## optimising accept-reject

Posted in R, Statistics, University life with tags , , , , , , on November 21, 2012 by xi'an

I spotted on R-bloggers a post discussing optimising the efficiency of programming accept-reject algorithms. While it is about SAS programming, and apparently supported by the SAS company, there are two interesting features with this discussion. The first one is about avoiding the dreaded loop in accept-reject algorithms. For instance, taking the case of the truncated-at-one Poisson distribution, the code

rtpois=function(n,lambda){
sampl=c()
while (length(sampl)<n){
x=rpois(1,lambda)
if (x!=0) sampl=c(sampl,x)}
return(sampl)
}


is favoured by my R course students but highly inefficient:

> system.time(rtpois(10^5,.5))
user  system elapsed
61.600  27.781  98.727


both for the stepwise increase in the size of the vector and for the loop. For instance, defining the vector sampl first requires a tenth of the above time (note the switch from 10⁵ to 10⁶):

> system.time(rtpois(10^6,.5))
user  system elapsed
54.155   0.200  62.635


As discussed by the author of the post, a more efficient programming should aim at avoiding the loop by predicting the number of proposals necessary to accept a given number of values. Since the bound M used in accept-reject algorithms is also the expected number of attempts for one acceptance, one should start with something around Mn proposed values. (Assuming of course all densities are properly normalised.) For instance, in the case of the truncated-at-one Poisson distribution based on proposals from the regular Poisson, the bound is 1/1-e. A first implementation of this principle is to build the sample via a few loops:

rtpois=function(n,lambda){
propal=rpois(ceiling(n/(1-exp(-lambda))),lambda)
propal=propal[propal>0]
n0=length(propal)
if (n0>=n)
return(propal[1:n])
else return(c(propal,rtpois(n-n0,lambda)))
}


with a higher efficiency:

> system.time(rtpois(10^6,.5))
user  system elapsed
0.816   0.092   0.928


Replacing the expectation with an upper bound using the variance of the negative binomial distribution does not make a significant dent in the computing time

rtpois=function(n,lambda){
M=1/(1-exp(-lambda))
propal=rpois(ceiling(M*(n+2*sqrt(n/M)/(M-1))),lambda)
propal=propal[propal>0]
n0=length(propal)
if (n0>=n)
return(propal[1:n])
else return(c(propal,rtpois(n-n0,lambda)))}


since we get

> system.time(rtpois(10^6,.5))
user  system elapsed
0.824   0.048   0.877


The second point about this Poisson example is that simulating a distribution with a restricted support using another distribution with a larger support is quite inefficient. Especially when λ goes to zero By comparison, using a Poisson proposal with parameter μ and translating it by 1 may bring a considerable improvement: without getting into the gory details, it can be shown that the optimal value of μ (in terms of maximal acceptance probability) is λ and that the corresponding probability of acceptance is

$\dfrac{1-\exp\{-\lambda\}}{\lambda}$

which is larger than the probability of the original approach when λ is less than one. As shown by the graph below, this allows for a lower bound in the probability of acceptance that remains tolerable.

## Bayes vs. SAS

Posted in Books, R, Statistics with tags , , , , , , , , , , , , , , , , , , on May 7, 2010 by xi'an

Glancing perchance at the back of my Amstat News, I was intrigued by the SAS advertisement

Bayesian Methods

• Specify Bayesian analysis for ANOVA, logistic regression, Poisson regression, accelerated failure time models and Cox regression through the GENMOD, LIFEREG and PHREG procedures.
• Analyze a wider variety of models with the MCMC procedure, a general purpose Bayesian analysis procedure.

and so decided to take a look at those items on the SAS website. (Some entries date back to 2006 so I am not claiming novelty in this post, just my reading through the manual!)

Even though I have not looked at a SAS program since the time in 1984 I was learning principal component and discriminant analysis by programming SAS procedures on punched cards, it seems the MCMC part is rather manageable (if you can manage SAS at all!), looking very much like a second BUGS to my bystander eyes, even to the point of including ARS algorithms! The models are defined in a BUGS manner, with priors on the side (and this includes improper priors, despite a confusing first example that mixes very large variances with vague priors for the linear model!). The basic scheme is a random walk proposal with adaptive scale or covariance matrix. (The adaptivity on the covariance matrix is slightly confusing in that the way it is described it does not seem to implement the requirements of Roberts and Rosenthal for sure convergence.) Gibbs sampling is not directly covered, although some examples are in essence using Gibbs samplers. Convergence is assessed via ca. 1995 methods à la Cowles and Carlin, including the rather unreliable Raftery and Lewis indicator, but so does Introducing Monte Carlo Methods with R, which takes advantage of the R coda package. I have not tested (!) any of the features in the MCMC procedure but judging from a quick skim through the 283 page manual everything looks reasonable enough. I wonder if anyone has ever tested a SAS program against its BUGS counterpart for efficiency comparison.

The Bayesian aspects are rather traditional as well, except for the testing issue. Indeed, from what I have read, SAS does not engage into testing and remains within estimation bounds, offering only HPD regions for variable selection without producing a genuine Bayesian model choice tool. I understand the issues with handling improper priors versus computing Bayes factors, as well as some delicate computational requirements, but this is a truly important chunk missing from the package. (Of course, the package contains a DIC (Deviance information criterion) capability, which may be seen as a substitute, but I have reservations about the relevance of DIC outside generalised linear models. Same difficulty with the posterior predictive.) As usual with SAS, the documentation is huge (I still remember the shelves after shelves of documentation volumes in my 1984 card-punching room!) and full of options and examples. Nothing to complain about. Except maybe the list of disadvantages in using Bayesian analysis:

• It does not tell you how to select a prior. There is no correct way to choose a prior. Bayesian inferences require skills to translate prior beliefs into a mathematically formulated prior. If you do not proceed with caution, you can generate misleading results.
• It can produce posterior distributions that are heavily influenced by the priors. From a practical point of view, it might sometimes be difficult to convince subject matter experts who do not agree with the validity of the chosen prior.
• It often comes with a high computational cost, especially in models with a large number of parameters.

which does not say much… Since the MCMC procedure allows for any degree of hierarchical modelling, it is always possible to check the impact of a given prior by letting its parameters go random. I found that most practitioners are happy with the formalisation of their prior beliefs into mathematical densities, rather than adamant about a specific prior. As for computation, this is not a major issue.

## SAS on the radio

Posted in Statistics with tags on February 4, 2009 by xi'an

I was quite surprised this morning when hearing on the (public) radio France Inter that the report on driving conditions was sponsored by SAS (yes, the software)… I am not even sure SAS has anything to do with driving predictions, but it is interesting to see that SAS needs to advertise on the main French public radio, despite all insurance companies already requesting SAS proficiency from our students.