Archive for optimal transport

transport Monte Carlo

Posted in Books, pictures, Statistics, Travel with tags , , , , , , , , , , , , , , , on August 31, 2020 by xi'an

Read this recent arXival by Leo Duan (from UF in Gainesville) on transport approaches to approximate Bayesian computation, in connection with normalising flows. The author points out a “lack of flexibility in a large class of normalizing flows”  to bring forward his own proposal.

“…we assume the reference (a multivariate uniform distribution) can be written as a mixture of many one-to-one transforms from the posterior”

The transportation problem is turned into defining a joint distribution on (β,θ) such that θ is marginally distributed from the posterior and β is one of an infinite collection of transforms of θ. Which sounds quite different from normalizing flows, to be sure. Reverting the order, if one manages to simulate β from its marginal the resulting θ is one of the transforms. Chosen to be a location-scale modification of β, s⊗β+m. The weights when going from θ to β are logistic transforms with Dirichlet distributed scales. All with parameters to be optimised by minimising the Kullback-Leibler distance between the reference measure on β and its inverse mixture approximation, and resorting to gradient descent. (This may sound a wee bit overwhelming as an approximation strategy and I actually had to make a large cup of strong macha to get over it, but this may be due to the heat wave occurring at the same time!) Drawing θ from this approximation is custom-made straightforward and an MCMC correction can even be added, resulting in an independent Metropolis-Hastings version since the acceptance ratio remains computable. Although this may defeat the whole purpose of the exercise by stalling the chain if the approximation is poor (hence suggesting this last step being used instead as a control.)

The paper also contains a theoretical section that studies the approximation error, going to zero as the number of terms in the mixture, K, goes to infinity. Including a Monte Carlo error in log(n)/n (and incidentally quoting a result from my former HoD at Paris 6, Paul Deheuvels). Numerical experiments show domination or equivalence with some other solutions, e.g. being much faster than HMC, the remaining $1000 question being of course the on-line evaluation of the quality of the approximation.

distortion estimates for approximate Bayesian inference

Posted in pictures, Statistics, University life with tags , , , , , , , , , on July 7, 2020 by xi'an

A few days ago, Hanwen Xing, Geoff Nichols and Jeong Eun Lee arXived a paper with the following title, to be presented at uai2020. Towards assessing the fit of the approximation for the actual posterior, given the available data. This covers of course ABC methods (which seems to be the primary focus of the paper) but also variational inference and synthetic likelihood versions. For a parameter of interest, the difference between exact and approximate marginal posterior distributions is see as a distortion map, D = F o G⁻¹, interpreted as in optimal transport and estimated by normalising flows. Even when the approximate distribution G is poorly estimated since D remains the cdf of G(X) when X is distributed from F. The marginal posterior approximate cdf G can be estimated by ABC or another approximate technique. The distortion function D is itself restricted to be a Beta cdf, with parameters estimated by a neural network (although based on which input is unclear to me, unless the weights in (5) are the neural weights). The assessment is based on the estimated distortion at the dataset, as a significant difference from the identity signal a poor fit for the approximation. Overall, the procedure seems implementable rather easily and while depending on calibrating choices (other than the number of layers in the neural network) a realistic version of the simulation-based diagnostic of Talts et al. (2018).

Gabriel’s talk at Warwick on optimal transport

Posted in Statistics with tags , , , , , , on March 4, 2020 by xi'an

Couplings and Monte Carlo [advanced graduate course at Dauphine by Pierre Jacob]

Posted in Kids, pictures, Statistics, Travel with tags , , , , , , on January 20, 2020 by xi'an

As a visiting professor at Paris-Dauphine next month, Pierre Jacob will give a series of lectures on coupling and Monte Carlo. Next month on Feb. 13, 14, 25 27, at Université Paris-Dauphine, the first two starting at 8:30 (room E) and the last two starting at 13:45 (room F and D201, respectively). Attendance is open to all and material will be made available on the lecture webpage.


Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , , , on January 10, 2020 by xi'an

First, I really have to congratulate my friend Jim Hobert for a great organisation of the meeting adopting my favourite minimalist principles (no name tag, no “goodies” apart from the conference schedule, no official talks). Without any pretense at objectivity, I also appreciated very much the range of topics and the sweet frustration of having to choose between two or three sessions each time. Here are some notes taken during some talks (with no implicit implication for the talks no mentioned, re. above frustration! as well as very short nights making sudden lapse in concentration highly likely).

On Day 1, Paul Fearnhead’s inaugural plenary talk was on continuous time Monte Carlo methods, mostly bouncy particle and zig-zag samplers, with a detailed explanation on the simulation of the switching times which likely brought the audience up to speed even if they had never heard of them. And an opening on PDMPs used as equivalents to reversible jump MCMC, reminding me of the continuous time (point process) solutions of Matthew Stephens for mixture inference (and of Preston, Ripley, Møller).

The same morn I heard of highly efficient techniques to handle very large matrices and p>n variables selections by Akihiko Nishimura and Ruth Baker on a delayed acceptance ABC, using a cheap proxy model. Somewhat different from indirect inference. I found the reliance on ESS somewhat puzzling given the intractability of the likelihood (and the low reliability of the frequency estimate) and the lack of connection with the “real” posterior. At the same ABC session, Umberto Picchini spoke on a joint work with Richard Everitt (Warwick) on linking ABC and pseudo-marginal MCMC by bootstrap. Actually, the notion of ABC likelihood was already proposed as pseudo-marginal ABC by Anthony Lee, Christophe Andrieu and Arnaud Doucet in the discussion of Fearnhead and Prangle (2012) but I wonder at the focus of being unbiased when the quantity is not the truth, i.e. the “real” likelihood. It would seem more appropriate to attempt better kernel estimates on the distribution of the summary itself. The same session also involved David Frazier who linked our work on ABC for misspecified models and an on-going investigation of synthetic likelihood.

Later, there was a surprise occurrence of the Bernoulli factory in a talk by Radu Herbei on Gaussian process priors with accept-reject algorithms, leading to exact MCMC, although the computing implementation remains uncertain. And several discussions during the poster session, incl. one on the planning of a 2021 workshop in Oaxaca centred on objective Bayes advances as we received acceptance of our proposal by BIRS today!

On Day 2, David Blei gave a plenary introduction to variational Bayes inference and latent Dirichlet allocations, somewhat too introductory for my taste although other participants enjoyed this exposition. He also mentioned a recent JASA paper on the frequentist consistency of variational Bayes that I should check. Speaking later with PhD students, they really enjoyed this opening on an area they did not know that well.

A talk by Kengo Kamatani (whom I visited last summer) on improved ergodicity rates for heavy tailed targets and Crank-NIcholson modifications to the random walk proposal (which uses an AR(1) representation instead of the random walk). With the clever idea of adding the scale of the proposal as an extra parameter with a prior of its own. Gaining one order of magnitude in the convergence speed (i.e. from d to 1 and from d² to d, where d is the dimension), which is quite impressive (and just published in JAP).Veronica Rockova linked Bayesian variable selection and machine learning via ABC, with conditions on the prior for model consistency. And a novel approach using part of the data to learn an ABC partial posterior, which reminded me of the partial  Bayes factors of the 1990’s although it is presumably unrelated. And a replacement of the original rejection ABC via multi-armed bandits, where each variable is represented by an arm, called ABC Bayesian forests. Recalling the simulation trick behind Thompson’s approach, reproduced for the inclusion or exclusion of variates and producing a fixed estimate for the (marginal) inclusion probabilities, which makes it sound like a prior-feeback form of empirical Bayes. Followed by a talk of Gregor Kastner on MCMC handling of large time series with specific priors and a massive number of parameters.

The afternoon also had a wealth of exciting talks and missed opportunities (in the other sessions!). Which ended up with a strong if unintended French bias since I listened to Christophe Andrieu, Gabriel Stolz, Umut Simsekli, and Manon Michel on different continuous time processes, with Umut linking GANs, multidimensional optimal transport, sliced-Wasserstein, generative models, and new stochastic differential equations. Manon Michel gave a highly intuitive talk on creating non-reversibility, getting rid of refreshment rates in PDMPs to kill any form of reversibility.