## averaged acceptance ratios

Posted in Statistics with tags , , , , , , , , , , , , , on January 15, 2021 by xi'an

In another recent arXival, Christophe Andrieu, Sinan Yıldırım, Arnaud Doucet, and Nicolas Chopin study the impact of averaging estimators of acceptance ratios in Metropolis-Hastings algorithms. (It is connected with the earlier arXival rephrasing Metropolis-Hastings in terms of involutions discussed here.)

“… it is possible to improve performance of this algorithm by using a modification where the acceptance ratio r(ξ) is integrated with respect to a subset of the proposed variables.”

This interpretation of the current proposal makes it a form of Rao-Blackwellisation, explicitly mentioned on p.18, where, using a mixture proposal, with an adapted acceptance probability, it depends on the integrated acceptance ratio only. Somewhat magically using this ratio and its inverse with probability ½. And it increases the average Metropolis-Hastings acceptance probability (albeit with a larger number of simulations). Since the ideal averaging is rarely available, the authors implement a Monte Carlo averaging version. With applications to the exchange algorithm and to reversible jump MCMC. The major application is to pseudo-marginal settings with a high complexity (in the number T of terms) and where the authors’ approach does scale efficiently with T. There is even an ABC side to the story as one illustration is made of the ABC approximation to the posterior of an α-stable sample. As an encompassing proposal for handling Metropolis-Hastings environments with latent variables and several versions of the acceptance ratios, this is quite an interesting paper that I think we will study in further detail with our students.

## Monte Carlo fusion

Posted in Statistics with tags , , , , , , , , , on January 18, 2019 by xi'an

Hongsheng Dai, Murray Pollock (University of Warwick), and Gareth Roberts (University of Warwick) just arXived a paper we discussed together last year while I was at Warwick. Where fusion means bringing different parts of the target distribution

f(x)∝f¹(x)f²(x)…

together, once simulation from each part has been done. In the same spirit as in Scott et al. (2016) consensus Monte Carlo. Where for instance the components of the target cannot be computed simultaneously, either because of the size of the dataset, or because of privacy issues.The idea in this paper is to target an augmented density with the above marginal, using for each component of f, an auxiliary variable x¹,x²,…, and a target that is the product of the squared component, f¹(x¹)², f²(x²)², … by a transition density keeping f¹(.)²,f²(.)²,… invariant:

$f^c(x^c)^2 p_c(y|x^c) / f_c(y)$

as for instance the transition density of a Langevin diffusion. The marginal of

$\prod_c f^c(x^c)^2 p_c(y|x^c) / f_c(y)$

as a function of y is then the targeted original product. Simulating from this new extended target can be achieved by rejection sampling. (Any impact of the number of auxiliary variables on the convergence?) The practical implementation actually implies using the path-space rejection sampling methods in the Read Paper of Beskos et al. (2006). (An extreme case of the algorithm is actually an (exact) ABC version where the simulations x¹,x²,… from all components have to be identical and equal to y. The opposite extreme is the consensus Monte Carlo Algorithm, which explains why this algorithm is not an efficient solution.) An alternative is based on an Ornstein-Uhlenbeck bridge. While the paper remains at a theoretical level with toy examples, I heard from the same sources that applications to more realistic problems and implementation on parallel processors is under way.

## EP as a way of life (aka Life of EP)

Posted in Books, Statistics, University life with tags , , , , , , , on December 24, 2014 by xi'an

When Andrew was in Paris, we discussed at length about using EP for handling big datasets in a different way than running parallel MCMC. A related preprint came out on arXiv a few days ago, with an introduction on Andrews’ blog. (Not written two months in advance as most of his entries!)

The major argument in using EP in a large data setting is that the approximation to the true posterior can be build using one part of the data at a time and thus avoids handling the entire likelihood function. Nonetheless, I still remain mostly agnostic about using EP and a seminar this morning at CREST by Guillaume Dehaene and Simon Barthelmé (re)generated self-interrogations about the method that hopefully can be exploited towards the future version of the paper.

One of the major difficulties I have with EP is about the nature of the resulting approximation. Since it is chosen out of a “nice” family of distributions, presumably restricted to an exponential family, the optimal approximation will remain within this family, which further makes EP sound like a specific variational Bayes method since the goal is to find the family member the closest to the posterior in terms of Kullback-Leibler divergence. (Except that the divergence is the opposite one.) I remain uncertain about what to do with the resulting solution, as the algorithm does not tell me how close this solution will be from the true posterior. Unless one can use it as a pseudo-distribution for indirect inference (a.k.a., ABC)..?

Another thing that became clear during this seminar is that the decomposition of the target as a product is completely arbitrary, i.e., does not correspond to an feature of the target other than the later being the product of those components. Hence, the EP partition could be adapted or even optimised within the algorithm. Similarly, the parametrisation could be optimised towards a “more Gaussian” posterior. This is something that makes EP both exciting as opening many avenues for experimentation and fuzzy as its perceived lack of goal makes comparing approaches delicate. For instance, using MCMC or HMC steps to estimate the parameters of the tilted distribution is quite natural in complex settings but the impact of the additional approximation must be gauged against the overall purpose of the approach.

## accelerating MCMC via parallel predictive prefetching

Posted in Books, Statistics, University life with tags , , , , , , , , on April 7, 2014 by xi'an

¨The idea is to calculate multiple likelihoods ahead of time (“pre-fetching”), and only use the ones which are needed.” A. Brockwell, 2006

Yet another paper on parallel MCMC, just arXived by Elaine Angelino, Eddie Kohler, Amos Waterland, Margo Seltzer, and Ryan P. Adams. Now,  besides “prefetching” found in the title, I spotted “speculative execution”, “slapdash treatment”, “scheduling decisions” in the very first pages: this paper definitely is far from shying away from using fancy terminology! I actually found the paper rather difficult to read to the point I had to give up my first attempt during an endless university board of governors meeting yesterday. (I also think “prefetching” is awfully painful to type!)

What is “prefetching” then? It refers to a 2006 JCGS paper by Anthony Brockwell. As explained in the above quote from Brockwell, prefetching means computing the 2², 2³, … values of the likelihood that will be needed in 2, 3, … iterations. Running a regular Metropolis-Hastings algorithm then means building a decision tree back to the current iteration and drawing 2,3, … uniform to go down the tree to the appropriate branch. So in the end only one path of the tree is exploited, which does not seem particularly efficient when vanilla Rao-Blackwellisation and recycling could be implemented almost for free.

“Another intriguing possibility, suggested to the author by an anonymous referee, arises in the case where one can guess whether or not acceptance probabilities will be “high” or “low.” In this case, the tree could be made deeper down “high” probability paths and shallower in the “low” probability paths.” A. Brockwell, 2006

The current paper stems from Brockwell’s 2006 final remark, as reproduced above, by those “speculative moves” that considers the reject branch of the prefetching tree more often that not, based on some preliminary or dynamic evaluation of the acceptance rate. Using a fast but close enough approximation to the true target (and a fixed sequence of uniforms) may also produce a “single most likely path on which” prefetched simulations can be run. The basic idea is thus to run simulations and costly likelihood computations on many parallel processors along a prefetched path, path that has been prefetched for its high approximate likelihood. (With of courses cases where this speculative simulation is not helpful because we end up following another path with the genuine target.) The paper actually goes further than the basic idea to avoid spending useless time on paths that will not be chosen, by constructing sequences of approximations for the precomputations. The proposition for the sequence found therein is to subsample the original data and use a normal approximation to the difference of the log (sub-)likelihoods. Even though the authors describe the system implementation of the progressive approximation idea, it remains rather unclear (to me) how the adaptive estimation of the acceptance probability is compatible with the parallelisation idea. Because it seems (to me) that it induces a lot of communication between the cores. Also, the method is advocated mainly for burnin’ (or warmup, to follow Andrew’s terminology!), which seems to remove the need to use exact targets: if the approximation is close enough, the Markov chain will quickly reach a region of interest for the true target and from there there seems to be little speedup in implementing this nonetheless most interesting strategy.

## where did the normalising constants go?! [part 2]

Posted in R, Statistics, Travel with tags , , , , , , , on March 12, 2014 by xi'an

Coming (swiftly and smoothly) back home after this wonderful and intense week in Banff, I hugged my loved ones,  quickly unpacked, ran a washing machine, and  then sat down to check where and how my reasoning was wrong. To start with, I experimented with a toy example in R:

# true target is (x^.7(1-x)^.3) (x^1.3 (1-x)^1.7)
# ie a Beta(3,3) distribution

# samples from partial posteriors
N=10^5
sam1=rbeta(N,1.7,1.3)
sam2=rbeta(N,2.3,2.7)

# first version: product of density estimates
dens1=density(sam1,from=0,to=1)
dens2=density(sam2,from=0,to=1)
prod=dens1$y*dens2$y
# normalising by hand
prod=prod*length(dens1$x)/sum(prod) plot(dens1$x,prod,type="l",col="steelblue",lwd=2)

# second version: F-S & P's yin+yang sampling
# with weights proportional to the other posterior

subsam1=sam1[sample(1:N,N,prob=dbeta(sam1,2.3,2.7),rep=T)]
plot(density(subsam1,from=0,to=1),col="steelblue",lwd=2)

subsam2=sam2[sample(1:N,N,prob=dbeta(sam2,1.7,1.3),rep=T)]
plot(density(subsam2,from=0,to=1),col="steelblue",lwd=2)


and (of course!) it produced the perfect fits reproduced below. Writing the R code acted as a developing bath as it showed why we could do without the constants!

Of course”, because the various derivations in the above R code all are clearly independent from the normalising constant: (i) when considering a product of kernel density estimators, as in the first version, this is an approximation of

$\prod_{i=1}^k p_i(\theta)$

as well as of

$\prod_{ i}^k m_i(\theta)$

since the constant does not matter. (ii) When considering a sample from mi and weighting it by the product of the remaining true or estimated mj‘s, this is a sampling weighting resampling simulation from the density proportional to the product and hence, once again, the constants do not matter. At last, (iii) when mixing the two subsamples, since they both are distributed from the product density, the constants do not matter. As I slowly realised when running this morning (trail-running, not code-runninh!, for the very first time in ten days!), the straight-from-the-box importance sampling version on the mixed samples I considered yesterday (to the point of wondering out loud where did the constants go) is never implemented in the cited papers. Hence, the fact that

$\prod_i^k p_i(\theta)\propto \prod_{i}^k m_i(\theta)$

is enough to justify handling the target directly as the product of the partial marginals. End of the mystery. Anticlimactic end, sorry…