Archive for leapfrog integrator

revised empirical HMC

Posted in Statistics, University life with tags , , , , , , , , on March 12, 2019 by xi'an

Following the informed and helpful comments from Matt Graham and Bob Carpenter on our eHMC paper [arXival] last month, we produced a revised and re-arXived version of the paper based on new experiments ran by Changye Wu and Julien Stoehr. Here are some quick replies to these comments, reproduced for convenience. (Warning: this is a loooong post, much longer than usual.) Continue reading

computational statistics and molecular simulation [18w5023]

Posted in Books, Kids, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , , , , , , , on November 15, 2018 by xi'an

 I truly missed the gist of the first talk of the Wednesday morning of our X fertilisation workshop by Jianfeng Lu partly due to notations, although the topic very much correlated to my interests like path sampling, with an augmented version of HMC using an auxiliary indicator. And mentions made of BAOAB. Next, Marcello Pereyra spoke about Bayesian image analysis, with the difficulty of setting a prior on an image. In case of astronomical images there are motivations for an L¹ penalisation sparse prior. Sampling is an issue. Moreau-Yoshida proximal optimisation is used instead, in connection with our MCMC survey published in Stats & Computing two years ago. Transferability was a new concept for me, as introduced by Kerrie Mengersen (QUT), to extrapolate an estimated model to another system without using the posterior as a prior. With a great interlude about the crown of thorns starfish killer robot! Rather a prior determination based on historical data, in connection with recent (2018) Technometrics and Bayesian Analysis papers towards rejecting non-plausible priors. Without reading the papers (!), and before discussing the matter with Kerrie, here or in Marseille, I wonder at which level of precision this can be conducted. The use of summary statistics for prior calibration gave the approach an ABC flavour.

The hand-on session was Jonathan Mattingly’s discussion of gerrymandering reflecting on his experience at court! Hard to beat for an engaging talk reaching between communities. As it happens I discussed the original paper last year. Of course it was much more exciting to listen to Jonathan explaining his vision of the problem! Too bad I “had” to leave before the end for a [most enjoyable] rock climbing afternoon… To be continued at the dinner table! (Plus we got the complete explanation of the term gerrymandering, including this salamander rendering of the first identified as gerrymandered district!)

computational statistics and molecular simulation [18w5023]

Posted in Statistics with tags , , , , , , , , , , , , , , on November 13, 2018 by xi'an

This X fertilisation workshop Gabriel Stolz, Luke Bornn and myself organised towards reinforcing the interface between molecular dynamics and Monte Carlo statistical methods has now started! At the casa matematicà Oaxaca, the Mexican campus of BIRS, which is currently housed by a very nice hotel on the heights of Oaxaca. And after a fairly long flight for a large proportion of the participants. On the first day, Arthur Voter gave a fantastic “hand-on” review of molecular dynamics for material sciences, which was aimed at the statistician side of the audience and most helpful in my own understanding of the concepts and techniques at the source of HMC and PDMP algorithms. (Although I could not avoid a few mini dozes induced by jetlag.) Including the BAOAB version of HMC, which sounded to me like an improvement to investigate. The part on metastability, completed by a talk by Florian Maire, remained a wee bit mysterious [to me].

The shorter talks of the day all brought new perspectives and information to me (although they were definitely more oriented towards their “own” side of the audience than the hand-on lecture). For instance, Jesús María Sanz-Serna gave a wide ranging overview of numerical integrators and Tony Lelièvre presented a recent work on simulating measures supported by manifolds via an HMC technique constantly projecting over the manifold, with proper validation. (I had struggled with the paper this summer and this talk helped a lot.) There was a talk by Josh Fash on simulating implicit solvent models that mixed high-level programming and reversible jump MCMC, with an earlier talk by Yong Chen on variable dimension hidden Markov models that could have also alluded to reversible jump. Angela Bito talked about using ASIS (Ancillarity-sufficiency interweaving strategy) for improving the dynamics of an MCMC sampler associated with a spike & slab prior, the recentering-decentering cycle being always a sort of mystery to me [as to why it works better despite introducing multimodality in this case], and Gael Martin presented some new results on her on-going work with David Frazier about approximate Bayes with misspecified models, with the summary statistic being a score function that relates the work to the likelihood free approach of Bissiri et al.

accelerating HMC by learning the leapfrog scale

Posted in Books, Statistics with tags , , , , , , , , on October 12, 2018 by xi'an

In this new arXiv submission that was part of Changye Wu’s thesis [defended last week],  we try to reduce the high sensitivity of the HMC algorithm to its hand-tuned parameters, namely the step size ε  of the discretisation scheme, the number of steps L of the integrator, and the covariance matrix of the auxiliary variables. By calibrating the number of steps of the Leapfrog integrator towards avoiding both slow mixing chains and wasteful computation costs. We do so by learning from the No-U-Turn Sampler (NUTS) of Hoffman and Gelman (2014) which already automatically tunes both the step size and the number of leapfrogs.

The core idea behind NUTS is to pick the step size via primal-dual averaging in a burn-in (warmup, Andrew would say) phase and to build at each iteration a proposal based on following a locally longest path on a level set of the Hamiltonian. This is achieved by a recursive algorithm that, at each call to the leapfrog integrator, requires to evaluate both the gradient of the target distribution and the Hamiltonianitself. Roughly speaking an iteration of NUTS costs twice as much as regular HMC with the same number of calls to the integrator. Our approach is to learn from NUTS the scale of the leapfrog length and use the resulting empirical distribution of the longest leapfrog path to randomly pick the value of  L at each iteration of an HMC scheme. This obviously preserves the validity of the HMC algorithm.

While a theoretical comparison of the convergence performances of NUTS and this eHMC proposal seem beyond our reach, we ran a series of experiments to evaluate these performances, using as a criterion an ESS value that is calibrated by the evaluation cost of the logarithm of target density function and of its gradient, as this is usually the most costly part of the algorithms. As well as a similarly calibrated expected square jumping distance. Above is one such illustration for a stochastic volatility model, the first axis representing the targeted acceptance probability in the Metropolis step. Some of the gains in either ESS or ESJD are by a factor of ten, which relates to our argument that NUTS somewhat wastes computation effort using a uniformly distributed proposal over the candidate set, instead of being close to its end-points, which automatically reduces the distance between the current position and the proposal.

Hamiltonian tails

Posted in Books, Kids, R, Statistics, University life with tags , , , , , , on July 17, 2018 by xi'an

“We demonstrate HMC’s sensitivity to these parameters by sampling from a bivariate Gaussian with correlation coefficient 0.99. We consider three settings (ε,L) = {(0.16; 40); (0.16; 50); (0.15; 50)}” Ziyu Wang, Shakir Mohamed, and Nando De Freitas. 2013

In an experiment with my PhD student Changye Wu (who wrote all R codes used below), we looked back at a strange feature in an 2013 ICML paper by Wang, Mohamed, and De Freitas. Namely, a rather poor performance of an Hamiltonian Monte Carlo (leapfrog) algorithm on a two-dimensional strongly correlated Gaussian target, for very specific values of the parameters (ε,L) of the algorithm.

The Gaussian target associated with this sample stands right in the middle of the two clouds, as identified by Wang et al. And the leapfrog integration path for (ε,L)=(0.15,50)

keeps jumping between the two ridges (or tails) , with no stop in the middle. Changing ever so slightly (ε,L) to (ε,L)=(0.16,40) does not modify the path very much

but the HMC output is quite different since the cloud then sits right on top of the target

with no clear explanation except for a sort of periodicity in the leapfrog sequence associated with the velocity generated at the start of the code. Looking at the Hamiltonian values for (ε,L)=(0.15,50)

and for (ε,L)=(0.16,40)

does not help, except to point at a sequence located far in the tails of this Hamiltonian, surprisingly varying when supposed to be constant. At first, we thought the large value of ε was to blame but much smaller values still return poor convergence performances. As below for (ε,L)=(0.01,450)