Vinayak Rao, Lizhen Lin and David Dunson just arXived a paper which proposes anew technique to handle intractable normalising constants. And which exact title is Data augmentation for models based on rejection sampling. (Paper that I read in the morning plane to B’ham, since this is one of my weeks in Warwick.) The central idea therein is that, if the sample density (aka likelihood) satisfies
where all terms but p are known in closed form, then completion by the rejected values of an hypothetical accept-reject algorithm−hypothetical in the sense that the data does not have to be produced by an accept-reject scheme but simply the above domination condition to hold−allows for a data augmentation scheme. Without requiring the missing normalising constant. Since the completed likelihood is
A closed-form, if not necessarily congenial, function.
Now this is quite a different use of the “rejected values” from the accept reject algorithm when compared with our 1996 Biometrika paper on the Rao-Blackwellisation of accept-reject schemes (which, still, could have been mentioned there… Or Section 4.2 of Monte Carlo Statistical Methods. Rather than re-deriving the joint density of the augmented sample, “accepted+rejected”.)
It is a neat idea in that it completely bypasses the approximation of the normalising constant. And avoids the somewhat delicate tuning of the auxiliary solution of Moller et al. (2006) The difficulty with this algorithm is however in finding an upper bound M on the unnormalised density f that is
- in closed form;
- with a manageable and tight enough “constant” M;
- compatible with running a posterior simulation conditional on the added rejections.
The paper seems to assume further that the bound M is independent from the current parameter value θ, at least as suggested by the notation (and Theorem 2), but this is not in the least necessary for the validation of the formal algorithm. Such a constraint would pull M higher, hence reducing the efficiency of the method. Actually the matrix Langevin distribution considered in the first example involves a bound that depends on the parameter κ.
The paper includes a result (Theorem 2) on the uniform ergodicity that relies on heavy assumptions on the proposal distribution. And a rather surprising one, namely that the probability of rejection is bounded from below, i.e. calling for a less efficient proposal. Now it seems to me that a uniform ergodicity result holds as well when the probability of acceptance is bounded from below since, then, the event when no rejection occurs constitutes an atom from the augmented Markov chain viewpoint. There therefore occurs a renewal each time the rejected variable set ϒ is empty, and ergodicity ensues (Robert, 1995, Statistical Science).
Note also that, despite the opposition raised by the authors, the method per se does constitute a pseudo-marginal technique à la Andrieu-Roberts (2009) since the independent completion by the (pseudo) rejected variables produces an unbiased estimator of the likelihood. It would thus be of interest to see how the recent evaluation tools of Andrieu and Vihola can assess the loss in efficiency induced by this estimation of the likelihood.
Maybe some further experimental evidence tomorrow…