## Gibbs clashes with importance sampling

Posted in pictures, Statistics with tags , , , , , on April 11, 2019 by xi'an

In an X validated question, an interesting proposal was made: at each (component-wise) step of a Gibbs sampler, replace simulation from the exact full conditional with simulation from an alternate density and weight the resulting simulation with a term made of a product of (a) the previous weight (b) the ratio of the true conditional over the substitute for the new value and (c) the inverse ratio for the earlier value of the same component. Which does not work for several reasons:

1. the reweighting is doomed by its very propagation in that it keeps multiplying ratios of expectation one, which means an almost sure chance of degenerating;
2. the weights are computed for a previous value that has not been generated from the same proposal and is anyway already properly weighted;
3. due to the change in dimension produced by Gibbs, the actual target is the full conditional, which involves an intractable normalising constant;
4. there is no guarantee for the weights to have finite variance, esp. when the proposal has thinner tails than the target.

as can be readily checked by a quick simulation experiment. The funny thing is that a proper importance weight can be constructed when envisioning  the sequence of Gibbs steps as a Metropolis proposal (in the dimension of the target).

## automatic adaptation of MCMC algorithms

Posted in pictures, Statistics with tags , , , , , , , on March 4, 2019 by xi'an

“A typical adaptive MCMC sampler will approximately optimize performance given the kind of sampler chosen in the first place, but it will not optimize among the variety of samplers that could have been chosen.”

Last February (2018), Dao Nguyen and five co-authors arXived a paper that I missed. On a new version of adaptive MCMC that aims at selecting a wider range of proposal kernels. Still requiring a by-hand selection of this collection of kernels… Among the points addressed, beyond the theoretical guarantees that the adaptive scheme does not jeopardize convergence to the proper target, are a meta-exploration of the set of combinations of samplers and integration of the computational speed in the assessment of each sampler. Including the very difficulty of assessing mixing. One could deem the index of the proposal as an extra (cyber-)parameter to its generic parameter (like the scale in the random walk), but the discreteness of this index makes the extension more delicate than expected. And justifies the distinction between internal and external parameters. The notion of a worst-mixing dimension is quite appealing and connects with the long-term hope that one could spend the maximum fraction of the sampler runtime over the directions that are poorly mixing, while still keeping the target as should be. The adaptive scheme is illustrated on several realistic models with rather convincing gains in efficiency and time.

The convergence tools are inspired from Roberts and Rosenthal (2007), with an assumption of uniform ergodicity over all kernels considered therein which is both strong and delicate to assess in practical settings. Efficiency is rather unfortunately defined in terms of effective sample size, which is a measure of correlation or lack thereof, but which does not relate to the speed of escape from the basin of attraction of the starting point. I also wonder at the pertinence of the estimation of the effective sample size when the chain is based on different successive kernels, since the lack of correlation may be due to another kernel. Another calibration issue is the internal clock that relates to the average number of iterations required to tune properly a specific kernel, which again may be difficult to assess in a realistic situation. A last query is whether or not this scheme could be compared with an asynchronous (and valid) MCMC approach that exploits parallel capacities of the computer.

## Le Monde puzzle [#1087]

Posted in Books, Kids, R, Statistics with tags , , , , , on February 25, 2019 by xi'an

A board-like Le Monde mathematical puzzle in the digit category:

Given a (k,m) binary matrix, what is the maximum number S of entries with only one neighbour equal to one? Solve for k=m=2,…,13, and k=6,m=8.

For instance, for k=m=2, the matrix

$\begin{matrix} 0 &0\\ 1 &1\\ \end{matrix}$

is producing the maximal number 4. I first attempted a brute force random filling of these matrices with only a few steps of explorations and got the numbers 4,8,16,34,44,57,… for the first cases. Since I was convinced that the square k² of a number k previously exhibited to reach its maximum as S=k² was again perfect in this regard, I then tried another approach based on Gibbs sampling and annealing (what else?):

gibzit=function(k,m,A=1e2,N=1e2){
temp=1 #temperature
board=sole=matrix(sample(c(0,1),(k+2)*(m+2),rep=TRUE),k+2,m+2)
board[1,]=board[k+2,]=board[,1]=board[,m+2]=0 #boundaries
maxol=counter(board,k,m) #how many one-neighbours?
for (t in 1:A){#annealing
for (r in 1:N){#basic gibbs steps
for (i in 2:(k+1))
for (j in 2:(m+1)){
prop=board
prop[i,j]=1-board[i,j]
u=runif(1)
if (log(u/(1-u))<temp*(counter(prop,k,m)-val)){
board=prop;val=counter(prop,k,m)
if (val>maxol){
maxol=val;sole=board}}
}}
temp=temp*2}
return(sole[-c(1,k+2),-c(1,m+2)])}


which leads systematically to the optimal solution, namely a perfect square k² when k is even and a perfect but one k²-1 when k is odd. When k=6, m=8, all entries can afford one neighbour exactly,

> gibzbbgiz(6,8)
[1] 48
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
[1,]    1    0    0    1    1    0    0    1
[2,]    1    0    0    0    0    0    0    1
[3,]    0    0    1    0    0    1    0    0
[4,]    0    0    1    0    0    1    0    0
[5,]    1    0    0    0    0    0    0    1
[6,]    1    0    0    1    1    0    0    1


but this does not seem feasible when k=6, m=7, which only achieves 40 entries with one single neighbour.

## Computational Bayesian Statistics [book review]

Posted in Books, Statistics with tags , , , , , , , , , , , , , , , , , , , , , , , , , , , , on February 1, 2019 by xi'an

This Cambridge University Press book by M. Antónia Amaral Turkman, Carlos Daniel Paulino, and Peter Müller is an enlarged translation of a set of lecture notes in Portuguese. (Warning: I have known Peter Müller from his PhD years in Purdue University and cannot pretend to perfect objectivity. For one thing, Peter once brought me frozen-solid beer: revenge can also be served cold!) Which reminds me of my 1994 French edition of Méthodes de Monte Carlo par chaînes de Markov, considerably upgraded into Monte Carlo Statistical Methods (1998) thanks to the input of George Casella. (Re-warning: As an author of books on the same topic(s), I can even less pretend to objectivity.)

“The “great idea” behind the development of computational Bayesian statistics is the recognition that Bayesian inference can be implemented by way of simulation from the posterior distribution.”

The book is written from a strong, almost militant, subjective Bayesian perspective (as, e.g., when half-Bayesians are mentioned!). Subjective (and militant) as in Dennis Lindley‘s writings, eminently quoted therein. As well as in Tony O’Hagan‘s. Arguing that the sole notion of a Bayesian estimator is the entire posterior distribution. Unless one brings in a loss function. The book also discusses the Bayes factor in a critical manner, which is fine from my perspective.  (Although the ban on improper priors makes its appearance in a very indirect way at the end of the last exercise of the first chapter.)

Somewhat at odds with the subjectivist stance of the previous chapter, the chapter on prior construction only considers non-informative and conjugate priors. Which, while understandable in an introductory book, is a wee bit disappointing. (When mentioning Jeffreys’ prior in multidimensional settings, the authors allude to using univariate Jeffreys’ rules for the marginal prior distributions, which is not a well-defined concept or else Bernardo’s and Berger’s reference priors would not have been considered.) The chapter also mentions the likelihood principle at the end of the last exercise, without a mention of the debate about its derivation by Birnbaum. Or Deborah Mayo’s recent reassessment of the strong likelihood principle. The following chapter is a sequence of illustrations in classical exponential family models, classical in that it is found in many Bayesian textbooks. (Except for the Poison model found in Exercise 3.3!)

Nothing to complain (!) about the introduction of Monte Carlo methods in the next chapter, especially about the notion of inference by Monte Carlo methods. And the illustration by Bayesian design. The chapter also introduces Rao-Blackwellisation [prior to introducing Gibbs sampling!]. And the simplest form of bridge sampling. (Resuscitating the weighted bootstrap of Gelfand and Smith (1990) may not be particularly urgent for an introduction to the topic.) There is furthermore a section on sequential Monte Carlo, including the Kalman filter and particle filters, in the spirit of Pitt and Shephard (1999). This chapter is thus rather ambitious in the amount of material covered with a mere 25 pages. Consensus Monte Carlo is even mentioned in the exercise section.

“This and other aspects that could be criticized should not prevent one from using this [Bayes factor] method in some contexts, with due caution.”

Chapter 5 turns back to inference with model assessment. Using Bayesian p-values for model assessment. (With an harmonic mean spotted in Example 5.1!, with no warning about the risks, except later in 5.3.2.) And model comparison. Presenting the whole collection of xIC information criteria. from AIC to WAIC, including a criticism of DIC. The chapter feels somewhat inconclusive but methinks this is the right feeling on the current state of the methodology for running inference about the model itself.

“Hint: There is a very easy answer.”

Chapter 6 is also a mostly standard introduction to Metropolis-Hastings algorithms and the Gibbs sampler. (The argument given later of a Metropolis-Hastings algorithm with acceptance probability one does not work.) The Gibbs section also mentions demarginalization as a [latent or auxiliary variable] way to simulate from complex distributions [as we do], but without defining the notion. It also references the precursor paper of Tanner and Wong (1987). The chapter further covers slice sampling and Hamiltonian Monte Carlo, the later with sufficient details to lead to reproducible implementations. Followed by another standard section on convergence assessment, returning to the 1990’s feud of single versus multiple chain(s). The exercise section gets much larger than in earlier chapters with several pages dedicated to most problems. Including one on ABC, maybe not very helpful in this context!

“…dimension padding (…) is essentially all that is to be said about the reversible jump. The rest are details.”

The next chapter is (somewhat logically) the follow-up for trans-dimensional problems and marginal likelihood approximations. Including Chib’s (1995) method [with no warning about potential biases], the spike & slab approach of George and McCulloch (1993) that I remember reading in a café at the University of Wyoming!, the somewhat antiquated MC³ of Madigan and York (1995). And then the much more recent array of Bayesian lasso techniques. The trans-dimensional issues are covered by the pseudo-priors of Carlin and Chib (1995) and the reversible jump MCMC approach of Green (1995), the later being much more widely employed in the literature, albeit difficult to tune [and even to comprehensively describe, as shown by the algorithmic representation in the book] and only recommended for a large number of models under comparison. Once again the exercise section is most detailed, with recent entries like the EM-like variable selection algorithm of Ročková and George (2014).

The book also includes a chapter on analytical approximations, which is also the case in ours [with George Casella] despite my reluctance to bring them next to exact (simulation) methods. The central object is the INLA methodology of Rue et al. (2009) [absent from our book for obvious calendar reasons, although Laplace and saddlepoint approximations are found there as well]. With a reasonable amount of details, although stopping short of implementable reproducibility. Variational Bayes also makes an appearance, mostly following the very recent Blei et al. (2017).

The gem and originality of the book are primarily to be found in the final and ninth chapter where four software are described, all with interfaces to R: OpenBUGS, JAGS, BayesX, and Stan, plus R-INLA which is processed in the second half of the chapter (because this is not a simulation method). As in the remainder of the book, the illustrations are related to medical applications. Worth mentioning is the reminder that BUGS came in parallel with Gelfand and Smith (1990) Gibbs sampler rather than as a consequence. Even though the formalisation of the Markov chain Monte Carlo principle by the later helped in boosting the power of this software. (I also appreciated the mention made of Sylvia Richardson’s role in this story.) Since every software is illustrated in depth with relevant code and output, and even with the shortest possible description of its principle and modus vivendi, the chapter is 60 pages long [and missing a comparative conclusion]. Given my total ignorance of the very existence of the BayesX software, I am wondering at the relevance of its inclusion in this description rather than, say, other general R packages developed by authors of books such as Peter Rossi. The chapter also includes a description of CODA, with an R version developed by Martin Plummer [now a Warwick colleague].

In conclusion, this is a high-quality and all-inclusive introduction to Bayesian statistics and its computational aspects. By comparison, I find it much more ambitious and informative than Albert’s. If somehow less pedagogical than the thicker book of Richard McElreath. (The repeated references to Paulino et al.  (2018) in the text do not strike me as particularly useful given that this other book is written in Portuguese. Unless an English translation is in preparation.)

Disclaimer: this book was sent to me by CUP for endorsement and here is what I wrote in reply for a back-cover entry:

An introduction to computational Bayesian statistics cooked to perfection, with the right mix of ingredients, from the spirited defense of the Bayesian approach, to the description of the tools of the Bayesian trade, to a definitely broad and very much up-to-date presentation of Monte Carlo and Laplace approximation methods, to an helpful description of the most common software. And spiced up with critical perspectives on some common practices and an healthy focus on model assessment and model selection. Highly recommended on the menu of Bayesian textbooks!

And this review is likely to appear in CHANCE, in my book reviews column.

## a book and two chapters on mixtures

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , on January 8, 2019 by xi'an

The Handbook of Mixture Analysis is now out! After a few years of planning, contacts, meetings, discussions about notations, interactions with authors, further interactions with late authors, repeating editing towards homogenisation, and a final professional edit last summer, this collection of nineteen chapters involved thirty-five contributors. I am grateful to all participants to this piece of work, especially to Sylvia Früwirth-Schnatter for being a driving force in the project and for achieving a much higher degree of homogeneity in the book than I expected. I would also like to thank Rob Calver and Lara Spieker of CRC Press for their boundless patience through the many missed deadlines and their overall support.

Two chapters which I co-authored are now available as arXived documents:

along other chapters

## approximate likelihood perspective on ABC

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , , on December 20, 2018 by xi'an

George Karabatsos and Fabrizio Leisen have recently published in Statistics Surveys a fairly complete survey on ABC methods [which earlier arXival I had missed]. Listing within an extensive bibliography of 20 pages some twenty-plus earlier reviews on ABC (with further ones in applied domains)!

“(…) any ABC method (algorithm) can be categorized as either (1) rejection-, (2) kernel-, and (3) coupled ABC; and (4) synthetic-, (5) empirical- and (6) bootstrap-likelihood methods; and can be combined with classical MC or VI algorithms [and] all 22 reviews of ABC methods have covered rejection and kernel ABC methods, but only three covered synthetic likelihood, one reviewed the empirical likelihood, and none have reviewed coupled ABC and bootstrap likelihood methods.”

The motivation for using approximate likelihood methods is provided by the examples of g-and-k distributions, although the likelihood can be efficiently derived by numerical means, as shown by Pierre Jacob‘s winference package, of mixed effect linear models, although a completion by the mixed effects themselves is available for Gibbs sampling as in Zeger and Karim (1991), and of the hidden Potts model, which we covered by pre-processing in our 2015 paper with Matt Moores, Chris Drovandi, Kerrie Mengersen. The paper produces a general representation of the approximate likelihood that covers the algorithms listed above as through the table below (where t(.) denotes the summary statistic):

The table looks a wee bit challenging simply because the review includes the synthetic likelihood approach of Wood (2010), which figured preeminently in the 2012 Read Paper discussion but opens the door to all kinds of approximations of the likelihood function, including variational Bayes and non-parametric versions. After a description of the above versions (including a rather ignored coupled version) and the special issue of ABC model choice,  the authors expand on the difficulties with running ABC, from multiple tuning issues, to the genuine curse of dimensionality in the parameter (with unnecessary remarks on low-dimension sufficient statistics since they are almost surely inexistent in most realistic settings), to the mis-specified case (on which we are currently working with David Frazier and Judith Rousseau). To conclude, an worthwhile update on ABC and on the side a funny typo from the reference list!

Li, W. and Fearnhead, P. (2018, in press). On the asymptotic efficiency
of approximate Bayesian computation estimators. Biometrika na na-na.

## Gibbs for incompatible kids

Posted in Books, Statistics, University life with tags , , , , , , , , , , on September 27, 2018 by xi'an

In continuation of my earlier post on Bayesian GANs, which resort to strongly incompatible conditionals, I read a 2015 paper of Chen and Ip that I had missed. (Published in the Journal of Statistical Computation and Simulation which I first confused with JCGS and which I do not know at all. Actually, when looking at its editorial board,  I recognised only one name.) But the study therein is quite disappointing and not helping as it considers Markov chains on finite state spaces, meaning that the transition distributions are matrices, meaning also that convergence is ensured if these matrices have no null probability term. And while the paper is motivated by realistic situations where incompatible conditionals can reasonably appear, the paper only produces illustrations on two and three states Markov chains. Not that helpful, in the end… The game is still afoot!