## 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…)

## MCqMC 2016 [#1]

Posted in Statistics, Travel, University life with tags , , , , , , , , on August 16, 2016 by xi'an

This week, I attend the MCqMC 2016 conference in Stanford, which is quite an exciting gathering of researchers involved in various aspects of Monte Carlo methods. As Art Owen put it in his welcoming talk, the whole Carlo family is there! (Not to mention how pleasant the Stanford Campus currently is, after the scorching heat we met the past week in Northern California inlands.) My talk is on folded Markov chains, which is a proposal Randal and I have been working on for quite a while, with Gareth joining us more recently. The basic idea was inspired from a discussion I had about a blog post, so long ago that I cannot even trace it! Namely, when defining an inside set A and an outside set, such that the outside set can be projected onto the inside set, one can fold both the target and the proposal, essentially looking at a collection of values for each step of the Markov chain. In other words, the problem can be reduced to A at essentially no cost and with the benefits of a compact support A and of a possibly uniformly ergodic Markov chain. We are still working on the paper, but the idea is both cool and straightforward, so we decided to talk about it at Nordstat 2016 and now MCqMC 2016.

## retrospective Monte Carlo

Posted in pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , on July 12, 2016 by xi'an

The past week I spent in Warwick ended up with a workshop on retrospective Monte Carlo, which covered exact sampling, debiasing, Bernoulli factory problems and multi-level Monte Carlo, a definitely exciting package! (Not to mention opportunities to go climbing with some participants.) In particular, several talks focussed on the debiasing technique of Rhee and Glynn (2012) [inspired from von Neumann and Ulam, and already discussed in several posts here]. Including results in functional spaces, as demonstrated by a multifaceted talk by Sergios Agapiou who merged debiasing, deburning, and perfect sampling.

From a general perspective on unbiasing, while there exist sufficient conditions to ensure finite variance and aim at an optimal version, I feel a broader perspective should be adopted towards comparing those estimators with biased versions that take less time to compute. In a diffusion context, Chang-han Rhee presented a detailed argument as to why his debiasing solution achieves a O(√n) convergence rate in opposition the regular discretised diffusion, but multi-level Monte Carlo also achieves this convergence speed. We had a nice discussion about this point at the break, with my slow understanding that continuous time processes had much much stronger reasons for sticking to unbiasedness. At the poster session, I had the nice surprise of reading a poster on the penalty method I discussed the same morning! Used for subsampling when scaling MCMC.

On the second day, Gareth Roberts talked about the Zig-Zag algorithm (which reminded me of the cigarette paper brand). This method has connections with slice sampling but it is a continuous time method which, in dimension one, means running a constant velocity particle that starts at a uniform value between 0 and the maximum density value and proceeds horizontally until it hits the boundary, at which time it moves to another uniform. Roughly. More specifically, this approach uses piecewise deterministic Markov processes, with a radically new approach to simulating complex targets based on continuous time simulation. With computing times that [counter-intuitively] do not increase with the sample size.

Mark Huber gave another exciting talk around the Bernoulli factory problem, connecting with perfect simulation and demonstrating this is not solely a formal Monte Carlo problem! Some earlier posts here have discussed papers on that problem, but I was unaware of the results bounding [from below] the expected number of steps to simulate B(f(p)) from a (p,1-p) coin. If not of the open questions surrounding B(2p). The talk was also great in that it centred on recursion and included a fundamental theorem of perfect sampling! Not that surprising given Mark’s recent book on the topic, but exhilarating nonetheless!!!

The final talk of the second day was given by Peter Glynn, with connections with Chang-han Rhee’s talk the previous day, but with a different twist. In particular, Peter showed out to achieve perfect or exact estimation rather than perfect or exact simulation by a fabulous trick: perfect sampling is better understood through the construction of random functions φ¹, φ², … such that X²=φ¹(X¹), X³=φ²(X²), … Hence,

$X^t=\varphi^{t-1}\circ\varphi^{t-2}\circ\ldots\circ\varphi^{1}(X^1)$

which helps in constructing coupling strategies. However, since the φ’s are usually iid, the above is generally distributed like

$Y^t=\varphi^{1}\circ\varphi^{2}\circ\ldots\circ\varphi^{t-1}(X^1)$

which seems pretty similar but offers a much better concentration as t grows. Cutting the function composition is then feasible towards producing unbiased estimators and more efficient. (I realise this is not a particularly clear explanation of the idea, detailed in an arXival I somewhat missed. When seen this way, Y would seem much more expensive to compute [than X].)

## the penalty method

Posted in Statistics, University life with tags , , , , , , , , , , on July 7, 2016 by xi'an

“In this paper we will make conceptually simple generalization of Metropolis algorithm, by adjusting the acceptance ratio formula so that the transition probabilities are unaffected by the fluctuations in the estimate of [the acceptance ratio]…”

Last Friday, in Paris-Dauphine, my PhD student Changye Wu showed me a paper of Ceperley and Dewing entitled the penalty method for random walks with uncertain energies. Of which I was unaware of (and which alas pre-dated a recent advance made by Changye).  Despite its physics connections, the paper is actually about estimating a Metropolis-Hastings acceptance ratio and correcting the Metropolis-Hastings move for this estimation. While there is no generic solution to this problem, assuming that the logarithm of the acceptance ratio estimate is Gaussian around the true log acceptance ratio (and hence unbiased) leads to a log-normal correction for the acceptance probability.

“Unfortunately there is a serious complication: the variance needed in the noise penalty is also unknown.”

Even when the Gaussian assumption is acceptable, there is a further issue with this approach, namely that it also depends on an unknown variance term. And replacing it with an estimate induces further bias. So it may be that this method has not met with many followers because of those two penalising factors. Despite precluding the pseudo-marginal approach of Mark Beaumont (2003) by a few years, with the later estimating separately numerator and denominator in the Metropolis-Hastings acceptance ratio. And hence being applicable in a much wider collection of cases. Although I wonder if some generic approaches like path sampling or the exchange algorithm could be applied on a generic basis… [I just realised the title could be confusing in relation with the current football competition!]

## 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!

## Statistics & Computing [toc]

Posted in Books, Statistics with tags , , , , on June 29, 2016 by xi'an

The latest [June] issue of Statistics & Computing is full of interesting Bayesian and Monte Carlo entries, some of which are even open access!