**N**icolas Chopin ran a workshop at ENSAE on sequential Monte Carlo the past three days and it was a good opportunity to get a much needed up-to-date on the current trends in the field. Especially given that the meeting was literally downstairs from my office at CREST. And given the top range of researchers presenting their current or past work (in the very amphitheatre where I attended my first statistics lectures, a few dozen years ago!). Since unforeseen events made me miss most of the central day, I will not comment on individual talks, some of which I had already heard in the recent past, but this was a high quality workshop, topped by a superb organisation. (I started wondering why there was no a single female speaker in the program and so few female participants in the audience, then realised this is a field with a massive gender imbalance, which is difficult to explain given the different situation in Bayesian statistics and even in Bayesian computation…) Some key topics I gathered during the talks I could attend–apologies to the other speakers for missing their talk due to those unforeseen events–are *unbiasedness*, which sounds central to the SMC methods [at least those presented there] as opposed to MCMC algorithms, and *local features*, used in different ways like hierarchical decomposition, multiscale, parallelisation, local coupling, &tc., to improve convergence and efficiency…

## Archive for MCMC

## SMC 2015

Posted in Statistics, Travel, University life with tags Bayesian computation, coupling, CREST, ENSAE, gender imbalance, MCMC, Monte Carlo Statistical Methods, multiscale, sequential Monte Carlo, SMC 2015, unbiasedness on September 7, 2015 by xi'an## ergodicity of approximate MCMC chains with applications to large datasets

Posted in pictures, Statistics, Travel, University life with tags ABC-MCMC, accelerated ABC, Approximate Bayesian computation, austerity sampling, ergodicity, MCMC, Metropolis-Hastings algorithms, Monte Carlo Statistical Methods, Natesh Pillai, subsampling, Wasserstein distance on August 31, 2015 by xi'an**A**nother arXived paper I read on my way to Warwick! And yet another paper written by my friend Natesh Pillai (and his co-author Aaron Smith, from Ottawa). The goal of the paper is to study the ergodicity and the degree of approximation of the true posterior distribution of approximate MCMC algorithms that recently flourished as an answer to “Big Data” issues… *[Comments below are about the second version of this paper.] *One of the most curious results in the paper is the fact that the approximation may prove better than the original kernel, in terms of computing costs! If asymptotically in the computing cost. There also are acknowledged connections with the approximative MCMC kernel of Pierre Alquier, Neal Friel, Richard Everitt and A Boland, briefly mentioned in an earlier post.

The paper starts with a fairly theoretical part, to follow with an application to austerity sampling *[and, in the earlier version of the paper, to the Hoeffding bounds of Bardenet et al., both discussed earlier on the ‘Og, to exponential random graphs (the paper being rather terse on the description of the subsampling mechanism), to stochastic gradient Langevin dynamics (by Max Welling and Yee-Whye Teh), and to ABC-MCMC]*. The assumptions are about the transition kernels of a reference Markov kernel and of one associated with the approximation, imposing some bounds on the Wasserstein distance between those kernels, K and K’. Results being generic, there is no constraint as to how K is chosen or on how K’ is derived from K. Except in Lemma 3.6 and in the application section, where the same proposal kernel L is used for both Metropolis-Hastings algorithms K and K’. While I understand this makes for an easier coupling of the kernels, this also sounds like a restriction to me in that modifying the target begs for a similar modification in the proposal, if only because the tails they are a-changin’…

**I**n the case of subsampling the likelihood to gain computation time (as discussed by Korattikara et al. and by Bardenet et al.), the austerity algorithm as described in Algorithm 2 is surprising as the average of the sampled data log-densities and the log-transform of the remainder of the Metropolis-Hastings probability, which seem unrelated, are compared until they are close enough. I also find hard to derive from the different approximation theorems bounding exceedance probabilities a rule to decide on the subsampling rate as a function of the overall sample size and of the computing cost. (As a side if general remark, I remain somewhat reserved about the subsampling idea, given that it requires the entire dataset to be available at every iteration. This makes parallel implementations rather difficult to contemplate.)

## JSM 2015 [day #4]

Posted in pictures, Running, Statistics, Travel, University life with tags ASA, bag of little bootstraps, consistency, harmonic mean estimator, JSM 2015, Langevin diffusion, Langevin MCMC algorithm, latent variable, marginal likelihood, MCMC, Monte Carlo Statistical Methods, MrBayes, philogenic trees, R.A. Fisher, Seattle, soectral clustering, spectral gap, STAN, University of Warwick on August 13, 2015 by xi'an**M**y first session today was Markov Chain Monte Carlo for Contemporary Statistical Applications with a heap of interesting directions in MCMC research! Now, without any possible bias (!), I would definitely nominate Murray Pollock (incidentally from Warwick) as the winner for best slides, funniest presentation, and most enjoyable accent! More seriously, the scalable Langevin algorithm he developed with Paul Fearnhead, Adam Johansen, and Gareth Roberts, is quite impressive in avoiding computing costly likelihoods. With of course caveats on which targets it applies to. Murali Haran showed a new proposal to handle high dimension random effect models by a projection trick that reduces the dimension. Natesh Pillai introduced us (or at least me!) to a spectral clustering that allowed for an automated partition of the target space, itself the starting point to his parallel MCMC algorithm. Quite exciting, even though I do not perceive partitions as an ideal solution to this problem. The final talk in the session was Galin Jones’ presentation of consistency results and conditions for multivariate quantities which is a surprisingly unexplored domain. MCMC is still alive and running!

The second MCMC session of the morning, Monte Carlo Methods Facing New Challenges in Statistics and Science, was equally diverse, with Lynn Kuo’s talk on the HAWK approach, where we discovered that harmonic mean estimators are still in use, e.g., in MrBayes software employed in phylogenetic inference. The proposal to replace this awful estimator that should never be seen again (!) was rather closely related to an earlier solution of us for marginal likelihood approximation, based there on a partition of the whole space rather than an HPD region in our case… Then, Michael Betancourt brilliantly acted as a proxy for Andrew to present the STAN language, with a flashy trailer he most recently designed. Featuring Andrew as the sole actor. And with great arguments for using it, including the potential to run expectation propagation (as a way of life)*. In fine*, Faming Liang proposed a bootstrap subsampling version of the Metropolis-Hastings algorithm, where the likelihood acknowledging the resulting bias in the limiting distribution.

My first afternoon session was another entry on Statistical Phylogenetics, somewhat continued from yesterday’s session. Making me realised I had not seen a single talk on ABC for the entire meeting! The issues discussed in the session were linked with aligning sequences and comparing many trees. Again in settings where likelihoods can be computed more or less explicitly. Without any expertise in the matter, I wondered at a construction that would turn all trees, like into realizations of a continuous model. For instance by growing one branch at a time while removing the MRCA root… And maybe using a particle like method to grow trees. As an aside, Vladimir Minin told me yesterday night about genetic mutations that could switch on and off phenotypes repeatedly across generations… For instance the ability to glow in the dark for species of deep sea fish.

When stating that I did not see a single talk about ABC, I omitted Steve Fienberg’s Fisher Lecture R.A. Fisher and the Statistical ABCs, keeping the *morceau de choix* for the end! Even though of course Steve did not mention the algorithm! A was for *asymptotics*, or ancilarity, B for *Bayesian* (or biducial??), C for *causation* (or cuffiency???)… Among other germs, I appreciated that Steve mentioned my great-grand father Darmois in connection with exponential families! And the connection with Jon Wellner’s LeCam Lecture from a few days ago. And reminding us that Savage was a Fisher lecturer himself. And that Fisher introduced fiducial distributions quite early. And for defending the Bayesian perspective. Steve also set some challenges like asymptotics for networks, Bayesian model assessment (I liked the notion of stepping out of the model), and randomization when experimenting with networks. And for big data issues. And for personalized medicine, building on his cancer treatment. No trace of the ABC algorithm, obviously, but a wonderful Fisher’s lecture, also most obviously!! Bravo, Steve, keep thriving!!!

## Conditional love [guest post]

Posted in Books, Kids, Statistics, University life with tags Andrei Kolmogorov, axioms of probability, Bayes rule, Bayesian nonparametrics, Bayesian statistics, bootstrap, Bruno de Finetti, Céline Dion, David Draper, Dirichlet process, Edwin Jaynes, exchangeability, extendibility, information, JSM 2015, MCMC, plausibility, Richard Cox, Series B, Stone-Weierstrass, Theory of Probability on August 4, 2015 by xi'an*[When Dan Simpson told me he was reading Terenin’s and Draper’s latest arXival in a nice Bath pub—and not a nice bath tub!—, I asked him for a blog entry and he agreed. Here is his piece, read at your own risk! If you remember to skip the part about Céline Dion, you should enjoy it very much!!!]*

**P**robability has traditionally been described, as per Kolmogorov and his ardent follower Katy Perry, unconditionally. This is, of course, excellent for those of us who really like measure theory, as the maths is identical. Unfortunately mathematical convenience is not necessarily enough and a large part of the applied statistical community is working with Bayesian methods. These are unavoidably conditional and, as such, it is natural to ask if there is a fundamentally conditional basis for probability.

Bruno de Finetti—and later Richard Cox and Edwin Jaynes—considered conditional bases for Bayesian probability that are, unfortunately, incomplete. The critical problem is that they mainly consider finite state spaces and construct finitely additive systems of conditional probability. For a variety of reasons, neither of these restrictions hold much truck in the modern world of statistics.

In a recently arXiv’d paper, Alexander Terenin and David Draper devise a set of axioms that make the Cox-Jaynes system of conditional probability rigorous. Furthermore, they show that the complete set of Kolmogorov axioms (including countable additivity) can be derived as theorems from their axioms by conditioning on the entire sample space.

This is a deep and fundamental paper, which unfortunately means that I most probably do not grasp it’s complexities (especially as, for some reason, I keep reading it in pubs!). However I’m going to have a shot at having some thoughts on it, because I feel like it’s the sort of paper one should have thoughts on. Continue reading

## arXiv frenzy

Posted in R, Statistics, University life with tags arXiv, Bayesian statistics, MCMC, Monte Carlo Statistical Methods, Montréal, NIPS 2015, particle filter on June 23, 2015 by xi'an**I**n the few past days, there has been so many arXiv postings of interest—presumably the NIPS submission effect!—that I cannot hope to cover them in the coming weeks! Hopefully, some will still come out on the ‘Og in a near future:

- arXiv:1506.06629: Scalable Approximations of Marginal Posteriors in Variable Selection by Willem van den Boom, Galen Reeves, David B. Dunson
- arXiv:1506.06285: The MCMC split sampler: A block Gibbs sampling scheme for latent Gaussian models by Óli Páll Geirsson, Birgir Hrafnkelsson, Daniel Simpson, Helgi Sigurðarson
*[also deserves a special mention for gathering only ***son authors!]* - arXiv:1506.06268: Bayesian Nonparametric Modeling of Higher Order Markov Chains by Abhra Sarkar, David B. Dunson
- arXiv:1506.06117: Convergence of Sequential Quasi-Monte Carlo Smoothing Algorithms by Mathieu Gerber, Nicolas Chopin
- arXiv:1506.06101: Robust Bayesian inference via coarsening by Jeffrey W. Miller, David B. Dunson
- arXiv:1506.05934: Expectation Particle Belief Propagation by Thibaut Lienart, Yee Whye Teh, Arnaud Doucet
- arXiv:1506.05860: Variational Gaussian Copula Inference by Shaobo Han, Xuejun Liao, David B. Dunson, Lawrence Carin
- arXiv:1506.05855: The Frequentist Information Criterion (FIC): The unification of information-based and frequentist inference by Colin H. LaMont, Paul A. Wiggins
- arXiv:1506.05757: Bayesian Inference for the Multivariate Extended-Skew Normal Distribution by Mathieu Gerber, Florian Pelgrin
- arXiv:1506.05741: Accelerated dimension-independent adaptive Metropolis by Yuxin Chen, David Keyes, Kody J.H. Law, Hatem Ltaief
- arXiv:1506.05269: Bayesian Survival Model based on Moment Characterization by Julyan Arbel, Antonio Lijoi, Bernardo Nipoti
- arXiv:1506.04778: Fast sampling with Gaussian scale-mixture priors in high-dimensional regression by Anirban Bhattacharya, Antik Chakraborty, Bani K. Mallick
- arXiv:1506.04416: Bayesian Dark Knowledge by Anoop Korattikara, Vivek Rathod, Kevin Murphy, Max Welling
*[a special mention for this title!]* - arXiv:1506.03693: Optimization Monte Carlo: Efficient and Embarrassingly Parallel Likelihood-Free Inference by Edward Meeds, Max Welling
- arXiv:1506.03074: Variational consensus Monte Carlo by Maxim Rabinovich, Elaine Angelino, Michael I. Jordan
- arXiv:1506.02564: Gradient-free Hamiltonian Monte Carlo with Efficient Kernel Exponential Families by Heiko Strathmann, Dino Sejdinovic, Samuel Livingstone, Zoltan Szabo, Arthur Gretton
*[comments coming soon!]*

## ABC for big data

Posted in Books, Statistics, University life with tags ABC, ABC-PMC, asymptotics, big data, iterated importance sampling, MCMC, particle system, simulation on June 23, 2015 by xi'an

“The results in this paper suggest that ABC can scale to large data, at least for models with a xed number of parameters, under the assumption that the summary statistics obey a central limit theorem.”

**I**n a week rich with arXiv submissions about MCMC and “big data”, like the Variational consensus Monte Carlo of Rabinovich et al., or scalable Bayesian inference via particle mirror descent by Dai et al., Wentao Li and Paul Fearnhead contributed an impressive paper entitled Behaviour of ABC for big data. However, a word of warning: the title is somewhat misleading in that the paper does not address the issue of big or tall data *per se*, e.g., the impossibility to handle the whole data at once and to reproduce it by simulation, but rather the asymptotics of ABC. The setting is not dissimilar to the earlier Fearnhead and Prangle (2012) Read Paper. The central theme of this theoretical paper [with 24 pages of proofs!] is to study the connection between the number *N* of Monte Carlo simulations and the tolerance value *ε* when the number of observations *n* goes to infinity. A main result in the paper is that the ABC posterior mean can have the same asymptotic distribution as the MLE when *ε*=o(n^{-1/4}). This is however * in opposition with *of no direct use in practice as the second main result that the Monte Carlo variance is well-controlled only when

*ε*=O(n

^{-1/2}).

Something I have (slight) trouble with is the construction of an importance sampling function of the f_{ABC}(s|θ)^{α} when, obviously, this function cannot be used for simulation purposes. The authors point out this fact, but still build an argument about the optimal choice of α, namely away from 0 and 1, like ½. Actually, any value different from 0,1, is sensible, meaning that the range of acceptable importance functions is wide. Most interestingly (!), the paper constructs an iterative importance sampling ABC in a spirit similar to Beaumont et al. (2009) ABC-PMC. Even more interestingly, the ½ factor amounts to updating the scale of the proposal as twice the scale of the target, just as in PMC.

Another aspect of the analysis I do not catch is the reason for keeping the Monte Carlo sample size to a fixed value N, while setting a sequence of acceptance probabilities (or of tolerances) along iterations. This is a very surprising result in that the Monte Carlo error does remain under control and does not dominate the overall error!

“Whilst our theoretical results suggest that point estimates based on the ABC posterior have good properties, they do not suggest that the ABC posterior is a good approximation to the true posterior, nor that the ABC posterior will accurately quantify the uncertainty in estimates.”

Overall, this is clearly a paper worth reading for understanding the convergence issues related with ABC. With more theoretical support than the earlier Fearnhead and Prangle (2012). However, it does not provide guidance into the construction of a sequence of Monte Carlo samples nor does it discuss the selection of the summary statistic, which has obviously a major impact on the efficiency of the estimation. And to relate to the earlier warning, it does not cope with “big data” in that it reproduces the original simulation of the n sized sample.