Archive for convergence

ABC’ory in Banff [17w5025]

Posted in Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , , on February 21, 2017 by xi'an

The TransCanada Pipeline pavilion, with Cascade Mountain (?), Banff, March 20, 2012The ABC workshop I co-organised has now started and, despite a few last minutes cancellations, we have gathered a great crowd of researchers on the validation and expansion of ABC methods. Or ABC’ory to keep up with my naming of workshops. The videos of the talks should come up progressively on the BIRS webpage. When I did not forget to launch the recording. The program is quite open and with this size of workshop allows for talks and discussions to last longer than planned: the first days contain several expository talks on ABC convergence, auxiliary or synthetic models, summary constructions, challenging applications, dynamic models, and model assessment. Plus prepared discussions on those topics that hopefully involve several workshop participants. We had also set some time for snap-talks, to induce everyone to give a quick presentation of one’s on-going research and open problems. The first day was rather full but saw a lot of interactions and discussions during and around the talks, a mood I hope will last till Friday! Today in replacement of Richard Everitt who alas got sick just before the workshop, we are conducting a discussion on dimensional issues, part of which is made of parts of the following slides (mostly recycled from earlier talks, including the mini-course in Les Diablerets):

asymptotic properties of Approximate Bayesian Computation

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , on July 26, 2016 by xi'an

Street light near the St Kilda Road bridge, Melbourne, July 21, 2012With David Frazier and Gael Martin from Monash University, and with Judith Rousseau (Paris-Dauphine), we have now completed and arXived a paper entitled Asymptotic Properties of Approximate Bayesian Computation. This paper undertakes a fairly complete study of the large sample properties of ABC under weak regularity conditions. We produce therein sufficient conditions for posterior concentration, asymptotic normality of the ABC posterior estimate, and asymptotic normality of the ABC posterior mean. Moreover, those (theoretical) results are of significant import for practitioners of ABC as they pertain to the choice of tolerance ε used within ABC for selecting parameter draws. In particular, they [the results] contradict the conventional ABC wisdom that this tolerance should always be taken as small as the computing budget allows.

Now, this paper bears some similarities with our earlier paper on the consistency of ABC, written with David and Gael. As it happens, the paper was rejected after submission and I then discussed it in an internal seminar in Paris-Dauphine, with Judith taking part in the discussion and quickly suggesting some alternative approach that is now central to the current paper. The previous version analysed Bayesian consistency of ABC under specific uniformity conditions on the summary statistics used within ABC. But conditions for consistency are now much weaker conditions than earlier, thanks to Judith’s input!

There are also similarities with Li and Fearnhead (2015). Previously discussed here. However, while similar in spirit, the results contained in the two papers strongly differ on several fronts:

  1. Li and Fearnhead (2015) considers an ABC algorithm based on kernel smoothing, whereas our interest is the original ABC accept-reject and its many derivatives
  2. our theoretical approach permits a complete study of the asymptotic properties of ABC, posterior concentration, asymptotic normality of ABC posteriors, and asymptotic normality of the ABC posterior mean, whereas Li and Fearnhead (2015) is only concerned with asymptotic normality of the ABC posterior mean estimator (and various related point estimators);
  3. the results of Li and Fearnhead (2015) are derived under very strict uniformity and continuity/differentiability conditions, which bear a strong resemblance to those conditions in Yuan and Clark (2004) and Creel et al. (2015), while the result herein do not rely on such conditions and only assume very weak regularity conditions on the summaries statistics themselves; this difference allows us to characterise the behaviour of ABC in situations not covered by the approach taken in Li and Fearnhead (2015);

Bayesian Indirect Inference and the ABC of GMM

Posted in Books, Statistics, University life with tags , , , , , , , , , , on February 17, 2016 by xi'an

“The practicality of estimation of a complex model using ABC is illustrated by the fact that we have been able to perform 2000 Monte Carlo replications of estimation of this simple DSGE model, using a single 32 core computer, in less than 72 hours.” (p.15)

Earlier this week, Michael Creel and his coauthors arXived a long paper with the above title, where ABC relates to approximate Bayesian computation. In short, this paper provides deeper theoretical foundations for the local regression post-processing of Mark Beaumont and his coauthors (2002). And some natural extensions. But apparently considering one univariate transform η(θ) of interest at a time. The theoretical validation of the method is that the resulting estimators converge at speed √n under some regularity assumptions. Including the identifiability of the parameter θ in the mean of the summary statistics T, which relates to our consistency result for ABC model choice. And a CLT on an available (?) preliminary estimator of η(θ).

The paper also includes a GMM version of ABC which appeal is less clear to me as it seems to rely on a preliminary estimator of the univariate transform of interest η(θ). Which is then randomized by a normal random walk. While this sounds a wee bit like noisy ABC, it differs from this generic approach as the model is not assumed to be known, but rather available through an asymptotic Gaussian approximation. (When the preliminary estimator is available in closed form, I do not see the appeal of adding this superfluous noise. When it is unavailable, it is unclear why a normal perturbation can be produced.)

“[In] the method we study, the estimator is consistent, asymptotically normal, and asymptotically as efficient as a limited information maximum likelihood estimator. It does not require either optimization, or MCMC, or the complex evaluation of the likelihood function.” (p.3)

Overall, I have trouble relating the paper to (my?) regular ABC in that the outcome of the supported procedures is an estimator rather than a posterior distribution. Those estimators are demonstrably endowed with convergence properties, including quantile estimates that can be exploited for credible intervals, but this does not produce a posterior distribution in the classical Bayesian sense. For instance, how can one run model comparison in this framework? Furthermore, each of those inferential steps requires solving another possibly costly optimisation problem.

“Posterior quantiles can also be used to form valid confidence intervals under correct model specification.” (p.4)

Nitpicking(ly), this statement is not correct in that posterior quantiles produce valid credible intervals and only asymptotically correct confidence intervals!

“A remedy is to choose the prior π(θ) iteratively or adaptively as functions of initial estimates of θ, so that the “prior” becomes dependent on the data, which can be denoted as π(θ|T).” (p.6)

This modification of the basic ABC scheme relying on simulation from the prior π(θ) can be found in many earlier references and the iterative construction of a better fitted importance function rather closely resembles ABC-PMC. Once again nitpicking(ly), the importance weights are defined therein (p.6) as the inverse of what they should be.

aperiodic Gibbs sampler

Posted in Books, Kids, pictures, Statistics, Travel, University life with tags , , , , , , , on February 11, 2015 by xi'an

limboA question on Cross Validated led me to realise I had never truly considered the issue of periodic Gibbs samplers! In MCMC, non-aperiodic chains are a minor nuisance in that the skeleton trick of randomly subsampling the Markov chain leads to a aperiodic Markov chain. (The picture relates to the skeleton!)  Intuitively, while the systematic Gibbs sampler has a tendency to non-reversibility, it seems difficult to imagine a sequence of full conditionals that would force the chain away from the current value..!In the discrete case, given that the current state of the Markov chain has positive probability for the target distribution, the conditional probabilities are all positive as well and hence the Markov chain can stay at its current value after one Gibbs cycle, with positive probabilities, which means strong aperiodicity. In the continuous case, a similar argument applies by considering a neighbourhood of the current value. (Incidentally, the same person asked a question about the absolute continuity of the Gibbs kernel. Being confused by our chapter on the topic!!!)

label switching in Bayesian mixture models

Posted in Books, Statistics, University life with tags , , , , , , , , , , , on October 31, 2014 by xi'an

cover of Mixture Estimation and ApplicationsA referee of our paper on approximating evidence for mixture model with Jeong Eun Lee pointed out the recent paper by Carlos Rodríguez and Stephen Walker on label switching in Bayesian mixture models: deterministic relabelling strategies. Which appeared this year in JCGS and went beyond, below or above my radar.

Label switching is an issue with mixture estimation (and other latent variable models) because mixture models are ill-posed models where part of the parameter is not identifiable. Indeed, the density of a mixture being a sum of terms

\sum_{j=1}^k \omega_j f(y|\theta_i)

the parameter (vector) of the ω’s and of the θ’s is at best identifiable up to an arbitrary permutation of the components of the above sum. In other words, “component #1 of the mixture” is not a meaningful concept. And hence cannot be estimated.

This problem has been known for quite a while, much prior to EM and MCMC algorithms for mixtures, but it is only since mixtures have become truly estimable by Bayesian approaches that the debate has grown on this issue. In the very early days, Jean Diebolt and I proposed ordering the components in a unique way to give them a meaning. For instant, “component #1” would then be the component with the smallest mean or the smallest weight and so on… Later, in one of my favourite X papers, with Gilles Celeux and Merrilee Hurn, we exposed the convergence issues related with the non-identifiability of mixture models, namely that the posterior distributions were almost always multimodal, with a multiple of k! symmetric modes in the case of exchangeable priors, and therefore that Markov chains would have trouble to visit all those modes in a symmetric manner, despite the symmetry being guaranteed from the shape of the posterior. And we conclude with the slightly provocative statement that hardly any Markov chain inferring about mixture models had ever converged! In parallel, time-wise, Matthew Stephens had completed a thesis at Oxford on the same topic and proposed solutions for relabelling MCMC simulations in order to identify a single mode and hence produce meaningful estimators. Giving another meaning to the notion of “component #1”.

And then the topic began to attract more and more researchers, being both simple to describe and frustrating in its lack of definitive answer, both from simulation and inference perspectives. Rodriguez’s and Walker’s paper provides a survey on the label switching strategies in the Bayesian processing of mixtures, but its innovative part is in deriving a relabelling strategy. Which consists of finding the optimal permutation (at each iteration of the Markov chain) by minimising a loss function inspired from k-means clustering. Which is connected with both Stephens’ and our [JASA, 2000] loss functions. The performances of this new version are shown to be roughly comparable with those of other relabelling strategies, in the case of Gaussian mixtures. (Making me wonder if the choice of the loss function is not favourable to Gaussian mixtures.) And somehow faster than Stephens’ Kullback-Leibler loss approach.

“Hence, in an MCMC algorithm, the indices of the parameters can permute multiple times between iterations. As a result, we cannot identify the hidden groups that make [all] ergodic averages to estimate characteristics of the components useless.”

One section of the paper puzzles me, albeit it does not impact the methodology and the conclusions. In Section 2.1 (p.27), the authors consider the quantity

p(z_i=j|{\mathbf y})

which is the marginal probability of allocating observation i to cluster or component j. Under an exchangeable prior, this quantity is uniformly equal to 1/k for all observations i and all components j, by virtue of the invariance under permutation of the indices… So at best this can serve as a control variate. Later in Section 2.2 (p.28), the above sentence does signal a problem with those averages but it seem to attribute it to MCMC behaviour rather than to the invariance of the posterior (or to the non-identifiability of the components per se). At last, the paper mentions that “given the allocations, the likelihood is invariant under permutations of the parameters and the allocations” (p.28), which is not correct, since eqn. (8)

f(y_i|\theta_{\sigma(z_i)}) =f(y_i|\theta_{\tau(z_i)})

does not hold when the two permutations σ and τ give different images of zi

running MCMC for too long, and even longer…

Posted in Books, pictures, Running, Statistics, University life with tags , , , , , , , , , , , on October 23, 2013 by xi'an

Clifton observatory, Clifton, Sept. 24, 2012Following my earlier post about the young astronomer who feared he was running his MCMC for too long, here is an update from his visit to my office this morning.  This visit proved quite an instructive visit for both of us. (Disclaimer: the picture of an observatory seen from across Brunel’s suspension bridge in Bristol is as earlier completely unrelated with the young astronomer!)

First, the reason why he thought MCMC was running too long was that the acceptance rate was plummeting down to zero, whatever the random walk scale. The reason for this behaviour is that he was actually running a standard simulated annealing algorithm, hence observing the stabilisation of the Markov chain in one of the (global) modes of the target function. In that sense, he was right that the MCMC was run for “too long”, as there was nothing to expect once the mode had been reached and the temperature turned down to zero. So the algorithm was working correctly.

Second, the astronomy problem he considers had a rather complex likelihood, for which he substituted a distance between the (discretised) observed data and (discretised) simulated data, simulated conditional on the current parameter value. Now…does this ring a bell? If not, here is a three letter clue: ABC… Indeed, the trick he had found to get around this likelihood calculation issue was to re-invent a version of ABC-MCMC! Except that the distance was re-introduced into a regular MCMC scheme as a substitute to the log-likelihood. And compared with the distance at the previous MCMC iteration. This is quite clever, even though this substitution suffers from a normalisation issue (that I already mentioned in the post about Holmes’ and Walker’s idea to turn loss functions into pseudo likelihoods. Regular ABC does not encounter this difficult, obviously. I am still bemused by this reinvention of ABC from scratch!  

So we are now at a stage where my young friend will experiment with (hopefully) correct ABC steps, trying to derive the tolerance value from warmup simulations and use some of the accelerating tricks suggested by Umberto Picchini and Julie Forman to avoid simulating the characteristics of millions of stars for nothing. And we agreed to meet soon for an update. Indeed, a fairly profitable morning for both of us!

running MCMC for too long…

Posted in Books, pictures, Running, Statistics, University life with tags , , , , , , , , on October 20, 2013 by xi'an

Clifton observatory, Clifton, Sept. 24, 2012Here is an excerpt from an email I just received from a young astronomer with whom I have had many email exchanges about the nature and implementation of MCMC algorithms, not making my point apparently:

The acceptance ratio turn to be good if I used (imposed by me) smaller numbers of iterations. What I think I am doing wrong is the convergence criteria. I am not stopping when I should stop.

To which I replied he should come (or Skype) and talk with me as I cannot get into enough details to point out his analysis is wrong… It may be the case that the MCMC algorithm finds a first mode, explores its neighbourhood (hence a good acceptance rate and green signals for convergence), then wanders away, attracted by other modes. It may also be the case the code has mistakes. Anyway, you cannot stop a (basic) MCMC algorithm too late or let it run for too long! (Disclaimer: the picture of an observatory seen from across Brunel’s suspension bridge in Bristol is unrelated to the young astronomer!)