Archive for importance sampling

marginal likelihood with large amounts of missing data

Posted in Books, pictures, Statistics with tags , , , , , , , , on October 20, 2020 by xi'an

In 2018, Panayiota Touloupou, research fellow at Warwick, and her co-authors published a paper in Bayesian analysis that somehow escaped my radar, despite standing in my first circle of topics of interest! They construct an importance sampling approach to the approximation of the marginal likelihood, the importance function being approximated from a preliminary MCMC run, and consider the special case when the sampling density (i.e., the likelihood) can be represented as the marginal of a joint density. While this demarginalisation perspective is rather usual, the central point they make is that it is more efficient to estimate the sampling density based on the auxiliary or latent variables than to consider the joint posterior distribution of parameter and latent in the importance sampler. This induces a considerable reduction in dimension and hence explains (in part) why the approach should prove more efficient. Even though the approximation itself is costly, at about 5 seconds per marginal likelihood. But a nice feature of the paper is to include the above graph that includes both computing time and variability for different methods (the blue range corresponding to the marginal importance solution, the red range to RJMCMC and the green range to Chib’s estimate). Note that bridge sampling does not appear on the picture but returns a variability that is similar to the proposed methodology.

neural importance sampling

Posted in Books, Kids, pictures, Statistics, University life with tags , , , , , , , , , , on May 13, 2020 by xi'an

Dennis Prangle signaled this paper during his talk of last week, first of our ABC ‘minars now rechristened as The One World ABC Seminar to join the “One World xxx Seminar” franchise! The paper is written by Thomas Müller and co-authors, all from Disney research [hence the illustration], and we discussed it in our internal reading seminar at Dauphine. The authors propose to parameterise the importance sampling density via neural networks, just like Dennis is using auto-encoders. Starting with the goal of approximating

\mathfrak I=\int_{\mathfrak D} f(x)\text{d}x

(where they should assume f to be non-negative for the following), the authors aim at simulating from an approximation of f(x)/ℑ since this “ideal” pdf would give zero variance.

“Unfortunately, the above integral is often not solvable in closed form, necessitating its estimation with another Monte Carlo estimator.”

Among the discussed solutions, the Latent-Variable Model one is based on a pdf represented as a marginal. A mostly intractable integral, which the authors surprisingly seem to deem an issue as they do not mention the standard solution of simulating from the joint and using the conditional in the importance weight. (Or even more surprisingly and obviously wrongly see the latter as a biased approximation to the weight.)

“These “autoregressive flows” offer the desired exact evaluation of q(x;θ). Unfortunately, they generally only permit either efficient sample generation or efficient evaluation of q(x;θ), which makes them prohibitively expensive for our application to Mont Carlo integration.”

When presenting normalizing flows, namely the representation of the simulation output as the result of an invertible mapping of a standard (e.g., Gaussian or Uniform) random variable, x=h(u,θ), which can itself be decomposed into a composition of suchwise functions. And I am thus surprised this cannot be done in an efficient manner if transforms are well chosen…

“The key proposition of Dinh et al. (2014) is to focus on a specific class of mappings—referred to as coupling layers—that admit Jacobian matrices where determinants reduce to the product of diagonal terms.

Using a transform with a triangular Jacobian at each stage has the appeal of keeping the change of variable simple and allowing for non-linear transforms. Namely piecewise polynomials. When reading the one-blob (!) encoding , I am however uncertain the approach is more than the choice of a particular functional basis, as for instance wavelets (which may prove more costly to handle, granted!)

“Given that NICE scales well to high-dimensional problems…”

It is always unclear to me why almost every ML paper feels the urge to redefine & motivate the KL divergence. And to recall that it avoids bothering about the normalising constant. Looking at the variance of the MC estimator & seeking minimal values is praiseworthy, but only when the variance exists. What are the guarantees on the density estimate for this to happen? And where are the arguments for NICE scaling nicely to high dimensions? Interesting intrusion of path sampling, but is it of any use outside image analysis—I had forgotten Eric Veach’s original work was on light transport—?

nested sampling via SMC

Posted in Books, pictures, Statistics with tags , , , , , , , , , , , , on April 2, 2020 by xi'an

“We show that by implementing a special type of [sequential Monte Carlo] sampler that takes two im-portance sampling paths at each iteration, one obtains an analogous SMC method to [nested sampling] that resolves its main theoretical and practical issues.”

A paper by Queenslander Robert Salomone, Leah South, Chris Drovandi and Dirk Kroese that I had missed (and recovered by Grégoire after we discussed this possibility with our Master students). On using SMC in nested sampling. What are the difficulties mentioned in the above quote?

  1. Dependence between the simulated samples, since only the offending particle is moved by one or several MCMC steps. (And MultiNest is not a foolproof solution.)
  2. The error due to quadrature is hard to evaluate, with parallelised versions aggravating the error.
  3. There is a truncation error due to the stopping rule when the exact maximum of the likelihood function is unknown.

Not mentioning the Monte Carlo error, of course, which should remain at the √n level.

“Nested Sampling is a special type of adaptive SMC algorithm, where weights are assigned in a suboptimal way.”

The above remark is somewhat obvious for a fixed sequence of likelihood levels and a set of particles at each (ring) level. moved by a Markov kernel with the right stationary target. Constrained to move within the ring, which may prove delicate in complex settings. Such a non-adaptive version is however not realistic and hence both the level sets and the stopping rule need be selected from the existing simulation, respectively as a quantile of the observed likelihood and as a failure to modify the evidence approximation, an adaptation that is a Catch 22! as we already found in the AMIS paper.  (AMIS stands for adaptive mixture importance sampling.) To escape the quandary, the authors use both an auxiliary variable (to avoid atoms) and two importance sampling sequences (as in AMIS). And only a single particle with non-zero incremental weight for the (upper level) target. As the full details are a bit fuzzy to me, I hope I can experiment with my (quarantined) students on the full implementation of the method.

“Such cases asides, the question whether SMC is preferable using the TA or NS approach is really one of whether it is preferable to sample (relatively) easy distributions subject to a constraint or to sample potentially difficult distributions.”

A question (why not regular SMC?) I was indeed considering until coming to the conclusion section but did not find it treated in the paper. There is little discussion on the computing requirements either, as it seems the method is more time-consuming than a regular nested sample. (On the personal side,  I appreciated very much their “special thanks to Christian Robert, whose many blog posts on NS helped influence this work, and played a large partin inspiring it.”)

ensemble rejection sampling

Posted in Statistics with tags , , , on March 25, 2020 by xi'an

George Deligiannidis, Arnaud Doucet and Sylvain Rubenthaler have constructed a form of Rao-Blackwellised estimate out of a regular rejection sampler. Doubly surprisingly as turning importance sampling into regular sampling plus  gaining over the standard accept-reject estimate. They call their approach ensemble rejection sampling. This is done by seeing the N-sample created from the proposal as an importance sampler, exploiting the importance weights towards estimating the (intractable) normalising constant of the target density, and creating an upper bound on this estimate Ẑ. That depends on the current value X from the N-sample under consideration for acceptance as


with a probability Ẑ/Z⁺ to accept X. The amazing result is that the X thus marginaly produced is distributed from the target! Meaning that this is a case for a self-normalised importance sampling distribution producing an exact simulation from the target. While this cannot produce an iid sample, it can be exploited to produce unbiased estimators of expectations under the target. Without even resampling and at a linear cost in the sample size N.

The method can be extended to the dynamic (state-space) case. At a cost of O(N²T) as first observed by Radford Neal. However, the importance sample seems to be distributed from a product of proposals that do not account for the previous particles. But maybe accounting for the observations. While the result involves upper bounds on the dynamic importance weights, the capacity to deliver exact simulations remains a major achievement, in my opinion.

Hastings at 50, from a Metropolis

Posted in Kids, pictures, Running, Travel with tags , , , , , , , , , , , , , , , , , , , , , , on January 4, 2020 by xi'an

A weekend trip to the quaint seaside city of Le Touquet Paris-Plage, facing the city of Hastings on the other side of the Channel, 50 miles away (and invisible on the pictures!), during and after a storm that made for a fantastic watch from our beach-side rental, if less for running! The town is far from being a metropolis, actually, but it got its added surname “Paris-Plage” from British investors who wanted to attract their countrymen in the late 1800s. The writers H.G. Wells and P.G. Wodehouse lived there for a while. (Another type of tourist, William the Conqueror, left for Hastings in 1066 from a wee farther south, near Saint-Valéry-sur-Somme.)

And the coincidental on-line publication in Biometrika of a 50 year anniversary paper, The Hastings algorithm at fifty by David Dunson and James Johndrow. More of a celebration than a comprehensive review, with focus on scalable MCMC, gradient based algorithms, Hamiltonian Monte Carlo, nonreversible Markov chains, and interesting forays into approximate Bayes. Which makes for a great read for graduate students and seasoned researchers alike!