Archive for Gibbs sampler

invertible flow non equilibrium sampling (InFiNE)

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , on May 21, 2021 by xi'an

With Achille Thin and a few other coauthors [and friends], we just arXived a paper on a new form of importance sampling, motivated by a recent paper of Rotskoff and Vanden-Eijnden (2019) on non-equilibrium importance sampling. The central ideas of this earlier paper are the introduction of conformal Hamiltonian dynamics, where a dissipative term is added to the ODE found in HMC, namely

\dfrac{\text d p_t}{\text dt}=-\dfrac{\partial}{\partial q}H(q_t,p_t)-\gamma p_t=-\nabla U(q_t)-\gamma p_t

which means that all orbits converge to fixed points that satisfy ∇U(q) = 0 as the energy eventually vanishes. And the property that, were T be a conformal Hamiltonian integrator associated with H, i.e. perserving the invariant measure, averaging over orbits of T would improve the precision of Monte Carlo unbiased estimators, while remaining unbiased. The fact that Rotskoff and Vanden-Eijnden (2019) considered only continuous time makes their proposal hard to implement without adding approximation error, while our approach is directly set in discrete-time and preserves unbiasedness. And since measure preserving transforms are too difficult to come by, a change of variable correction, as in normalising flows, allows for an arbitrary choice of T, while keeping the estimator unbiased. The use of conformal maps makes for a natural choice of T in this context.

The resulting InFiNE algorithm is an MCMC particular algorithm which can be represented as a  partially collapsed Gibbs sampler when using the right auxiliary variables. As in Andrieu, Doucet and Hollenstein (2010) and their ISIR algorithm. The algorithm can be used for estimating normalising constants, comparing favourably with AIS, sampling from complex targets, and optimising variational autoencoders and their ELBO.

I really appreciated working on this project, with links to earlier notions like multiple importance sampling à la Owen and Zhou (2000), nested sampling, non-homogeneous normalising flows, measure estimation à la Kong et al. (2002), on which I worked in a more or less distant past.

coupling, donkeys, coins & fish meet in Paris

Posted in Statistics with tags , , , , , , , , , , , , , , , , , , , , , , on March 22, 2021 by xi'an

away from CIRM

Posted in Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , on November 5, 2020 by xi'an

Due to the new lockdown measures enforced in France and in particular in Marseilles, the CIRM workshop on QMC and randomness has turned virtual, and I will thus give my talk on Coordinate sampler : A non-reversible Gibbs-like sampler from Paris. Rather than from the Luminy campus after an early morning run to the top of Mont Puget as we used to do on the previous workshop there. With versions of PDMP running on QMC (which makes sense when considering the deterministic component of the sampler).

deduplication and population size estimation [discussion]

Posted in Books, Statistics with tags , , , , , , on April 23, 2020 by xi'an

[Here is my discussion on the paper “A Unified Framework for De-Duplication and Population Size Estimation” by [my friends] Andrea Tancredi, Rebecca Steorts, and Brunero Liseo, to appear on the June 2020 issue of Bayesian Analysis. The deadline is 24 April. Discussions are to be submitted to BA as regular submissions.]

Congratulations to the authors, for this paper that expand the modelling of populations investigated by faulty surveys, a poor quality feature that applies to extreme cases like Syria casualties. And possibly COVID-19 victims.

The model considered in this paper, as given by (2.1), is a latent variable model which appears as hyper-parameterised in the sense it involves a large number of parameters and latent variables. First, this means it is essentially intractable outside a Bayesian resolution. Second, within the Bayesian perspective, it calls for identifiability and consistency questions, namely which fraction of the unknown entities is identifiable and which fraction can be consistently estimated, eventually severing the dependence on the prior modelling. Personal experiences with capture-recapture models on social data like drug addict populations showed me that prior choices often significantly drive posterior inference on the population size. Here, it seems that the generative distortion mechanism between registry of individuals and actual records is paramount.

“We now investigate an alternative aspect of the uniform prior distribution of λ given N.”

Since the practical application stressed in the title, namely some of civil casualties in Syria, interrogations take a more topical flavour as one wonders at the connection between the model and the actual data, between the prior modelling and the available prior information. It is however not the strategy adopted in the paper, which instead proposes a generic prior modelling that could be deemed to be non-informative. I find the property that conditioning on the list sizes eliminates the capture probabilities and the duplication rates quite amazing, reminding me indeed of similar properties for conjugate mixtures, although we found the property hard to exploit from a computational viewpoint. And that the hit-miss model provides computationally tractable marginal distributions for the cluster observations.

“Several records of the VDC data set represent unidentified victims and report only the date of death or do not have the first name and report only the relationship with the head of the family.”

This non-informative choice is however quite informative in the misreporting mechanism and does not address the issue that it presumably is misspecified. It indeed makes the assumption that individual label and type of record are jointly enough to explain the probability of misreporting the exact record. In practical cases, it seems more realistic that the probability to appear in a list depends on the characteristics of an individual, hence far from being uniform as well as independent from one list to the next. The same applies to the probability of being misreported. The alternative to the uniform allocation of individuals to lists found in (3.3) remains neutral to the reasons why (some) individuals are missing from (some) lists. No informative input is indeed made here on how duplicates could appear or on how errors are made in registering individuals. Furthermore, given the high variability observed in inferring the number of actual deaths covered by the collection of the two lists, it would have been of interest to include a model comparison assessment, especially when contemplating the clash between the four posteriors in Figure 4.

The implementation of a manageable Gibbs sampler in such a convoluted model is quite impressive and one would welcome further comments from the authors on its convergence properties, since it is facing a large dimensional space. Are there theoretical or numerical irreducibility issues for instance, created by the discrete nature of some latent variables as in mixture models?

coordinate sampler on-line

Posted in Statistics with tags , , , , , , on March 13, 2020 by xi'an