likelihood ratio. I thus fail to understand how and why a poor classifier can then lead to a good approximations of the likelihood ratio “obtained by calibrating s(x)” (p.16). Where calibrating means estimating the density.

the curious incident of the goose in the picture [17w5036]

Mt. Rundle