Archive for consensus Monte Carlo

deep and embarrassingly parallel MCMC

Posted in Books, pictures, Statistics with tags , , , , , , , on April 9, 2019 by xi'an

Diego Mesquita, Paul Blomstedt, and Samuel Kaski (from Helsinki, like the above picture) just arXived a paper on embarrassingly parallel MCMC. Following a series of papers discussed on this ‘og in the past. They use a deep learning approach of Dinh et al. (2017) to the computation of the probability density of a convoluted and non-volume-preserving transform of a given random variable to turn multiple samples from sub-posteriors [corresponding to the k k-th roots of the true posterior] into a sample from the true posterior. If I understand correctly the argument [on page 4], the deep neural network provides a density estimate that apparently does better than traditional non-parametric density estimates. Maybe by being more efficient than a Parzen-Rosenblat estimator which is of order the number of simulations… For any value of θ, the estimate of the true target is the product of these estimates and for a value of θ simulated from one of the subposteriors an importance weight naturally ensues. However, for a one-dimensional transform of θ, h(θ), I would prefer estimating first the density of h(θ) for each sample and then construct an importance weight. If only to avoid the curse of dimension.

On various benchmarks, like the banana-shaped 2D target above, the proposed method (NAP) does better. Even in relatively high dimensions. Given that the overall computing times are not produced, with only the calibration that the same number of subsamples were produced for all methods, it would be interesting to test the same performances on even higher dimensions and larger population sizes.

Monte Carlo fusion

Posted in Statistics with tags , , , , , , , , , on January 18, 2019 by xi'an

Hongsheng Dai, Murray Pollock (University of Warwick), and Gareth Roberts (University of Warwick) just arXived a paper we discussed together last year while I was at Warwick. Where fusion means bringing different parts of the target distribution

f(x)∝f¹(x)f²(x)…

together, once simulation from each part has been done. In the same spirit as in Scott et al. (2016) consensus Monte Carlo. Where for instance the components of the target cannot be computed simultaneously, either because of the size of the dataset, or because of privacy issues.The idea in this paper is to target an augmented density with the above marginal, using for each component of f, an auxiliary variable x¹,x²,…, and a target that is the product of the squared component, f¹(x¹)², f²(x²)², … by a transition density keeping f¹(.)²,f²(.)²,… invariant:

f^c(x^c)^2 p_c(y|x^c) / f_c(y)

as for instance the transition density of a Langevin diffusion. The marginal of

\prod_c f^c(x^c)^2 p_c(y|x^c) / f_c(y)

as a function of y is then the targeted original product. Simulating from this new extended target can be achieved by rejection sampling. (Any impact of the number of auxiliary variables on the convergence?) The practical implementation actually implies using the path-space rejection sampling methods in the Read Paper of Beskos et al. (2006). (An extreme case of the algorithm is actually an (exact) ABC version where the simulations x¹,x²,… from all components have to be identical and equal to y. The opposite extreme is the consensus Monte Carlo Algorithm, which explains why this algorithm is not an efficient solution.) An alternative is based on an Ornstein-Uhlenbeck bridge. While the paper remains at a theoretical level with toy examples, I heard from the same sources that applications to more realistic problems and implementation on parallel processors is under way.

likelihood inflating sampling algorithm

Posted in Books, Statistics, University life with tags , , , , , , , , on May 24, 2016 by xi'an

My friends from Toronto Radu Craiu and Jeff Rosenthal have arXived a paper along with Reihaneh Entezari on MCMC scaling for large datasets, in the spirit of Scott et al.’s (2013) consensus Monte Carlo. They devised an likelihood inflated algorithm that brings a novel perspective to the problem of large datasets. This question relates to earlier approaches like consensus Monte Carlo, but also kernel and Weierstrass subsampling, already discussed on this blog, as well as current research I am conducting with my PhD student Changye Wu. The approach by Entezari et al. is somewhat similar to consensus Monte Carlo and the other solutions in that they consider an inflated (i.e., one taken to the right power) likelihood based on a subsample, with the full sample being recovered by importance sampling. Somewhat unsurprisingly this approach leads to a less dispersed estimator than consensus Monte Carlo (Theorem 1). And the paper only draws a comparison with that sub-sampling method, rather than covering other approaches to the problem, maybe because this is the most natural connection, one approach being the k-th power of the other approach.

“…we will show that [importance sampling] is unnecessary in many instances…” (p.6)

An obvious question that stems from the approach is the call for importance sampling, since the numerator of the importance sampler involves the full likelihood which is unavailable in most instances when sub-sampled MCMC is required. I may have missed the part of the paper where the above statement is discussed, but the only realistic example discussed therein is the Bayesian regression tree (BART) of Chipman et al. (1998). Which indeed constitutes a challenging if one-dimensional example, but also one that requires delicate tuning that leads to cancelling importance weights but which may prove delicate to extrapolate to other models.

variational consensus Monte Carlo

Posted in Books, Statistics, University life with tags , , , , , , on July 2, 2015 by xi'an

“Unfortunately, the factorization does not make it immediately clear how to aggregate on the level of samples without first having to obtain an estimate of the densities themselves.” (p.2)

The recently arXived variational consensus Monte Carlo is a paper by Maxim Rabinovich, Elaine Angelino, and Michael Jordan that approaches the consensus Monte Carlo principle from a variational perspective. As in the embarrassingly parallel version,  the target is split into a product of K terms, each being interpreted as an unnormalised density and being fed to a different parallel processor. The most natural partition is to break the data into K subsamples and to raise the prior to the power 1/K in each term. While this decomposition makes sense from a storage perspective, since each bit corresponds to a different subsample of the data, it raises the question of the statistical pertinence of splitting the prior and my feelings about it are now more lukewarm than when I commented on the embarrassingly parallel version,  mainly for the reason that it is not reparameterisation invariant—getting different targets if one does the reparameterisation before or after the partition—and hence does not treat the prior as the reference measure it should be. I therefore prefer the version where the same original prior is attached to each part of the partitioned likelihood (and even more the random subsampling approaches discussed in the recent paper of Bardenet, Doucet, and Holmes). Another difficulty with the decomposition is that a product of densities is not a density in most cases (it may even be of infinite mass) and does not offer a natural path to the analysis of samples generated from each term in the product. Nor an explanation as to why those samples should be relevant to construct a sample for the original target.

“The performance of our algorithm depends critically on the choice of aggregation function family.” (p.5)

Since the variational Bayes approach is a common answer to complex products models, Rabinovich et al. explore the use of variational Bayes techniques to build the consensus distribution out of the separate samples. As in Scott et al., and Neiswanger et al., the simulation from the consensus distribution is a transform of simulations from each of the terms in the product, e.g., a weighted average. Which determines the consensus distribution as a member of an aggregation family defined loosely by a Dirac mass. When the transform is a sum of individual terms, variational Bayes solutions get much easier to find and the authors work under this restriction… In the empirical evaluation of this variational Bayes approach as opposed to the uniform and Gaussian averaging options in Scott et al., it improves upon those, except in a mixture example with a large enough common variance.

In fine, despite the relevance of variational Bayes to improve the consensus approximation, I still remain unconvinced about the use of the product of (pseudo-)densities and the subsequent mix of simulations from those components, for the reason mentioned above and also because the tail behaviour of those components is not related with the tail behaviour of the target. Still, this is a working solution to a real problem and as such is a reference for future works.