**A**s forecasted a rather long while ago (!), I wrote a short and incomplete survey on some approaches to accelerating MCMC. With the massive help of Victor Elvira (Lille), Nick Tawn (Warwick) and Changye Wu (Dauphine). Survey which current version just got arXived and which has now been accepted by WIREs Computational Statistics. The typology (and even the range of methods) adopted here is certainly mostly arbitrary, with suggestions for different divisions made by a very involved and helpful reviewer. While we achieved a quick conclusion to the review process, suggestions and comments are most welcome! Even if we cannot include every possible suggestion, just like those already made on X validated. (WIREs stands for Wiley Interdisciplinary Reviews and its dozen topics cover several fields, from computational stats to biology, to medicine, to engineering.)

## Archive for MCMC

## accelerating MCMC

Posted in Books, Statistics, University life with tags acceleration of MCMC algorithms, algorithms, arXiv, cross validated, MCMC, Monte Carlo Statistical Methods, referee, simulation, Telecom Lille, typology, Université Paris Dauphine, University of Warwick, WIREs on April 11, 2018 by xi'an## MCMC with multiple tries

Posted in Books, pictures, Statistics, University life with tags All Blacks, delayed acceptance, ensemble Monte Carlo, MCMC, Monte Carlo Statistical Methods, multiple-try Metropolis algorithm, particle filter, population Monte Carlo, rugby, survey on April 5, 2018 by xi'an**E**arlier this year, Luca Martino wrote and arXived a review on multiple try MCMC. As its name suggests, the starting point of this algorithm is to propose N potential moves simultaneously instead of one, possibly according to N different proposal (conditional) densities, and to select one by a normalised importance sampling weight. The move is accepted by a Metropolis-Hastings step based on the ratio of the normalisation constants [at the current and at the one-before-current stages]. Besides the cost of computing the summation and generating the different variates, this method also faces the drawback of requiring N-1 supplementary simulations that are only used for achieving detailed balance and computing a backward summation of importance weights. (A first section of the review is dedicated to independent Metropolis-Hastings proposals, q(θ), which make life simpler, but are less realistic in my opinion since some prior knowledge or experimentation is necessary to build a relevant distribution q(θ).) An alternative covered in the survey is ensemble Monte Carlo (Neal, 2011), which produces a whole sample at each iteration, with target the product of the initial targets. This reminded me of our pinball sampler, which aimed at producing a spread-out sample while keeping the marginal correct. Although the motivation sounds closer to a particle sampler. Especially with this associated notion of an empirical approximation of the target. The next part of the review is about delayed rejection, which is a natural alternative approach to speeding up MCMC by considering several possibilities, if sequentially. Started in Antonietta Mira‘s 1999 PhD thesis. The difficulty with this approach is that the acceptance probability gets increasingly complex as the number of delays grows, which may annihilate its appeal relative to simultaneous multiple tries.

## amazing appendix

Posted in Books, Statistics, Travel, University life with tags auxiliary variable, Colorado, Fort Collins, Gibbs sampler, Julian Besag, MCMC, Metropolis-within-Gibbs algorithm, Monte Carlo Statistical Methods, Oxford, random simulation, simulation, Statistical Science on February 13, 2018 by xi'an**I**n the first appendix of the 1995 Statistical Science paper of Besag, Green, Higdon and Mengersen, on MCMC, “Bayesian Computation and Stochastic Systems”, stands a fairly neat result I was not aware of (and which Arnaud Doucet, with his unrivalled knowledge of the literature!, pointed out to me in Oxford, avoiding me the tedium to try to prove it afresco!). I remember well reading a version of the paper in Fort Collins, Colorado, in 1993 (I think!) but nothing about this result.

It goes as follows: when running a Metropolis-within-Gibbs sampler for component x¹ of a collection of variates x¹,x²,…, thus aiming at simulating from the full conditional of x¹ given x⁻¹ by making a proposal q(x|x¹,x⁻¹), it is perfectly acceptable to use a proposal that depends on a parameter α (no surprise so far!) *and* to generate this parameter α anew at each iteration (still unsurprising as α can be taken as an auxiliary variable) *and* to have the distribution of this parameter α depending on the other variates x²,…, i.e., x⁻¹. This is the surprising part, as adding α as an auxiliary variable was messing up the update of x⁻¹. But the proof as found in the 1995 paper [page 35] does not require to consider α as such as it establishes global balance directly. (Or maybe still detailed balance when writing the whole Gibbs sampler as a cycle of Metropolis steps.) Terrific! And a whiff mysterious..!

## two Parisian talks by Pierre Jacob in January

Posted in pictures, Statistics, University life with tags coupling, CREST, cut models, ENSAE, Gibbs sampling, MCMC, Paris-Saclay campus, Pierre Jacob, prior construction, Université Paris Dauphine on December 21, 2017 by xi'an**W**hile back in Paris from Harvard in early January, Pierre Jacob will give two talks on works of his:

January 09, 10:30, séminaire d’Analyse-Probabilités, Université Paris-Dauphine: Unbiased MCMC

*Markov chain Monte Carlo (MCMC) methods provide consistent approximations of integrals as the number of iterations goes to infinity. However, MCMC estimators are generally biased after any fixed number of iterations, which complicates both parallel computation and the construction of confidence intervals. We propose to remove this bias by using couplings of Markov chains and a telescopic sum argument, inspired by Glynn & Rhee (2014). The resulting unbiased estimators can be computed independently in parallel, and confidence intervals can be directly constructed from the Central Limit Theorem for i.i.d. variables. We provide practical couplings for important algorithms such as the Metropolis-Hastings and Gibbs samplers. We establish the theoretical validity of the proposed estimators, and study their variances and computational costs. In numerical experiments, including inference in hierarchical models, bimodal or high-dimensional target distributions, logistic regressions with the Pólya-Gamma Gibbs sampler and the Bayesian Lasso, we demonstrate the wide applicability of the proposed methodology as well as its limitations. Finally, we illustrate how the proposed estimators can approximate the “cut” distribution that arises in Bayesian inference for misspecified models. *

January 11, 10:30, CREST-ENSAE, Paris-Saclay: Better together? Statistical learning in models made of modules *[Warning: Paris-Saclay is not in Paris!]*

*In modern applications, statisticians are faced with integrating heterogeneous data modalities relevant for an inference or decision problem. It is convenient to use a graphical model to represent the statistical dependencies, via a set of connected “modules”, each relating to a specific data modality, and drawing on specific domain expertise in their development. In principle, given data, the conventional statistical update then allows for coherent uncertainty quantification and information propagation through and across the modules. However, misspecification of any module can contaminate the update of others. In various settings, particularly when certain modules are trusted more than others, practitioners have preferred to avoid learning with the full model in favor of “cut distributions”. In this talk, I will discuss why these modular approaches might be preferable to the full model in misspecified settings, and propose principled criteria to choose between modular and full-model approaches. The question is intertwined with computational difficulties associated with the cut distribution, and new approaches based on recently proposed unbiased MCMC methods will be described*.

Long enough after the New Year festivities (if any) to be fully operational for them!

## journée algorithmes stochastiques à Dauphine vendredi

Posted in Statistics, University life with tags CEREMADE, computational statistics, MCMC, Paris, sequential Monte Carlo, Statistics, stochastic algorithms, stochastic optimisation, tea, Université Paris Dauphine, workshop on November 28, 2017 by xi'an**A** final reminder (?) that we hold a special day of five talks around stochastic algorithms at Dauphine this Friday, from 10:00 till 17:30. Attendance is free, coffee and tea are free (while they last!), come and join us!

## normal variates in Metropolis step

Posted in Books, Kids, R, Statistics, University life with tags cross validated, Gaussian random walk, Markov chain Monte Carlo algorithm, MCMC, Metropolis-Hastings algorithm, Monte Carlo Statistical Methods, normal distribution, normal generator, random variates on November 14, 2017 by xi'an**A** definitely puzzled participant on X validated, confusing the Normal variate or variable used in the random walk Metropolis-Hastings step with its Normal density… It took some cumulated efforts to point out the distinction. Especially as the originator of the question had a rather strong a priori about his or her background:

“I take issue with your assumption that advice on the Metropolis Algorithm is useless to me because of my ignorance of variates. I am currently taking an experimental course on Bayesian data inference and I’m enjoying it very much, i believe i have a relatively good understanding of the algorithm, but i was unclear about this specific.”

despite pondering the meaning of the call to rnorm(1)… I will keep this question in store to use in class when I teach Metropolis-Hastings in a couple of weeks.