Archive for parallelisation

convergences of MCMC and unbiasedness

Posted in pictures, Statistics, University life with tags , , , , , , , , , on January 16, 2018 by xi'an

During his talk on unbiased MCMC in Dauphine today, Pierre Jacob provided a nice illustration of the convergence modes of MCMC algorithms. With the stationary target achieved after 100 Metropolis iterations, while the mean of the target taking much more iterations to be approximated by the empirical average. Plus a nice connection between coupling time and convergence. Convergence to the target.During Pierre’s talk, some simple questions came to mind, from developing an “impatient user version”, as in perfect sampling, in order  to stop chains that run “forever”,  to optimising parallelisation in order to avoid problems of asynchronicity. While the complexity of coupling increases with dimension and the coupling probability goes down, the average coupling time varies but an unexpected figure is that the expected cost per iteration is of 2 simulations, irrespective of the chosen kernels. Pierre also made a connection with optimal transport coupling and stressed that the maximal coupling was for the proposal and not for the target.

patterns of scalable Bayesian inference

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , on February 24, 2016 by xi'an

Elaine Angelino, Matthew Johnson and Ryan Adams just arXived a massive survey of 118 pages on scalable Bayesian inference, which could have been entitled Bayes for Big Data, as this monograph covers state-of-the-art computational approaches to large and complex data structures. I did not read each and every line of it, but I have already recommended it to my PhD students. Some of its material unsurprisingly draws from the recent survey by Rémi Bardenet et al. (2015) I discussed a while ago. It also relates rather frequently to the somewhat parallel ICML paper of Korattikara et al. (2014). And to the firefly Monte Carlo procedure also discussed previously here.

Chapter 2 provides some standard background on computational techniques, Chapter 3 covers MCMC with data subsets, Chapter 4 gives some entries on MCMC with parallel and distributed architectures, Chapter 5 focus on variational solutions, and Chapter 6 is about open questions and challenges.

“Insisting on zero asymptotic bias from Monte Carlo estimates of expectations may leave us swamped in errors from high variance or transient bias.”

One central theme of the paper is the need for approximate solutions, MCMC being perceived as the exact solution. (Somewhat wrongly in the sense that the product of an MCMC is at best an empirical version of the true posterior, hence endowed with a residual and incompressible variation for a given computing budget.) While Chapter 3 stresses the issue of assessing the distance to the true posterior, it does not dwell at all on computing times and budget, which is arguably a much harder problem. Chapter 4 seems to be more aware of this issue since arguing that “a way to use parallel computing resources is to run multiple sequential MCMC algorithms at once [but that this] does not reduce the transient bias in MCMC estimates of posterior expectations” (p.54). The alternatives are to use either prefetching (which was the central theme of Elaine Angelino’s thesis), asynchronous Gibbs with the new to me (?) Hogwild Gibbs algorithms (connected in Terenin et al.’s recent paper, not quoted in the paper), some versions of consensus Monte Carlo covered in earlier posts, the missing links being in my humble opinion an assessment of the worth of those solutions (in the spirit of “here’s the solution, what was the problem again?”) and once again the computing time issue. Chapter 5 briefly discusses some recent developments in variational mean field approximations, which is farther from my interests and (limited) competence, but which appears as a particular class of approximate models and thus could (and should?) relate to likelihood-free methods. Chapter 6 about the current challenges of the field is presumably the most interesting in this monograph in that it produces open questions and suggests directions for future research. For instance, opposing the long term MCMC error with the short term transient part. Or the issue of comparing different implementations in a practical and timely perspective.

new version of abcrf

Posted in R, Statistics, University life with tags , , , , , , on February 12, 2016 by xi'an
fig-tree near Brisbane, Australia, Aug. 18, 2012Version 1.1 of our R library abcrf version 1.1  is now available on CRAN.  Improvements against the earlier version are numerous and substantial. In particular,  calculations of the random forests have been parallelised and, for machines with multiple cores, the computing gain can be enormous. (The package does along with the random forest model choice paper published in Bioinformatics.)

Advances in scalable Bayesian computation [day #4]

Posted in Books, Mountains, pictures, R, Statistics, University life with tags , , , , , , , , , , , , , , , , , on March 7, 2014 by xi'an

polyptych painting within the TransCanada Pipeline Pavilion, Banff Centre, Banff, March 21, 2012Final day of our workshop Advances in Scalable Bayesian Computation already, since tomorrow morning is an open research time ½ day! Another “perfect day in paradise”, with the Banff Centre campus covered by a fine snow blanket, still falling…, and making work in an office of BIRS a dream-like moment.

Still looking for a daily theme, parallelisation could be the right candidate, even though other talks this week went into parallelisation issues, incl. Steve’s talk yesterday. Indeed, Anthony Lee gave a talk this morning on interactive sequential Monte Carlo, where he motivated the setting by a formal parallel structure. Then, Darren Wilkinson surveyed the parallelisation issues in Monte Carlo, MCMC, SMC and ABC settings, before arguing in favour of a functional language called Scala. (Neat entries to those topics can be found on Darren’s blog.) And in the afternoon session, Sylvia Frühwirth-Schnatter exposed her approach to the (embarrassingly) parallel problem, in the spirit of Steve’s , David Dunson’s and Scott’s (a paper posted on the day I arrived in Chamonix and hence I missed!). There was plenty to learn from that talk (do not miss the Yin-Yang moment at 25 mn!), but it also helped me to break a difficulty I had with the consensus Bayes representation for two weeks (more on that later!). And, even though Marc Suchard mostly talked about flu and trees in a very pleasant and broad talk, he also had a slide on parallelisation to fit the theme! Although unrelated with parallelism,  Nicolas Chopin’s talk was on sequential quasi-Monte Carlo algorithms: while I had heard previous versions of this talk in Chamonix and BigMC, I found it full of exciting stuff. And it clearly got the room truly puzzled by this possibility, in a positive way! Similarly, Alex Lenkoski spoke about extreme rain events in Norway with no trace of parallelism, but the general idea behind the examples was to question the notion of the calibrated Bayesian (with possible connections with the cut models).

This has been a wonderful week and I am sure the participants got as much as I did from the talks and the informal exchanges. Thanks to BIRS for the sponsorship and the superb organisation of the week (and to the Banff Centre for providing such a paradisical environment). I feel very privileged to have benefited from this support, even though I deadly hope to be back in Banff within a few years.

Foundations of Statistical Algorithms [book review]

Posted in Books, Linux, R, Statistics, University life with tags , , , , , , , , , , , , , on February 28, 2014 by xi'an

There is computational statistics and there is statistical computing. And then there is statistical algorithmic. Not the same thing, by far. This 2014 book by Weihs, Mersman and Ligges, from TU Dortmund, the later being also a member of the R Core team, stands at one end of this wide spectrum of techniques required by modern statistical analysis. In short, it provides the necessary skills to construct statistical algorithms and hence to contribute to statistical computing. And I wish I had the luxury to teach from Foundations of Statistical Algorithms to my graduate students, if only we could afford an extra yearly course…

“Our aim is to enable the reader (…) to quickly understand the main ideas of modern numerical algorithms [rather] than having to memorize the current, and soon to be outdated, set of popular algorithms from computational statistics.”(p.1)

The book is built around the above aim, first presenting the reasons why computers can produce answers different from what we want, using least squares as a mean to check for (in)stability, then second establishing the ground forFishman Monte Carlo methods by discussing (pseudo-)random generation, including MCMC algorithms, before moving in third to bootstrap and resampling techniques, and  concluding with parallelisation and scalability. The text is highly structured, with frequent summaries, a division of chapters all the way down to sub-sub-sub-sections, an R implementation section in each chapter, and a few exercises. Continue reading

MCMSki IV [day 2.5]

Posted in Mountains, pictures, Statistics, University life with tags , , , , , , , , , on January 8, 2014 by xi'an

ridge4Despite a good rest during the ski break, my cold did not get away (no magic left in this world!) and I thus had a low attention span to attend the Bayesian statistics and Population genetics session: while Jukka Corander mentioned the improvement brought by our AMIS algorithm, I had difficulties getting the nature of the model, if only because he used a blackboard-like font that made math symbols too tiny to read. (Nice fonts, otherwise!), Daniel Lawson (of vomiting Warhammer fame!) talked about the alluring notion of a statistical emulator, and Barbara Engelhardt talked about variable selection in a SNP setting. I did not get a feeling on how handling ten millions of SNPs was possible in towards a variable selection goal.  My final session of the day was actually “my” invited session on ABC methods, where Richard Everitt presented a way of mixing exact approximation with ABC and synthetic likelihood (Wood, Nature) approximations. The resulting MAVIS algorithm is  not out yet. The second speaker was Ollie Ratman, who spoke on his accurate ABC that I have discussed many times here. And Jean-Michel Marin managed to drive from Montpelier, just in time to deliver his talk on our various explorations of the ABC model choice problem.

After a quick raclette at “home”, we headed back to the second poster session, where I had enough of a clear mind and not too much of a headache (!) to have several interesting discussions, incl. a new parallelisation suggested  by Ben Calderhead, the sticky Metropolis algorithm of Luca Martino, the airport management video of Jegar Pitchforth, the mixture of Dirichlet distributions for extremes by Anne Sabourin, not mentioning posters from Warwick or Paris. At the end of the evening  I walked back to my apartment with the Blossom skis we had brought in the morning to attract registrations for the ski race: not enough to make up for the amount charged by the ski school. Too bad, especially given Anto’s efforts to get this amazing sponsoring!

O’Bayes 2013 [#3]

Posted in pictures, Running, Statistics, Travel, University life with tags , , , , , , , on December 23, 2013 by xi'an

IMG_2223A final day for this O’Bayes 2013 conference, where I missed the final session for travelling reasons. Several talks had highly attractive features (for me), from David Dunson’s on his recently arXived paper on parallel MCMC, that provides an alternative to the embarrassingly parallel algorithm I discussed a few weeks ago, to be discussed further in a future post, to Marty Wells hindered by poor weather and delivering by phone a talk on L1 shrinkage estimators (a bit of a paradox since, as discussed by Yuzo Maruyama, most MAP estimators cannot be minimax and, more broadly, since they cannot be expressed as resolutions of loss minimisation), to Malay Ghosh revisiting g-priors from an almost frequentist viewpoint,  to Gonzalo Garci-Donato presenting criteria for objective Bayesian model choice in a vision that was clearly the closest to my own perspective on the topic. Overall, when reflecting upon the diversity and high quality of the talks at this O’Bayes meeting, and also as the incoming chair-elect of the corresponding section of ISBA, I think that what emerges most significantly from those talks is an ongoing pondering on the nature of (objective Bayesian) testing, not only in the works extending the g-priors in various directions, but also in the whole debate between Bayes factors and information criteria, model averaging versus model selection. During the discussion on Gonzalo’s talk, David Draper objected to the search for an automated approach to the comparison of models, but I strongly lean towards Gonzalo’s perspective as we need to provide a reference solution able to tackle less formal and more realistic problems. I do hope to see more of those realistic problems tackled at O’Bayes 2015 (which location is not yet settled). In the meanwhile, a strong thank you! to the local organising committee and most specifically to Jim Berger!