Archive for Monte Carlo Statistical Methods

Bayesian model comparison with intractable constants

Posted in Books, Kids, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , on February 8, 2016 by xi'an

abcIRichard Everitt, Adam Johansen (Warwick), Ellen Rowing and Melina Evdemon-Hogan have updated [on arXiv] a survey paper on the computation of Bayes factors in the presence of intractable normalising constants. Apparently destined for Statistics and Computing when considering the style. A great entry, in particular for those attending the CRiSM workshop Estimating Constants in a few months!

A question that came to me from reading the introduction to the paper is why a method like Møller et al.’s (2006) auxiliary variable trick should be considered more “exact” than the pseudo-marginal approach of Andrieu and Roberts (2009) since the later can equally be seen as an auxiliary variable approach. The answer was on the next page (!) as it is indeed a special case of Andrieu and Roberts (2009). Murray et al. (2006) also belongs to this group with a product-type importance sampling estimator, based on a sequence of tempered intermediaries… As noted by the authors, there is a whole spectrum of related methods in this area, some of which qualify as exact-approximate, inexact approximate and noisy versions.

Their main argument is to support importance sampling as the method of choice, including sequential Monte Carlo (SMC) for large dimensional parameters. The auxiliary variable of Møller et al.’s (2006) is then part of the importance scheme. In the first toy example, a Poisson is opposed to a Geometric distribution, as in our ABC model choice papers, for which a multiple auxiliary variable approach dominates both ABC and Simon Wood’s synthetic likelihood for a given computing cost. I did not spot which artificial choice was made for the Z(θ)’s in both models, since the constants are entirely known in those densities. A very interesting section of the paper is when envisioning biased approximations to the intractable density. If only because the importance weights are most often biased due to the renormalisation (possibly by resampling). And because the variance derivations are then intractable as well. However, due to this intractability, the paper can only approach the impact of those approximations via empirical experiments. This leads however to the interrogation on how to evaluate the validity of the approximation in settings where truth and even its magnitude are unknown… Cross-validation and bootstrap type evaluations may prove too costly in realistic problems. Using biased solutions thus mostly remains an open problem in my opinion.

The SMC part in the paper is equally interesting if only because it focuses on the data thinning idea studied by Chopin (2002) and many other papers in the recent years. This made me wonder why an alternative relying on a sequence of approximations to the target with tractable normalising constants could not be considered. A whole sequence of auxiliary variable completions sounds highly demanding in terms of computing budget and also requires a corresponding sequence of calibrations. (Now, ABC fares no better since it requires heavy simulations and repeated calibrations, while further exhibiting a damning missing link with the target density. ) Unfortunately, embarking upon a theoretical exploration of the properties of approximate SMC is quite difficult, as shown by the strong assumptions made in the paper to bound the total variation distance to the true target.

love-hate Metropolis algorithm

Posted in Books, pictures, R, Statistics, Travel with tags , , , , , , , , , on January 28, 2016 by xi'an

Hyungsuk Tak, Xiao-Li Meng and David van Dyk just arXived a paper on a multiple choice proposal in Metropolis-Hastings algorithms towards dealing with multimodal targets. Called “A repulsive-attractive Metropolis algorithm for multimodality” [although I wonder why XXL did not jump at the opportunity to use the “love-hate” denomination!]. The proposal distribution includes a [forced] downward Metropolis-Hastings move that uses the inverse of the target density π as its own target, namely 1/{π(x)+ε}. Followed by a [forced] Metropolis-Hastings upward move which target is {π(x)+ε}. The +ε is just there to avoid handling ratios of zeroes (although I wonder why using the convention 0/0=1 would not work). And chosen as 10⁻³²³ by default in connection with R smallest positive number. Whether or not the “downward” move is truly downwards and the “upward” move is truly upwards obviously depends on the generating distribution: I find it rather surprising that the authors consider the same random walk density in both cases as I would have imagined relying on a more dispersed distribution for the downward move in order to reach more easily other modes. For instance, the downward move could have been based on an anti-Langevin proposal, relying on the gradient to proceed further down…

This special choice of a single proposal however simplifies the acceptance ratio (and keeps the overall proposal symmetric). The final acceptance ratio still requires a ratio of intractable normalising constants that the authors bypass by Møller et al. (2006) auxiliary variable trick. While the authors mention the alternative pseudo-marginal approach of Andrieu and Roberts (2009), they do not try to implement it, although this would be straightforward here: since the normalising constants are the probabilities of accepting a downward and an upward move, respectively. Those can easily be evaluated at a cost similar to the use of the auxiliary variables. That is,

– generate a few moves from the current value and record the proportion p of accepted downward moves;
– generate a few moves from the final proposed value and record the proportion q of accepted downward moves;

and replace the ratio of intractable normalising constants with p/q. It is not even clear that one needs those extra moves since the algorithm requires an acceptance in the downward and upward moves, hence generate Geometric variates associated with those probabilities p and q, variates that can be used for estimating them. From a theoretical perspective, I also wonder if forcing the downward and upward moves truly leads to an improved convergence speed. Considering the case when the random walk is poorly calibrated for either the downward or upward move, the number of failed attempts before an acceptance may get beyond the reasonable.

As XXL and David pointed out to me, the unusual aspect of the approach is that here the proposal density is intractable, rather than the target density itself. This makes using Andrieu and Roberts (2009) seemingly less straightforward. However, as I was reminded this afternoon at the statistics and probability seminar in Bristol, the argument for the pseudo-marginal based on an unbiased estimator is that w Q(w|x) has a marginal in x equal to π(x) when the expectation of w is π(x). In thecurrent problem, the proposal in x can extended into a proposal in (x,w), w P(w|x) whose marginal is the proposal on x.

If we complement the target π(x) with the conditional P(w|x), the acceptance probability would then involve

{π(x’) P(w’|x’) / π(x) P(w|x)} / {w’ P(w’|x’) / w P(w|x)} = {π(x’) / π(x)} {w/w’}

so it seems the pseudo-marginal (or auxiliary variable) argument also extends to the proposal. Here is a short experiment that shows no discrepancy between target and histogram:

#love-hate move
  while (runif(1)>{pi(x)+nozero}/{pi(prop1)+nozero}){ 
  while (runif(1)>{pi(prop2)+nozero}/{pi(prop1)+nozero}) 
  if (runif(1)<pi(prop2)*bacwa/pi(x)/fowa){ 
#arbitrary bimodal target
#running the chain
fowa=1;prop1=rnorm(1,x,2) #initial estimate
  while (runif(1)>{pi(x)+nozero}/{pi(prop1)+nozero}){
for (t in 2:T)

new kid on the blog

Posted in Kids, Statistics, University life with tags , , , , , , on January 27, 2016 by xi'an

[I first thought this title was highly original but a google search showed me wrong…] This short post to point out to the new blog started by Ingmar Schuster on computational statistics and linguistics. Which, so far, keeps strictly to the discussion of recent research papers (rather than ratiocinating about all kinds of tangential topics like a certain ‘Og…) Some of which we may discuss in parallel. And some not. So keep posted! Ingmar came to Paris-Dauphine for a doctoral visit last Winter and is back as a postdoc (supported by the Fondation des Sciences Mathématiques de Paris) since last Fall. Working with me and Nicolas, among others.


R typos

Posted in Books, Kids, R, Statistics, Travel, University life with tags , , , , , , , , on January 27, 2016 by xi'an

Amster14At MCMskv, Alexander Ly (from Amsterdam) pointed out to me some R programming mistakes I made in the introduction to Metropolis-Hastings algorithms I wrote a few months ago for the Wiley on-line encyclopedia! While the outcome (Monte Carlo posterior) of the corrected version is moderately changed this is nonetheless embarrassing! The example (if not the R code) was a mixture of a Poisson and a Geometric distributions borrowed from our testing as mixture paper. Among other things, I used a flat prior on the mixture weights instead of a Beta(1/2,1/2) prior and a simple log-normal random walk on the mean parameter instead of a more elaborate second order expansion discussed in the text. And I also inverted the probabilities of success and failure for the Geometric density. The new version is now available on arXiv, and hopefully soon on the Wiley site, but one (the?) fact worth mentioning here is that the (right) corrections in the R code first led to overflows, because I was using the Beta random walk Be(εp,ε(1-p)) which major drawback I discussed here a few months ago. With the drag that nearly zero or one values of the weight parameter produced infinite values of the density… Adding 1 (or 1/2) to each parameter of the Beta proposal solved the problem. And led to a posterior on the weight still concentrating on the correct corner of the unit interval. In any case, a big thank you to Alexander for testing the R code and spotting out the several mistakes…

high dimension Metropolis-Hastings algorithms

Posted in Books, Kids, Mountains, pictures, R, Statistics with tags , , , , , , on January 26, 2016 by xi'an

When discussing high dimension models with Ingmar Schüster Schuster [blame my fascination for accented characters!] the other day, we came across the following paradox with Metropolis-Hastings algorithms. If attempting to simulate from a multivariate standard normal distribution in a large dimension, when starting from the mode of the target, i.e., its mean γ, leaving the mode γis extremely unlikely, given the huge drop between the value of the density at the mode γ and at likely realisations (corresponding to the blue sequence). Even when relying on the very scale that makes the proposal identical to the target! Resorting to a tiny scale like Σ/p manages to escape the unhealthy neighbourhood of the highly unlikely mode (as shown with the brown sequence).

Here is the corresponding R code:

mh=mu #mode as starting value
for (t in 1:T){
if (log(runif(1))&lt;logdmvnorm(prop,mu,sigma)-
   logdmvnorm(mh,mu,sigma)) mh=prop

done! [#2]

Posted in Kids, Statistics, University life with tags , , , , , , , , , on January 21, 2016 by xi'an

exosPhew! I just finished my enormous pile of homeworks for the computational statistics course… This massive pile is due to an unexpected number of students registering for the Data Science Master at ENSAE and Paris-Dauphine. As I was not aware of this surge, I kept to my practice of asking students to hand back solved exercises from Monte Carlo Statistical Methods at the beginning of each class. And could not change the rules of the game once the course had started! Next year, I’ll make sure to get some backup for grading those exercises. Or go for group projects instead…

CRiSM workshop on estimating constants [#1]

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , on January 19, 2016 by xi'an

The registration for the CRiSM workshop on estimating constants that Nial Friel, Helen Ogden and myself host next April 20-22 at the University of Warwick is now open. The plain registration fees are £40 and accommodation on the campus is available through the same form.

Since besides the invited talks, the workshop will host two poster session with speed (2-5mn) oral presentations, we encourage all interested researchers to submit a poster via the appropriate form. Once again, this should be an exciting two-day workshop, given the on-going activity in this area.


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