Archive for NIPS 2018

Implicit maximum likelihood estimates

Posted in Statistics with tags , , , , , , , , , , on October 9, 2018 by xi'an

An ‘Og’s reader pointed me to this paper by Li and Malik, which made it to arXiv after not making it to NIPS. While the NIPS reviews were not particularly informative and strongly discordant, the authors point out in the comments that they are available for the sake of promoting discussion. (As made clear in earlier posts, I am quite supportive of this attitude! Disclaimer: I was not involved in an evaluation of this paper, neither for NIPS nor for another conference or journal!!) Although the paper does not seem to mention ABC in the setting of implicit likelihoods and generative models, there is a reference to the early (1984) paper by Peter Diggle and Richard Gratton that is often seen as the ancestor of ABC methods. The authors point out numerous issues with solutions proposed for parameter estimation in such implicit models. For instance, for GANs, they signal that “minimizing the Jensen-Shannon divergence or the Wasserstein distance between the empirical data distribution and the model distribution does not necessarily minimize the same between the true data distribution and the model distribution.” (Not mentioning the particular difficulty with Bayesian GANs.) Their own solution is the implicit maximum likelihood estimator, which picks the value of the parameter θ bringing a simulated sample the closest to the observed sample. Closest in the sense of the Euclidean distance between both samples. Or between the minimum of several simulated samples and the observed sample. (The modelling seems to imply the availability of n>1 observed samples.) They advocate using a stochastic gradient descent approach for finding the optimal parameter θ which presupposes that the dependence between θ and the simulated samples is somewhat differentiable. (And this does not account for using a min, which would make differentiation close to impossible.) The paper then meanders in a lengthy discussion as to whether maximising the likelihood makes sense, with a rather naïve view on why using the empirical distribution in a Kullback-Leibler divergence does not make sense! What does not make sense is considering the finite sample approximation to the Kullback-Leibler divergence with the true distribution in my opinion.

coordinate sampler as a non-reversible Gibbs-like MCMC sampler

Posted in Books, Kids, Statistics, University life with tags , , , , , , , , on September 12, 2018 by xi'an

In connection with the talk I gave last July in Rennes for MCqMC 2018, I posted yesterday a preprint on arXiv of the work that my [soon to defend!] Dauphine PhD student Changye Wu and I did on an alternative PDMP. In this novel avatar of the zig-zag sampler,  a  non-reversible, continuous-time MCMC sampler, that we called the Coordinate Sampler, based on a piecewise deterministic Markov process. In addition to establishing the theoretical validity of this new sampling algorithm, we show in the same line as Deligiannidis et al.  (2018) that the Markov chain it induces exhibits geometrical ergodicity for distributions which tails decay at least as fast as an exponential distribution and at most as fast as a Gaussian distribution. A few numerical examples (a 2D banana shaped distribution à la Haario et al., 1999, strongly correlated high-dimensional normals, a log-Gaussian Cox process) highlight that our coordinate sampler is more efficient than the zig-zag sampler, in terms of effective sample size.Actually, we had sent this paper before the summer as a NIPS [2018] submission, but it did not make it through [the 4900 submissions this year and] the final review process, being eventually rated above the acceptance bar but not that above!

ABC in Montréal

Posted in pictures, R, Running, Statistics, Travel, University life with tags , , , , , , , on September 4, 2018 by xi'an

There will be a symposium on ABC in Montréal this coming December, the day before NIPS, in a continuation of past years NIPS workshops. While invited speakers and panelists have been selected by the committee, a call for papers is open. Note that in continuation with the best “ABC in…” tradition, registration is free! I will unfortunately be unable to make it to this symposium, as the date clashes with our Big Bayes conference at CIRM (free registration, with still some places available!).