**A** few days ago I came across a short paper in the Central European Journal of Economic Modelling and Econometrics by Pajor and Osiewalski that proposes a correction to the infamous harmonic mean estimator that is essentially the one Darren and I made in 2009, namely to restrict the evaluations of the likelihood function to a subset **A** of the simulations from the posterior. Paper that relates to an earlier 2009 paper by Peter Lenk, which investigates the same object with this same proposal and that we had missed for all that time. The difference is that, while we examine an arbitrary HPD region at level 50% or 80% as the subset **A**, Lenk proposes to derive a minimum likelihood value from the MCMC run and to use the associated HPD region, which means using all simulations, hence producing the same object as the original harmonic mean estimator, except that it is corrected by a multiplicative factor P(**A**). Or rather an approximation. This correction thus maintains the infinite variance of the original, a point apparently missed in the paper.

## Archive for MCMC algorithm

## another version of the corrected harmonic mean estimator

Posted in Books, pictures, Statistics, University life with tags Gibbs sampler, harmonic mean estimator, HPD region, importance sampling, MCMC algorithm, Monte Carlo Statistical Methods on June 11, 2018 by xi'an## Russian roulette still rolling

Posted in Statistics with tags AISTATS 2017, Biometrika, coupling, debiasing, doubly intractable problems, harmonic mean estimator, MCMC, MCMC algorithm, normalising constant, Peter Glynn, pseudo-marginal MCMC, Rao-Blackwellisation, Russian roulette on March 22, 2017 by xi'an**C**olin Wei and Iain Murray arXived a new version of their paper on doubly-intractable distributions, which is to be presented at AISTATS. It builds upon the Russian roulette estimator of Lyne et al. (2015), which itself exploits the debiasing technique of McLeish et al. (2011) [found earlier in the physics literature as in Carter and Cashwell, 1975, according to the current paper]. Such an unbiased estimator of the inverse of the normalising constant can be used for pseudo-marginal MCMC, except that the estimator is sometimes negative and has to be so as proved by Pierre Jacob and co-authors. As I discussed in my post on the Russian roulette estimator, replacing the negative estimate with its absolute value does not seem right because a negative value indicates that the quantity is close to zero, hence replacing it with zero would sound more appropriate. Wei and Murray start from the property that, while the expectation of the importance weight is equal to the normalising constant, the expectation of the inverse of the importance weight converges to the inverse of the weight for an MCMC chain. This however sounds like an harmonic mean estimate because the property would also stand for any substitute to the importance density, as it only requires the density to integrate to one… As noted in the paper, the variance of the resulting Roulette estimator “will be high” or even infinite. Following Glynn et al. (2014), the authors build a coupled version of that solution, which key feature is to cut the higher order terms in the debiasing estimator. This does not guarantee finite variance or positivity of the estimate, though. In order to decrease the variance (assuming it is finite), backward coupling is introduced, with a Rao-Blackwellisation step using our 1996 Biometrika derivation. Which happens to be of lower cost than the standard Rao-Blackwellisation in that special case, O(N) versus O(N²), N being the stopping rule used in the debiasing estimator. Under the assumption that the *inverse* importance weight has finite expectation [wrt the importance density], the resulting backward-coupling Russian roulette estimator can be proven to be unbiased, as it enjoys a finite expectation. (As in the generalised harmonic mean case, the constraint imposes thinner tails on the importance function, which then hampers the convergence of the MCMC chain.) No mention is made of achieving finite variance for those estimators, which again is a serious concern due to the similarity with harmonic means…

## light and widely applicable MCMC: approximate Bayesian inference for large datasets

Posted in Books, Statistics, University life, Wines with tags ABC, big data, character recognition, delayed acceptance, Dublin, Ireland, Markov chains, MCMC algorithm, reversible jump MCMC, Russian roulette, subsampling on March 24, 2015 by xi'an**F**lorian Maire (whose thesis was discussed in this post), Nial Friel, and Pierre Alquier (all in Dublin at some point) have arXived today a paper with the above title, aimed at quickly analysing large datasets. As reviewed in the early pages of the paper, this proposal follows a growing number of techniques advanced in the past years, like pseudo-marginals, Russian roulette, unbiased likelihood estimators. firefly Monte Carlo, adaptive subsampling, sub-likelihoods, telescoping debiased likelihood version, and even our very own delayed acceptance algorithm. (Which is incorrectly described as restricted to iid data, by the way!)

The lightweight approach is based on an ABC idea of working through a summary statistic that plays the role of a pseudo-sufficient statistic. The main theoretical result in the paper is indeed that, when subsampling in an exponential family, subsamples preserving the sufficient statistics (modulo a rescaling) are optimal in terms of distance to the true posterior. Subsamples are thus weighted in terms of the (transformed) difference between the full data statistic and the subsample statistic, assuming they are both normalised to be comparable. I am quite (positively) intrigued by this idea in that it allows to somewhat compare inference based on two different samples. The weights of the subsets are then used in a pseudo-posterior that treats the subset as an auxiliary variable (and the weight as a substitute to the “missing” likelihood). This may sound a wee bit convoluted (!) but the algorithm description is not yet complete: simulating jointly from this pseudo-target is impossible because of the huge number of possible subsets. The authors thus suggest to run an MCMC scheme targeting this joint distribution, with a proposed move on the set of subsets and a proposed move on the parameter set conditional on whether or not the proposed subset has been accepted.

From an ABC perspective, the difficulty in calibrating the tolerance ε sounds more accute than usual, as the size of the subset comes as an additional computing parameter. Bootstrapping options seem impossible to implement in a large size setting.

An MCMC issue with this proposal is that designing the move across the subset space is both paramount for its convergence properties and lacking in geometric intuition. Indeed, two subsets with similar summary statistics may be very far apart… Funny enough, in the representation of the joint Markov chain, the parameter subchain is secondary if crucial to avoid intractable normalising constants. It is also unclear for me from reading the paper maybe too quickly whether or not the separate moves when switching and when not switching subsets retain the proper balance condition for the pseudo-joint to still be the stationary distribution. The stationarity for the subset Markov chain is straightforward by design, but it is not so for the parameter. In case of switched subset, simulating from the true full conditional given the subset would work, but not simulated by a fixed number L of MCMC steps.

The lightweight technology therein shows its muscles on an handwritten digit recognition example where it beats regular MCMC by a factor of 10 to 20, using only 100 datapoints instead of the 10⁴ original datapoints. While very nice and realistic, this example may be misleading in that 100 digit realisations may be enough to find a tolerable approximation to the true MAP. I was also intrigued by the processing of the probit example, until I realised the authors had integrated the covariate out and inferred about the mean of that covariate, which means it is not a genuine probit model.