Archive for MCMC

MCqMC 2016 [#4]

Posted in Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , on August 21, 2016 by xi'an

In his plenary talk this morning, Arnaud Doucet discussed the application of pseudo-marginal techniques to the latent variable models he has been investigating for many years. And its limiting behaviour towards efficiency, with the idea of introducing correlation in the estimation of the likelihood ratio. Reducing complexity from O(T²) to O(T√T). With the very surprising conclusion that the correlation must go to 1 at a precise rate to get this reduction, since perfect correlation would induce a bias. A massive piece of work, indeed!

The next session of the morning was another instance of conflicting talks and I hoped from one room to the next to listen to Hani Doss’s empirical Bayes estimation with intractable constants (where maybe SAME could be of interest), Youssef Marzouk’s transport maps for MCMC, which sounds like an attractive idea provided the construction of the map remains manageable, and Paul Russel’s adaptive importance sampling that somehow sounded connected with our population Monte Carlo approach. (With the additional step of considering transform maps.)

An interesting item of information I got from the final announcements at MCqMC 2016 just before heading to Monash, Melbourne, is that MCqMC 2018 will take place in the city of Rennes, Brittany, on July 2-6. Not only it is a nice location on its own, but it is most conveniently located in space and time to attend ISBA 2018 in Edinburgh the week after! Just moving from one Celtic city to another Celtic city. Along with other planned satellite workshops, this occurrence should make ISBA 2018 more attractive [if need be!] for participants from oversea.

MCqMC 2016 [#2]

Posted in pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , , on August 17, 2016 by xi'an

In her plenary talk this morning, Christine Lemieux discussed connections between quasi-Monte Carlo and copulas, covering a question I have been considering for a while. Namely, when provided with a (multivariate) joint cdf F, is there a generic way to invert a vector of uniforms [or quasi-uniforms] into a simulation from F? For Archimedian copulas (as we always can get back to copulas), there is a resolution by the Marshall-Olkin representation,  but this puts a restriction on the distributions F that can be considered. The session on synthetic likelihoods [as introduced by Simon Wood in 2010] put together by Scott Sisson was completely focussed on using normal approximations for the distribution of the vector of summary statistics, rather than the standard ABC non-parametric approximation. While there is a clear (?) advantage in using a normal pseudo-likelihood, since it stabilises with much less simulations than a non-parametric version, I find it difficult to compare both approaches, as they lead to different posterior distributions. In particular, I wonder at the impact of the dimension of the summary statistics on the approximation, in the sense that it is less and less likely that the joint is normal as this dimension increases. Whether this is damaging for the resulting inference is another issue, possibly handled by a supplementary ABC step that would take the first-step estimate as summary statistic. (As a side remark, I am intrigued at everyone being so concerned with unbiasedness of methods that are approximations with no assessment of the amount of approximation!) The last session of the day was about multimodality and MCMC solutions, with talks by Hyungsuk Tak, Pierre Jacob and Babak Shababa, plus mine. Hunsuk presented the RAM algorithm I discussed earlier under the title of “love-hate” algorithm, which was a kind reference to my post! (I remain puzzled by the ability of the algorithm to jump to another mode, given that the intermediary step aims at a low or even zero probability region with an infinite mass target.) And Pierre talked about using SMC for Wang-Landau algorithms, with a twist to the classical stochastic optimisation schedule that preserves convergence. And a terrific illustration on a distribution inspired from the Golden Gate Bridge that reminded me of my recent crossing! The discussion around my folded Markov chain talk focussed on the extension of the partition to more than two sets, the difficulty being in generating automated projections, with comments about connections with computer graphic tools. (Too bad that the parallel session saw talks by Mark Huber and Rémi Bardenet that I missed! Enjoying a terrific Burmese dinner with Rémi, Pierre and other friends also meant I could not post this entry on time for the customary 00:16. Not that it matters in the least…)

simple, scalable and accurate posterior interval estimation

Posted in Statistics with tags , , , , , , , on July 6, 2016 by xi'an

“There is a lack of simple and scalable algorithms for uncertainty quantification.”

A paper by Cheng Li , Sanvesh Srivastava, and David Dunson that I had missed and which was pointed out on Andrew’s blog two days ago. As recalled in the very first sentence of the paper, above, the existing scalable MCMC algorithms somewhat fail to account for confidence (credible) intervals. In the sense that handling parallel samples does not naturally produce credible intervals.Since the approach is limited to one-dimensional quantity of interest, ζ=h(θ), the authors of the paper consider the MCMC approximations of the cdf of the said quantity ζ based on the manageable subsets like as many different approximations of the same genuine posterior distribution of that quantity ζ. (Corrected by a power of the likelihood but dependent on the particular subset used for the estimation.) The estimate proposed in the paper is a Wasserstein barycentre of the available estimations, barycentre that is defined as minimising the sum of the Wasserstein distances to all estimates. (Why should this measure be relevant: the different estimates may be of different quality). Interestingly (at least at a computational level), the solution is such that the quantile function of the Wasserstein barycentre is the average of the estimated quantiles functions. (And is there an alternative loss returning the median cdf?) A confidence interval based on the quantile function can then be directly derived. The paper shows that this Wasserstein barycentre converges to the true (marginal) posterior as the sample size m of each sample grows to infinity (and faster than 1/√m), with the strange side-result that the convergence is in 1/√n when the MLE of the global parameter θ is unbiased. Strange to me because unbiasedness is highly dependent on parametrisation while the performances of this estimator should not be, i.e., should be invariant under reparameterisation. Maybe this is due to ζ being a linear transform of θ in the convergence theorem… In any case, I find this question of merging cdf’s from poorly defined approximations to an unknown cdf of the highest interest and look forward any further proposal to this effect!

communication-efficient distributed statistical learning

Posted in Books, Statistics, University life with tags , , , , , , , , on June 10, 2016 by xi'an

mikecemMichael Jordan, Jason Lee, and Yun Yang just arXived a paper with their proposal on handling large datasets through distributed computing, thus contributing to the currently very active research topic of approximate solutions in large Bayesian models. The core of the proposal is summarised by the screenshot above, where the approximate likelihood replaces the exact likelihood with a first order Taylor expansion. The first term is the likelihood computed for a given subsample (or a given thread) at a ratio of one to N and the difference of the gradients is only computed once at a good enough guess. While the paper also considers M-estimators and non-Bayesian settings, the Bayesian part thus consists in running a regular MCMC when the log-target is approximated by the above. I first thought this proposal amounted to a Gaussian approximation à la Simon Wood or to an INLA approach but this is not the case: the first term of the approximate likelihood is exact and hence can be of any form, while the scalar product is linear in θ, providing a sort of first order approximation, albeit frozen at the chosen starting value.

mikecem2Assuming that each block of the dataset is stored on a separate machine, I think the approach could further be implemented in parallel, running N MCMC chains and comparing the output. With a post-simulation summary stemming from the N empirical distributions thus produced. I also wonder how the method would perform outside the fairly smooth logistic regression case, where the single sample captures well-enough the target. The picture above shows a minor gain in a misclassification rate that is already essentially zero.

Nonparametric hierarchical Bayesian quantiles

Posted in Books, Statistics, University life with tags , , , , , , , on June 9, 2016 by xi'an

Luke Bornn, Neal Shephard and Reza Solgi have recently arXived a research report on non-parametric Bayesian quantiles. This work relates to their earlier paper that combines Bayesian inference with moment estimators, in that the quantiles do not define entirely the distribution of the data, which then needs to be completed by Bayesian means. But contrary to this previous paper, it does not require MCMC simulation for distributions defined on a variety as, e.g., a curve.

Here a quantile is defined as minimising an asymmetric absolute risk, i.e., an expected loss. It is therefore a deterministic function of the model parameters for a parametric model and a functional of the model otherwise. And connected to a moment if not a moment per se. In the case of a model with a discrete support, the unconstrained model is parameterised by the probability vector θ and β=t(θ). However, the authors study the opposite approach, namely to set a prior on β, p(β), and then complement this prior with a conditional prior on θ, p(θ|β), the joint prior p(β)p(θ|β) being also the marginal p(θ) because of the deterministic relation. However, I am getting slightly lost in the motivation for the derivation of the conditional when the authors pick an arbitrary prior on θ and use it to derive a conditional on β which, along with an arbitrary (“scientific”) prior on β defines a new prior on θ. This works out in the discrete case because β has a finite support. But it is unclear (to me) why it should work in the continuous case [not covered in the paper].

Getting back to the central idea of defining first the distribution on the quantile β, a further motivation is provided in the hierarchical extension of Section 3, where the same quantile distribution is shared by all individuals (e.g., cricket players) in the population, while the underlying distributions for the individuals are otherwise disconnected and unconstrained. (Obviously, a part of the cricket example went far above my head. But one may always idly wonder why all players should share the same distribution. And about what would happen when imposing no quantile constraint but picking instead a direct hierarchical modelling on the θ’s.) This common distribution on β can then be modelled by a Dirichlet hyperprior.

The paper also contains a section on estimating the entire quantile function, which is a wee paradox in that this function is again a deterministic transform of the original parameter θ, but that the authors use instead pointwise estimation, i.e., for each level τ. I find the exercise furthermore paradoxical in that the hierarchical modelling with a common distribution on the quantile β(τ) only is repeated for each τ but separately, while it should be that the entire parameter should share a common distribution. Given the equivalence between the quantile function and the entire parameter θ.

MCMC with strings and branes

Posted in Books, pictures, Statistics with tags , , , , , on June 6, 2016 by xi'an

branes“Roughly speaking, the idea [of MCMC] is that the thermal fluctuations of a particle moving in an energy landscape provides a conceptually elegant way to sample from a target distribution.”

A short version of their earlier long paper was arXived last week by Heckman et al. The starting point of the paper is to consider simultaneously M parallel samplers by envisioning the M-uple as a single object. This reminded me of the attempt we had made in our 1995 pinball sampler paper with Kerrie Mengersen, where we introduced a repulsive scheme to keep the particles apart and individually stationary against the same target. The joint target being defined as the product of the individual targets. As a single Markov chain, the MCMC sampler can take advantage of the parallel chains to possibly improve the efficiency when compared with running M parallel chains. Possibly only, because the target has moved to a space that is M times larger…

“…although the physics of point particles underlies much of our modern understanding of natural phenomena, it has proven fruitful to consider objects such as strings and branes with finite extent in p spatial dimensions.”

The details of the proposal are somewhat unclear in that the notion of brane remains a mystery to me. It sounds like a sort of random graph over the indices of the particles, but endowed with further (magical?) physical properties. As defined in the paper the suburban algorithm picks a random (neighbourhood) graph at each iteration that is used in the proposal over the particle system (or ensemble). As justified by the authors, the fact that this choice is independent of the current state of the Markov chain implies stationarity. If not efficiency, when compared with the independent parallel MCMC scheme. And because there are so many ways in taking into account the neighbours. (I did not see (11) as a particularly relevant implementation of the algorithm, mixing a random walk move with another random walk on the time differences.) Actually, I have somewhat of a worry about the term “nearest neighbour” which may be defined by the graph (which is fine) or by the configuration of the particle system at time t (which is not fine).

“The effective dimension rather than the overall topology of the grid plays the dominant role in the performance of the algorithm.”

The limited influence of the grid topology is quite understandable in that the chain targets an iid sample, so there is no reason one index value is more relevant than another. All particles in the vector are interchangeable in this respect and in the long run only the number of connected particles should matter. A more interesting feature is that the suburban sampler seems to perform best for strings, i.e. when the number of connected particles is larger than two. This somewhat agrees with my initial remark that dealing with the M particles as a single object should slow down convergence because of the dimension increase. This is one reason why we did not pursue our pinball sampler any further, as it seemed to converge quite slowly.

“To summarize: With too few friends one drifts into oblivion, but with too many friends one becomes a boring conformist.”

The notion of generating a sample all at once is quite appealing, especially because of the iid nature of the target, but I am not convinced the approach followed in this paper is sufficiently involved for this purpose. Alex Shestopaloff and Radford Neal’s recent work on ensemble MCMC is certainly pushing things further in the analysis of efficient moves. I also wonder if a repulsive component shouldn’t be added to the target as in pinball sampling, borrowing maybe from determinental processes, towards a more thorough exploration of the target. Even though it remains unclear that this will be more efficient than running M parallel chains.

inefficiency of data augmentation for large samples

Posted in Books, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , on May 31, 2016 by xi'an

On Monday, James Johndrow, Aaron Smith, Natesh Pillai, and David Dunson arXived a paper on the diminishing benefits of using data augmentation for large and highly imbalanced categorical data. They reconsider the data augmentation scheme of Tanner and Wong (1987), surprisingly not mentioned, used in the first occurrences of the Gibbs sampler like Albert and Chib’s (1993) or our mixture estimation paper with Jean Diebolt (1990). The central difficulty with data augmentation is that the distribution to be simulated operates on a space that is of order O(n), even when the original distribution covers a single parameter. As illustrated by the coalescent in population genetics (and the subsequent intrusion of the ABC methodology), there are well-known cases when the completion is near to impossible and clearly inefficient (as again illustrated by the failure of importance sampling strategies on the coalescent). The paper provides spectral gaps for the logistic and probit regression completions, which are of order a power of log(n) divided by √n, when all observations are equal to one. In a somewhat related paper with Jim Hobert and Vivek Roy, we studied the spectral gap for mixtures with a small number of observations: I wonder at the existence of a similar result in this setting, when all observations stem from one component of the mixture, when all observations are one. The result in this paper is theoretically appealing, the more because the posteriors associated with such models are highly regular and very close to Gaussian (and hence not that challenging as argued by Chopin and Ridgway). And because the data augmentation algorithm is uniformly ergodic in this setting (as we established with Jean Diebolt  and later explored with Richard Tweedie). As demonstrated in the  experiment produced in the paper, when comparing with HMC and Metropolis-Hastings (same computing times?), which produce much higher effective sample sizes.

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