Archive for SAME algorithm

scalable Metropolis-Hastings, nested Monte Carlo, and normalising flows

Posted in Books, pictures, Statistics, University life with tags , , , , , , , , , , , , , , , , , , , , , , , , , on June 16, 2020 by xi'an

Over a sunny if quarantined Sunday, I started reading the PhD dissertation of Rob Cornish, Oxford University, as I am the external member of his viva committee. Ending up in a highly pleasant afternoon discussing this thesis over a (remote) viva yesterday. (If bemoaning a lost opportunity to visit Oxford!) The introduction to the viva was most helpful and set the results within the different time and geographical zones of the Ph.D since Rob had to switch from one group of advisors in Engineering to another group in Statistics. Plus an encompassing prospective discussion, expressing pessimism at exact MCMC for complex models and looking forward further advances in probabilistic programming.

Made of three papers, the thesis includes this ICML 2019 [remember the era when there were conferences?!] paper on scalable Metropolis-Hastings, by Rob Cornish, Paul Vanetti, Alexandre Bouchard-Côté, Georges Deligiannidis, and Arnaud Doucet, which I commented last year. Which achieves a remarkable and paradoxical O(1/√n) cost per iteration, provided (global) lower bounds are found on the (local) Metropolis-Hastings acceptance probabilities since they allow for Poisson thinning à la Devroye (1986) and  second order Taylor expansions constructed for all components of the target, with the third order derivatives providing bounds. However, the variability of the acceptance probability gets higher, which induces a longer but still manageable if the concentration of the posterior is in tune with the Bernstein von Mises asymptotics. I had not paid enough attention in my first read at the strong theoretical justification for the method, relying on the convergence of MAP estimates in well- and (some) mis-specified settings. Now, I would have liked to see the paper dealing with a more complex problem that logistic regression.

The second paper in the thesis is an ICML 2018 proceeding by Tom Rainforth, Robert Cornish, Hongseok Yang, Andrew Warrington, and Frank Wood, which considers Monte Carlo problems involving several nested expectations in a non-linear manner, meaning that (a) several levels of Monte Carlo approximations are required, with associated asymptotics, and (b) the resulting overall estimator is biased. This includes common doubly intractable posteriors, obviously, as well as (Bayesian) design and control problems. [And it has nothing to do with nested sampling.] The resolution chosen by the authors is strictly plug-in, in that they replace each level in the nesting with a Monte Carlo substitute and do not attempt to reduce the bias. Which means a wide range of solutions (other than the plug-in one) could have been investigated, including bootstrap maybe. For instance, Bayesian design is presented as an application of the approach, but since it relies on the log-evidence, there exist several versions for estimating (unbiasedly) this log-evidence. Similarly, the Forsythe-von Neumann technique applies to arbitrary transforms of a primary integral. The central discussion dwells on the optimal choice of the volume of simulations at each level, optimal in terms of asymptotic MSE. Or rather asymptotic bound on the MSE. The interesting result being that the outer expectation requires the square of the number of simulations for the other expectations. Which all need converge to infinity. A trick in finding an estimator for a polynomial transform reminded me of the SAME algorithm in that it duplicated the simulations as many times as the highest power of the polynomial. (The ‘Og briefly reported on this paper… four years ago.)

The third and last part of the thesis is a proposal [to appear in ICML 20] on relaxing bijectivity constraints in normalising flows with continuously index flows. (Or CIF. As Rob made a joke about this cleaning brand, let me add (?) to that joke by mentioning that looking at CIF and bijections is less dangerous in a Trump cum COVID era at CIF and injections!) With Anthony Caterini, George Deligiannidis and Arnaud Doucet as co-authors. I am much less familiar with this area and hence a wee bit puzzled at the purpose of removing what I understand to be an appealing side of normalising flows, namely to produce a manageable representation of density functions as a combination of bijective and differentiable functions of a baseline random vector, like a standard Normal vector. The argument made in the paper is that imposing this representation of the density imposes a constraint on the topology of its support since said support is homeomorphic to the support of the baseline random vector. While the supporting theoretical argument is a mathematical theorem that shows the Lipschitz bound on the transform should be infinity in the case the supports are topologically different, these arguments may be overly theoretical when faced with the practical implications of the replacement strategy. I somewhat miss its overall strength given that the whole point seems to be in approximating a density function, based on a finite sample.

easy-to-use empirical likelihood ABC

Posted in Statistics, University life with tags , , , , , , , on October 23, 2018 by xi'an

A newly arXived paper from a group of researchers at NUS I wish we had discussed when I was there last month. As we wrote this empirical ABCe paper in PNAS with Kerrie Mengersen and Pierre Pudlo in 2012. Plus the SAME paper with Arnaud Doucet and Simon Godsill ten years earlier, which the authors prefer to call data cloning in continuation of the more recent Lele et al. (2007). They could actually have used my original denomination of prior feedback (1992? I remember presenting the idea at Camp Casella in Cornell that summer) as well! Actually, I am not certain invoking prior feedback is quite necessary since this is a form of simulated method of moments as well.

Now, did we really assume that some moments of the distribution were analytically available, although the likelihood was not?! Even before going through the paper, it dawned on me that these theoretical moments could have been simulated instead, since the model is a generative one: for a given parameter value, a direct Monte Carlo approximation to the exact moment can be produced and can serve as a constraint for the empirical likelihood definition. I am surprised and aggrieved that we would not think of this empirical likelihood version of a method of moments. Which is central to the current paper. In the sense that, were the parameter exact, the differences between the moments based on the actual data x⁰ and the moments based on m replicas of the simulated data x¹,x²,… have mean zero, meaning the moment constraint is immediately available. Meaning an empirical likelihood is easily constructed, replacing the actual likelihood in an MCMC scheme, albeit at a rather high computing cost. Congratulations to the authors for uncovering this possibility that we missed!

“The summary statistics in this example were judiciously chosen.”

One point in the paper on which I disagree with the authors is the argument that MCMC sampling based on an empirical likelihood can be seen as an implementation of the pseudo-marginal Metropolis-Hastings method. The major difference in my opinion is that there is no unbiasedness here (and no generic result that indicates convergence to the exact posterior as the number of simulations grows to infinity). The other point unclear to me is about the selection of summaries [or moments] for implementing the method, which seems to be based on their performances in the subsequent estimation, performances that are hard to assess properly in intractable likelihood cases. In the last example of stereological extremes (not covered in our paper), for instance, the output is compared with the parallel synthetic likelihood result.

interdependent Gibbs samplers

Posted in Books, Statistics, University life with tags , , , , , , on April 27, 2018 by xi'an

Mark Kozdoba and Shie Mannor just arXived a paper on an approach to accelerate a Gibbs sampler. With title “interdependent Gibbs samplers“. In fact, it presents rather strong similarities with our SAME algorithm. More of the same, as Adam Johanssen (Warwick) entitled one of his papers! The paper indeed suggests multiplying replicas of latent variables (e.g., an hidden path for an HMM) in an artificial model. And as in our 2002 paper, with Arnaud Doucet and Simon Godsill, the focus here is on maximum likelihood estimation (of the genuine parameters, not of the latent variables). Along with argument that the resulting pseudo-posterior is akin to a posterior with a powered likelihood. And a link with the EM algorithm. And an HMM application.

“The generative model consist of simply sampling the parameters ,  and then sampling m independent copies of the paths”

If anything this proposal is less appealing than SAME because it aims directly at the powered likelihood, rather than utilising an annealed sequence of powers that allows for a primary exploration of the whole parameter space before entering the trapping vicinity of a mode. Which makes me fail to catch the argument from the authors that this improves Gibbs sampling, as a more acute mode has on the opposite the dangerous feature of preventing visits to other modes. Hence the relevance to resort to some form of annealing.

As already mused upon in earlier posts, I find it most amazing that this technique has been re-discovered so many times, both in statistics and in adjacent fields. The idea of powering the likelihood with independent copies of the latent variables is obviously natural (since a version pops up every other year, always under a different name), but earlier versions should eventually saturate the market!

approximate maximum likelihood estimation using data-cloning ABC

Posted in Books, Statistics, University life with tags , , , , , , , , on June 2, 2015 by xi'an

“By accepting of having obtained a poor approximation to the posterior, except for the location of its main mode, we switch to maximum likelihood estimation.”

Presumably the first paper ever quoting from the ‘Og! Indeed, Umberto Picchini arXived a paper about a technique merging ABC with prior feedback (rechristened data cloning by S. Lele), where a maximum likelihood estimate is produced by an ABC-MCMC algorithm. For state-space models. This relates to an earlier paper by Fabio Rubio and Adam Johansen (Warwick), who also suggested using ABC to approximate the maximum likelihood estimate. Here, the idea is to use an increasing number of replicates of the latent variables, as in our SAME algorithm, to spike the posterior around the maximum of the (observed) likelihood. An ABC version of this posterior returns a mean value as an approximate maximum likelihood estimate.

“This is a so-called “likelihood-free” approach [Sisson and Fan, 2011], meaning that knowledge of the complete expression for the likelihood function is not required.”

The above remark is sort of inappropriate in that it applies to a non-ABC setting where the latent variables are simulated from the exact marginal distributions, that is, unconditional on the data, and hence their density cancels in the Metropolis-Hastings ratio. This pre-dates ABC by a few years, since this was an early version of particle filter.

“In this work we are explicitly avoiding the most typical usage of ABC, where the posterior is conditional on summary statistics of data S(y), rather than y.”

Another point I find rather negative in that, for state-space models, using the entire time-series as a “summary statistic” is unlikely to produce a good approximation.

The discussion on the respective choices of the ABC tolerance δ and on the prior feedback number of copies K is quite interesting, in that Umberto Picchini suggests setting δ first before increasing the number of copies. However, since the posterior gets more and more peaked as K increases, the consequences on the acceptance rate of the related ABC algorithm are unclear. Another interesting feature is that the underlying MCMC proposal on the parameter θ is an independent proposal, tuned during the warm-up stage of the algorithm. Since the tuning is repeated at each temperature, there are some loose ends as to whether or not it is a genuine Markov chain method. The same question arises when considering that additional past replicas need to be simulated when K increases. (Although they can be considered as virtual components of a vector made of an infinite number of replicas, to be used when needed.)

The simulation study involves a regular regression with 101 observations, a stochastic Gompertz model studied by Sophie Donnet, Jean-Louis Foulley, and Adeline Samson in 2010. With 12 points. And a simple Markov model. Again with 12 points. While the ABC-DC solutions are close enough to the true MLEs whenever available, a comparison with the cheaper ABC Bayes estimates would have been of interest as well.

hierarchical models are not Bayesian models

Posted in Books, Kids, Statistics, University life with tags , , , , , , , on February 18, 2015 by xi'an

When preparing my OxWaSP projects a few weeks ago, I came perchance on a set of slides, entitled “Hierarchical models are not Bayesian“, written by Brian Dennis (University of Idaho), where the author argues against Bayesian inference in hierarchical models in ecology, much in relation with the previously discussed paper of Subhash Lele. The argument is the same, namely a possibly major impact of the prior modelling on the resulting inference, in particular when some parameters are hardly identifiable, the more when the model is complex and when there are many parameters. And that “data cloning” being available since 2007, frequentist methods have “caught up” with Bayesian computational abilities.

Let me remind the reader that “data cloning” means constructing a sequence of Bayes estimators corresponding to the data being duplicated (or cloned) once, twice, &tc., until the point estimator stabilises. Since this corresponds to using increasing powers of the likelihood, the posteriors concentrate more and more around the maximum likelihood estimator. And even recover the Hessian matrix. This technique is actually older than 2007 since I proposed it in the early 1990’s under the name of prior feedback, with earlier occurrences in the literature like D’Epifanio (1989) and even the discussion of Aitkin (1991). A more efficient version of this approach is the SAME algorithm we developed in 2002 with Arnaud Doucet and Simon Godsill where the power of the likelihood is increased during iterations in a simulated annealing version (with a preliminary version found in Duflo, 1996).

I completely agree with the author that a hierarchical model does not have to be Bayesian: when the random parameters in the model are analysed as sources of additional variations, as for instance in animal breeding or ecology, and integrated out, the resulting model can be analysed by any statistical method. Even though one may wonder at the motivations for selecting this particular randomness structure in the model. And at an increasing blurring between what is prior modelling and what is sampling modelling as the number of levels in the hierarchy goes up. This rather amusing set of slides somewhat misses a few points, in particular the ability of data cloning to overcome identifiability and multimodality issues. Indeed, as with all simulated annealing techniques, there is a practical difficulty in avoiding the fatal attraction of a local mode using MCMC techniques. There are thus high chances data cloning ends up in the “wrong” mode. Moreover, when the likelihood is multimodal, it is a general issue to decide which of the modes is most relevant for inference. In which sense is the MLE more objective than a Bayes estimate, then? Further, the impact of a prior on some aspects of the posterior distribution can be tested by re-running a Bayesian analysis with different priors, including empirical Bayes versions or, why not?!, data cloning, in order to understand where and why huge discrepancies occur. This is part of model building, in the end.