**S**amuel Wiqvist and co-authors from Scandinavia have recently arXived a paper on a new version of delayed acceptance MCMC. The ADA in the novel algorithm stands for approximate and accelerated, where the approximation in the first stage is to use a Gaussian process to replace the likelihood. In our approach, we used subsets for partial likelihoods, ordering them so that the most varying sub-likelihoods were evaluated first. Furthermore, if a parameter reaches the second stage, the likelihood is not necessarily evaluated, based on the global probability that a second stage is rejected or accepted. Which of course creates an approximation. Even when using a local predictor of the probability. The outcome of a comparison in two complex models is that the delayed approach does not necessarily do better than particle MCMC in terms of effective sample size per second, since it does reject significantly more. Using various types of surrogate likelihoods and assessments of the approximation effect could boost the appeal of the method. Maybe using ABC first could suggest another surrogate?

## Archive for particle MCMC

## delayed-acceptance. ADA boosted

Posted in Statistics with tags ABC, delayed acceptance, Gaussian processes, MCMC, particle MCMC, Scandinavia on August 11, 2019 by xi'an## IMS workshop [day 4]

Posted in pictures, Statistics, Travel, University life with tags Feynman-Kac formalism, National University Singapore, NUS, optimal transport, particle filter, particle filters, particle MCMC, pseudo-marginal MCMC, sunrise, transportation model on August 31, 2018 by xi'an **W**hile I did not repeat the mistake of yesterday morning, just as well because the sun was unbearably strong!, I managed this time to board a bus headed in the wrong direction and as a result went through several remote NUS campi! Missing the first talk of the day as a result. By Youssef Marzouk, with a connection between sequential Monte Carlo and optimal transport. Transport for sampling, that is. The following talk by Tiangang Cui was however related, with Marzouk a co-author, as it aimed at finding linear transforms towards creating Normal approximations to the target to be used as proposals in Metropolis algorithms. Which may sound like something already tried a zillion times in the MCMC literature, except that the setting was rather specific to some inverse problems, imposing a generalised Normal structure on the transform, then optimised by transport arguments. It is unclear to me [from just attending the talk] how complex this derivation is and how dimension steps in, but the produced illustrations were quite robust to an increase in dimension.

The remaining talks for the day were mostly particular, from Anthony Lee introducing a new and almost costless way of producing variance estimates in particle filters, exploiting only the ancestry of particles, to Mike Pitt discussing the correlated pseudo-marginal algorithm developed with George Deligiannidis and Arnaud Doucet. Which somewhat paradoxically managed to fight the degeneracy [i.e., the need for a number of terms increasing like the time index T] found in independent pseudo-marginal resolutions, moving down to almost log(T)… With an interesting connection to the quasi SMC approach of Mathieu and Nicolas. And Sebastian Reich also stressed the links with optimal transport in a talk about data assimilation that was way beyond my reach. The day concluded with fireworks, through a magistral lecture by Professeur Del Moral on a continuous time version of PMCMC using the Feynman-Kac terminology. Pierre did a superb job during his lecture towards leading the whole room to the conclusion.

## parallelizable sampling method for parameter inference of large biochemical reaction models

Posted in Books, Statistics with tags approximate Bayesian inference, Dirichlet mixture priors, hidden Markov models, intractable likelihood, nested sampling, particle filters, particle MCMC, SMC, SMC² on June 18, 2018 by xi'an**I** came across this older (2016) arXiv paper by Jan Mikelson and Mustafa Khammash [antidated as of April 25, 2018] as another version of nested sampling. The novelty of the approach is in applying nested sampling for approximating the likelihood function in the case of involved hidden Markov models (although the name itself does not appear in the paper). This is an interesting proposal, even though there is a fairly large and very active literature on computational approaches to such objects, from sequential Monte Carlo (SMC) to particle MCMC (pMCMC), to SMC².

“We found a way to efficiently sample parameter vectors (particles) from the super level set of the likelihood (sets of particles with a likelihood equal to or higher than some threshold) corresponding to an increasing sequence of thresholds” (p.2)

The approach here is an aggregate of nested sampling and particle filters (SMC), filters that are paradoxically employed in approximating the likelihood function itself, thus called repeatedly as the value of the parameter θ changes, unless I am confused, when it seems to me that, once started with particle filters, the authors could have used them all the way to the upper level (through, again, SMC²). Instead, and that brings a further degree of (uncorrected) approximation to the procedure, a Dirichlet process prior is used to estimate Gaussian mixture approximations to the true posterior distribution(s) on the (super) level sets. Now, approximating a distribution that is zero outside a compact set [the prior restricted to the likelihood being larger than by a distribution with an infinite support does not a priori sound like a particularly enticing idea. Note also that there is no later correction for using the mixture approximation to the restricted prior. (The method also involves an approximation of the (Lebesgue) volume of the level sets that may be poor in higher dimensions.)

“DP-GMM estimations work very well in high dimensional spaces and since we use rejection sampling to obtain samples from the level set by sampling from the DP-GMM estimation, the estimation error does not get propagated through iterations.” (p.13)

One aspect of the paper that puzzles me is the use of a rejection sampler to produce new parameters simulations from a given (super) level set, as this involves a lower bound M on the Gaussian mixture approximation over this level set. If a Gaussian mixture approximation is available, there is apparently no need for this as it can be sampled directly and values below the threshold can be disposed of. It is also unclear why the error does not propagate from one level to the next, if only because of the connection between the successive particle approximations.

## Bayesian filtering and smoothing [book review]

Posted in Books, Statistics, Travel, University life with tags book review, CHANCE, EM algorithm, filtering, IMS Textbooks, Kalman filter, MAP estimators, particle filter, particle MCMC, plagiarism, Simo Särkkä, smoothing, The Monty Hall problem on February 25, 2015 by xi'an**W**hen in Warwick last October, I met Simo Särkkä, who told me he had published an IMS monograph on Bayesian filtering and smoothing the year before. I thought it would be an appropriate book to review for CHANCE and tried to get a copy from Oxford University Press, unsuccessfully. I thus bought my own book that I received two weeks ago and took the opportunity of my Czech vacations to read it… *[A warning pre-empting accusations of self-plagiarism: this is a preliminary draft for a review to appear in CHANCE under my true name!]*

“From the Bayesian estimation point of view both the states and the static parameters are unknown (random) parameters of the system.” (p.20)

Bayesian filtering and smoothing is an introduction to the topic that essentially starts from ground zero. Chapter 1 motivates the use of filtering and smoothing through examples and highlights the naturally Bayesian approach to the problem(s). Two graphs illustrate the difference between filtering and smoothing by plotting for the same series of observations the successive confidence bands. The performances are obviously poorer with filtering but the fact that those intervals are point-wise rather than joint, i.e., that the graphs do not provide a confidence band. (The exercise section of that chapter is superfluous in that it suggests re-reading Kalman’s original paper and rephrases the Monty Hall paradox in a story unconnected with filtering!) Chapter 2 gives an introduction to Bayesian statistics in general, with a few pages on Bayesian computational methods. A first remark is that the above quote is both correct and mildly confusing in that the parameters can be consistently estimated, while the latent states cannot. A second remark is that justifying the MAP as associated with the 0-1 loss is incorrect in continuous settings. The third chapter deals with the batch updating of the posterior distribution, i.e., that the posterior at time t is the prior at time t+1. With applications to state-space systems including the Kalman filter. The fourth to sixth chapters concentrate on this Kalman filter and its extension, and I find it somewhat unsatisfactory in that the collection of such filters is overwhelming for a neophyte. And no assessment of the estimation error when the model is misspecified appears at this stage. And, as usual, I find the unscented Kalman filter hard to fathom! The same feeling applies to the smoothing chapters, from Chapter 8 to Chapter 10. Which mimic the earlier ones. Continue reading

## a week in Warwick

Posted in Books, Kids, Running, Statistics, University life with tags Birmingham, control variate, Coventry, English train, goose, London Midlands, Mark Girolami, Nicolas Chopin, particle MCMC, simulation model, taxi-driver, Tony O'Hagan, University of Warwick on October 19, 2014 by xi'an**T**his past week in Warwick has been quite enjoyable and profitable, from staying once again in a math house, to taking advantage of the new bike, to having several long discussions on several prospective and exciting projects, to meeting with some of the new postdocs and visitors, to attending Tony O’Hagan’s talk on “wrong models”. And then having Simo Särkkä who was visiting Warwick this week discussing his paper with me. And Chris Oates doing the same with his recent arXival with Mark Girolami and Nicolas Chopin (soon to be commented, of course!). And managing to run in dry conditions despite the heavy rains (but in pitch dark as sunrise is now quite late, with the help of a headlamp and the beauty of a countryside starry sky). I also evaluated several students’ projects, two of which led me to wonder when using RJMCMC was appropriate in comparing two models. In addition, I also eloped one evening to visit old (1977!) friends in Northern Birmingham, despite fairly dire London Midlands performances between Coventry and Birmingham New Street, the only redeeming feature being that the connecting train there was also late by one hour! (Not mentioning the weirdest taxi-driver ever on my way back, trying to get my opinion on whether or not he should have an affair… which at least kept me awake the whole trip!) Definitely looking forward my next trip there at the end of November.

## Bayesian inference for low count time series models with intractable likelihoods

Posted in Books, Statistics, Travel, University life with tags ABC, Brisbane, discrete time series models, hidden Markov models, particle filter, particle MCMC, QUT, RJMCMC, University of Warwick on January 21, 2014 by xi'an**L**ast evening, I read a nice paper with the above title by Drovandi, Pettitt and McCutchan, from QUT, Brisbane. Low count refers to observation with a small number of integer values. The idea is to mix ABC with the unbiased estimators of the likelihood proposed by Andrieu and Roberts (2009) and with particle MCMC… And even with a RJMCMC version. The special feature that makes the proposal work is that the low count features allows for a simulation of pseudo-observations (and auxiliary variables) that may sometimes authorise an exact constraint (that the simulated observation equals the true observation). And which otherwise borrows from Jasra et al. (2013) “alive particle” trick that turns a negative binomial draw into an unbiased estimation of the ABC target… The current paper helped me realise how powerful this trick is. (The original paper was arXived at a time I was off, so I completely missed it…) The examples studied in the paper may sound a wee bit formal, but they could lead to a better understanding of the method since alternatives could be available (?). Note that all those examples are not ABC per se in that the tolerance is always equal to zero.

**T**he paper also includes reversible jump implementations. While it is interesting to see that ABC (in the authors’ sense) can be mixed with RJMCMC, it is delicate to get a feeling about the precision of the results, without a benchmark to compare to. I am also wondering about less costly alternatives like empirical likelihood and other ABC alternatives. Since Chris is visiting Warwick at the moment, I am sure we can discuss this issue next week there.

## resampling and [GPU] parallelism

Posted in Statistics, University life with tags GPU, particle MCMC, Raftery and Lewis' number of iterations, random number generator, resampling, stratified resampling, systematic resampling on March 13, 2012 by xi'an**I**n a recent note posted on arXiv, Lawrence Murray compares the implementation of resampling schemes for parallel systems like GPUs. Given a system of weighted particles, *(x _{i},ω_{i})*, there are several ways of drawing a sample according to those weights:

- regular
*multinomial resampling*, where each point in the (new) sample is one of the*(x*, with probability_{i},ω_{i})*(x*, meaning there is a uniform generated for each point;_{i},ω_{i}) *stratified resampling*, where the weights are added, divided into equal pieces and a uniform is sampled on each piece, which means that points with large weights are sampled at least once and those with small weights at most once;*systematic resampling*, which is the same as the above except that*the same*uniform is used for each piece,*Metropolis resampling*, where a Markov chain converges to the distribution (*ω*,…,_{1}*ω*on {1,…,P},_{P})

**T**he three first resamplers are common in the particle system literature (incl. Nicolas Chopin’s PhD thesis), but difficult to adapt to GPUs (and I always feel uncomfortable with the fact that systematic uses *a single uniform*!), while the last one is more unusual, but actually well-fitted for a parallel implementation. While Lawrence Murray suggests using Raftery and Lewis’ (1992) assessment of the required number of Metropolis iterations to “achieve convergence”, I would instead suggest taking advantage of the toric nature of the space (as represented above) to run a random walk and wait for the equivalent of a complete cycle. In any case, this is a cool illustration of the new challenges posed by parallel implementations (like the development of proper random generators).