Archive for population Monte Carlo

MCMC with multiple tries

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , on April 5, 2018 by xi'an

Earlier this year, Luca Martino wrote and arXived a review on multiple try MCMC. As its name suggests, the starting point of this algorithm is to propose N potential moves simultaneously instead of one, possibly according to N different proposal (conditional) densities, and to select one by a normalised importance sampling weight. The move is accepted by a Metropolis-Hastings step based on the ratio of the normalisation constants [at the current and at the one-before-current stages]. Besides the cost of computing the summation and generating the different variates, this method also faces the drawback of requiring N-1 supplementary simulations that are only used for achieving detailed balance and computing a backward summation of importance weights. (A first section of the review is dedicated to independent Metropolis-Hastings proposals, q(θ), which make life simpler, but are less realistic in my opinion since some prior knowledge or experimentation is necessary to build a relevant distribution q(θ).) An alternative covered in the survey is ensemble Monte Carlo (Neal, 2011), which produces a whole sample at each iteration, with target the product of the initial targets. This reminded me of our pinball sampler, which aimed at producing a spread-out sample while keeping the marginal correct. Although the motivation sounds closer to a particle sampler. Especially with this associated notion of an empirical approximation of the target. The next part of the review is about delayed rejection, which is a natural alternative approach to speeding up MCMC by considering several possibilities, if sequentially. Started in Antonietta Mira‘s 1999 PhD thesis. The difficulty with this approach is that the acceptance probability gets increasingly complex as the number of delays grows, which may annihilate its appeal relative to simultaneous multiple tries.

the invasion of the stochastic gradients

Posted in Statistics with tags , , , , , , , , , on May 10, 2017 by xi'an

Within the same day, I spotted three submissions to arXiv involving stochastic gradient descent, that I briefly browsed on my trip back from Wales:

  1. Stochastic Gradient Descent as Approximate Bayesian inference, by Mandt, Hoffman, and Blei, where this technique is used as a type of variational Bayes method, where the minimum Kullback-Leibler distance to the true posterior can be achieved. Rephrasing the [scalable] MCMC algorithm of Welling and Teh (2011) as such an approximation.
  2. Further and stronger analogy between sampling and optimization: Langevin Monte Carlo and gradient descent, by Arnak Dalalyan, which establishes a convergence of the uncorrected Langevin algorithm to the right target distribution in the sense of the Wasserstein distance. (Uncorrected in the sense that there is no Metropolis step, meaning this is a Euler approximation.) With an extension to the noisy version, when the gradient is approximated eg by subsampling. The connection with stochastic gradient descent is thus tenuous, but Arnak explains the somewhat disappointing rate of convergence as being in agreement with optimisation rates.
  3. Stein variational adaptive importance sampling, by Jun Han and Qiang Liu, which relates to our population Monte Carlo algorithm, but as a non-parametric version, using RKHS to represent the transforms of the particles at each iteration. The sampling method follows two threads of particles, one that is used to estimate the transform by a stochastic gradient update, and another one that is used for estimation purposes as in a regular population Monte Carlo approach. Deconstructing into those threads allows for conditional independence that makes convergence easier to establish. (A problem we also hit when working on the AMIS algorithm.)

X divergence for approximate inference

Posted in Statistics with tags , , , , , , , on March 14, 2017 by xi'an

Dieng et al. arXived this morning a new version of their paper on using the Χ divergence for variational inference. The Χ divergence essentially is the expectation of the squared ratio of the target distribution over the approximation, under the approximation. It is somewhat related to Expectation Propagation (EP), which aims at the Kullback-Leibler divergence between the target distribution and the approximation, under the target. And to variational Bayes, which is the same thing just the opposite way! The authors also point a link to our [adaptive] population Monte Carlo paper of 2008. (I wonder at a possible version through Wasserstein distance.)

Some of the arguments in favour of this new version of variational Bayes approximations is that (a) the support of the approximation over-estimates the posterior support; (b) it produces over-dispersed versions; (c) it relates to a well-defined and global objective function; (d) it allows for a sandwich inequality on the model evidence; (e) the function of the [approximation] parameter to be minimised is under the approximation, rather than under the target. The latest allows for a gradient-based optimisation. While one of the applications is on a Bayesian probit model applied to the Pima Indian women dataset [and will thus make James and Nicolas cringe!], the experimental assessment shows lower error rates for this and other benchmarks. Which in my opinion does not tell so much about the original Bayesian approach.

SMC on a sequence of increasing dimension targets

Posted in Statistics with tags , , , , , , , , , on February 15, 2017 by xi'an

mixdirRichard Everitt and co-authors have arXived a preliminary version of a paper entitled Sequential Bayesian inference for mixture models and the coalescent using sequential Monte Carlo samplers with transformations. The central notion is an SMC version of the Carlin & Chib (1995) completion in the comparison of models in different dimensions. Namely to create auxiliary variables for each model in such a way that the dimension of the completed models are all the same. (Reversible jump MCMC à la Peter Green (1995) can also be interpreted this way, even though only relevant bits of the completion are used in the transitions.) I find the paper and the topic most interesting if only because it relates to earlier papers of us on population Monte Carlo. It also brought to my awareness the paper by Karagiannis and Andrieu (2013) on annealed reversible jump MCMC that I had missed at the time it appeared. The current paper exploits this annealed expansion in the devising of the moves. (Sequential Monte Carlo on a sequence of models with increasing dimension has been studied in the past.)

The way the SMC is described in the paper, namely, reweight-subsample-move, does not strike me as the most efficient as I would try to instead move-reweight-subsample, using a relevant move that incorporate the new model and hence enhance the chances of not rejecting.

One central application of the paper is mixture models with an unknown number of components. The SMC approach applied to this problem means creating a new component at each iteration t and moving the existing particles after adding the parameters of the new component. Since using the prior for this new part is unlikely to be at all efficient, a split move as in Richardson and Green (1997) can be considered, which brings back the dreaded Jacobian of RJMCMC into the picture! Here comes an interesting caveat of the method, namely that the split move forces a choice of the split component of the mixture. However, this does not appear as a strong difficulty, solved in the paper by auxiliary [index] variables, but possibly better solved by a mixture representation of the proposal, as in our PMC [population Monte Carlo] papers. Which also develop a family of SMC algorithms, incidentally. We found there that using a mixture representation of the proposal achieves a provable variance reduction.

“This puts a requirement on TSMC that the single transition it makes must be successful.”

As pointed by the authors, the transformation SMC they develop faces the drawback that a given model is only explored once in the algorithm, when moving to the next model. On principle, there would be nothing wrong in including regret steps, retracing earlier models in the light of the current one, since each step is an importance sampling step valid on its own right. But SMC also offers a natural albeit potentially high-varianced approximation to the marginal likelihood, which is quite appealing when comparing with an MCMC outcome. However, it would have been nice to see a comparison with alternative estimates of the marginal in the case of mixtures of distributions. I also wonder at the comparative performances of a dual approach that would be sequential in the number of observations as well, as in Chopin (2004) or our first population Monte Carlo paper (Cappé et al., 2005), since subsamples lead to tempered versions of the target and hence facilitate moves between models, being associated with flatter likelihoods.

parallel adaptive importance sampling

Posted in Statistics with tags , , , , , on August 30, 2016 by xi'an

Following Paul Russell’s talk at MCqMC 2016, I took a look at his recently arXived paper. In the plane to Sydney. The pseudo-code representation of the method is identical to our population Monte Carlo algorithm as is the suggestion to approximate the posterior by a mixture, but one novel aspect is to use Reich’s ensemble transportation at the resampling stage, in order to maximise the correlation between the original and the resampled versions of the particle systems. (As in our later versions of PMC, the authors also use as importance denominator the entire mixture rather than conditioning on the selected last-step particle.)

“The output of the resampling algorithm gives us a set of evenly weighted samples that we believe represents the target distribution well”

I disagree with this statement: Reweighting does not improve the quality of the posterior approximation, since it introduces more variability. If the original sample is found missing in its adequation to the target, so is the resampled one. Worse, by producing a sample with equal weights, this step may give a false impression of adequate representation…

Another unclear point in the pape relates to tuning the parameters of the mixture importance sampler. The paper discusses tuning these parameters during a burn-in stage, referring to “due to the constraints on adaptive MCMC algorithms”, which indeed is only pertinent for MCMC algorithms, since importance sampling can be constantly modified while remaining valid. This was a major point for advocating PMC. I am thus unsure what the authors mean by a burn-in period in such a context. Actually, I am also unsure on how they use effective sample size to select the new value of the importance parameter, e.g., the variance β in a random walk mixture: the effective sample size involves this variance implicitly through the realised sample hence changing β means changing the realised sample… This seems too costly to contemplate so I wonder at the way Figure 4.2 is produced.

“A popular approach for adaptive MCMC algorithms is to view the scaling parameter as a random variable which we can sample during the course of the MCMC iterations.”

While this is indeed an attractive notion [that I played with in the early days of adaptive MCMC, with the short-lived notion of cyber-parameters], I do not think it is of much help in optimising an MCMC algorithm, since the scaling parameter need be optimised, resulting into a time-inhomogeneous target. A more appropriate tool is thus stochastic optimisation à la Robbins-Monro, as exemplified in Andrieu and Moulines (2006). The paper however remains unclear as to how the scales are updated (see e.g. Section 4.2).

“Ideally, we would like to use a resampling algorithm which is not prohibitively costly for moderately or large sized ensembles, which preserves the mean of the samples, and which makes it much harder for the new samples to forget a significant region in the density.”

The paper also misses on the developments of the early 2000’s about more sophisticated resampling steps, especially Paul Fearnhead’s contributions (see also Nicolas Chopin’s thesis). There exist valid resampling methods that require a single uniform (0,1) to be drawn, rather than m. The proposed method has a flavour similar to systematic resampling, but I wonder at the validity of returning values that are averages of earlier simulations, since this modifies their distribution into ones with slimmer tails. (And it is parameterisation dependent.) Producing xi with probability pi is not the same as returning the average of the pixi‘s.

MCqMC 2016 [#4]

Posted in Mountains, pictures, Running, Statistics, Travel, University life with tags , , , , , , , , , , , , , , on August 21, 2016 by xi'an

In his plenary talk this morning, Arnaud Doucet discussed the application of pseudo-marginal techniques to the latent variable models he has been investigating for many years. And its limiting behaviour towards efficiency, with the idea of introducing correlation in the estimation of the likelihood ratio. Reducing complexity from O(T²) to O(T√T). With the very surprising conclusion that the correlation must go to 1 at a precise rate to get this reduction, since perfect correlation would induce a bias. A massive piece of work, indeed!

The next session of the morning was another instance of conflicting talks and I hoped from one room to the next to listen to Hani Doss’s empirical Bayes estimation with intractable constants (where maybe SAME could be of interest), Youssef Marzouk’s transport maps for MCMC, which sounds like an attractive idea provided the construction of the map remains manageable, and Paul Russel’s adaptive importance sampling that somehow sounded connected with our population Monte Carlo approach. (With the additional step of considering transform maps.)

An interesting item of information I got from the final announcements at MCqMC 2016 just before heading to Monash, Melbourne, is that MCqMC 2018 will take place in the city of Rennes, Brittany, on July 2-6. Not only it is a nice location on its own, but it is most conveniently located in space and time to attend ISBA 2018 in Edinburgh the week after! Just moving from one Celtic city to another Celtic city. Along with other planned satellite workshops, this occurrence should make ISBA 2018 more attractive [if need be!] for participants from oversea.

multiple try Metropolis

Posted in Books, Statistics, University life with tags , , , , , , on February 18, 2016 by xi'an

martinLuca Martino and Francisco Louzada recently wrote a paper in Computational Statistics about some difficulties with the multiple try Metropolis algorithm. This version of Metropolis by Liu et al. (2000) makes several proposals in parallel and picks one among them by multinomial sampling where the weights are proportional to the corresponding importance weights. This is followed by a Metropolis acceptance step that requires simulating the same number of proposed moves from the selected value. While this is necessary to achieve detailed balance, this mixture of MCMC and importance sampling is inefficient in that it simulates a large number of particles and ends up using only one of them. By comparison, a particle filter for the same setting would propagate all N particles along iterations and only resamples occasionaly when the ESS is getting too small. (I also wonder if the method could be seen as a special kind of pseudo-marginal approach, given that the acceptance ratio is an empirical average with expectation the missing normalising constan [as I later realised the authors had pointed out!]… In which case efficiency comparisons by Christophe Andrieu and Matti Vihola could prove useful.)

The issue raised by Martino and Louzada is that the estimator of the normalising constant can be poor at times, especially when the chain is in low regions of the target, and hence get the chain stuck. The above graph illustrates this setting in the paper. However, the reason for the failure is mostly that the proposal distribution is inappropriate for the purpose of approximating the normalising constant, i.e., that importance sampling does not converge in this situation, since otherwise the average of the importance weights should a.s. converge to the normalising constant. And the method should not worsen when increasing the number of proposals at a given stage. (The solution proposed by the authors to have a random number of proposals seems unlikely to solve the issue in a generic situation. Changing the proposals towards different tail behaviours as in population Monte Carlo is more akin to defensive sampling and thus more likely to avoid trapping states. Interestingly, the authors eventually resort to a mixture denominator in the importance sampler following AMIS.)