**P**anayiota Touloupou (Warwick), Naif Alzahrani, Peter Neal, Simon Spencer (Warwick) and Trevelyan McKinley arXived a paper yesterday on Model comparison with missing data using MCMC and importance sampling, where they proposed an importance sampling strategy based on an early MCMC run to approximate the marginal likelihood a.k.a. the evidence. Another instance of estimating a constant. It is thus similar to our Frontier paper with Jean-Michel, as well as to the recent Pima Indian survey of James and Nicolas. The authors give the difficulty to calibrate reversible jump MCMC as the starting point to their research. The importance sampler they use is the natural choice of a Gaussian or *t* distribution centred at some estimate of θ and with covariance matrix associated with Fisher’s information. Or derived from the warmup MCMC run. The comparison between the different approximations to the evidence are done first over longitudinal epidemiological models. Involving 11 parameters in the example processed therein. The competitors to the 9 versions of importance samplers investigated in the paper are the raw harmonic mean [rather than our HPD truncated version], Chib’s, path sampling and RJMCMC [which does not make much sense when comparing two models]. But neither bridge sampling, nor nested sampling. Without any surprise (!) harmonic means do not converge to the right value, but more surprisingly Chib’s method happens to be less accurate than most importance solutions studied therein. It may be due to the fact that Chib’s approximation requires three MCMC runs and hence is quite costly. The fact that the mixture (or defensive) importance sampling [with 5% weight on the prior] did best begs for a comparison with bridge sampling, no? The difficulty with such study is obviously that the results only apply in the setting of the simulation, hence that e.g. another mixture importance sampler or Chib’s solution would behave differently in another model. In particular, it is hard to judge of the impact of the dimensions of the parameter and of the missing data.

## Archive for simulation

## approximating evidence with missing data

Posted in Books, pictures, Statistics, University life with tags Bayes factor, Bayesian Choice, Bayesian model comparison, bridge sampling, Chib's approximation, defensive mixture, harmonic mean, importance sampling, MCMC algorithms, mixture, Monte Carlo Statistical Methods, nested sampling, Pima Indians, reversible jump MCMC, simulation, University of Warwick on December 23, 2015 by xi'an## difference between Metropolis, Gibbs, importance, and rejection sampling

Posted in Books, Kids, Statistics with tags accept-reject algorithm, cross validated, importance sampling, MCMC algorithms, Monte Carlo Statistical Methods, simulation on December 14, 2015 by xi'an**L**ast week, while I was preparing my talk for the NIPS workshop, I spotted this fairly generic question on X validated. And decided to procrastinate by answering through generic comments on the pros and cons of each method. This is a challenging if probably empty question as it lacks a measure of evaluation for those different approaches. And this is another reason why I replied, in that it relates to my pondering the a-statistical nature of simulation-based approximation methods. Also called probabilistic numerics, not statistical numerics, eh! It is indeed close to impossible to compare such approaches and others on a general basis. For instance, the comparative analysis greatly differs when dealing with a once-in-a-lifetime problem and with an everyday issue, e.g. when building a package for a sufficiently standard model. In the former case, a quick-and-dirty off-the-shelf solution is recommended, while in the latter, designing an efficient and fine-tuned approach makes sense. (The pros and cons I discussed in my X validated answer thus do not apply in most settings!) If anything, using several approaches, whenever possible, is the best advice to give. If not on the targeted problem, at least on a toy or simulated version, to check for performances of those different tools. But this brings back the issue of cost and time… An endless garden of forking paths, one would say [in another setting].

## multiple importance sampling

Posted in Books, Statistics, University life with tags adaptive mixture importance sampling, AMIS, importance sampling, MCMC, Monte Carlo Statistical Methods, multiple importance methods, multiple mixtures, population Monte Carlo, simulation on November 20, 2015 by xi'an

“Within this unified context, it is possible to interpret that all the MIS algorithms draw samples from a equal-weighted mixture distribution obtained from the set of available proposal pdfs.”

**I**n a very special (important?!) week for importance sampling!, Elvira et al. arXived a paper about generalized multiple importance sampling. The setting is the same as in earlier papers by Veach and Gibas (1995) or Owen and Zhou (2000) [and in our AMIS paper], namely a collection of importance functions and of simulations from those functions. However, there is no adaptivity for the construction of the importance functions and no Markov (MCMC) dependence on the generation of the simulations.

“One of the goals of this paper is to provide the practitioner with solid theoretical results about the superiority of some specific MIS schemes.”

One first part deals with the fact that a random point taken from the conjunction of those samples is distributed from the equiweighted mixture. Which was a fact I had much appreciated when reading Owen and Zhou (2000). From there, the authors discuss the various choices of importance weighting. Meaning the different degrees of Rao-Blackwellisation that can be applied to the sample. As we discovered in our population Monte Carlo research [which is well-referred within this paper], conditioning too much leads to useless adaptivity. Again a sort of epiphany for me, in that a whole family of importance functions could be used for the same target expectation and the very same simulated value: it all depends on the degree of conditioning employed for the construction of the importance function. To get around the annoying fact that self-normalised estimators are never unbiased, the authors borrow Liu’s (2000) notion of proper importance sampling estimators, where the ratio of the expectations is returning the right quantity. (Which amounts to recover the correct normalising constant(s), I believe.) They then introduce five (5!) different possible importance weights that all produce proper estimators. However, those weights correspond to different sampling schemes, so do not apply to the same sample. In other words, they are not recycling weights as in AMIS. And do not cover the adaptive cases where the weights and parameters of the different proposals change along iterations. Unsurprisingly, the smallest variance estimator is the one based on sampling without replacement and an importance weight made of the entire mixture. But this result does not apply for the self-normalised version, whose variance remains intractable.

I find this survey of existing and non-existing multiple importance methods quite relevant and a must-read for my students (and beyond!). My reservations (for reservations there must be!) are that the study stops short of pushing further the optimisation. Indeed, the available importance functions are not equivalent in terms of the target and hence weighting them equally is sub-efficient. The adaptive part of the paper broaches upon this issue but does not conclude.

## the problem of assessing statistical methods

Posted in Books, pictures, Statistics, University life with tags benchmark, boxplots, empirical cdf, Monte Carlo Statistical Methods, Pima Indians, RMSE, simulation on November 4, 2015 by xi'an**A** new arXival today by Abigail Arnold and Jason Loeppky that discusses how simulations studies are and should be conducted when assessing statistical methods.

“Obviously there is no one model that will universally outperform the rest. Recognizing the “No Free Lunch” theorem, the logical question to ask is whether one model will perform best over a given class of problems. Again, we feel that the answer to this question is of course no. But we do feel that there are certain methods that will have a better chance than other methods.”

I find the assumptions or prerequisites of the paper arguable [in the sense of **2**. *open to disagreement; not obviously correc*t]—not even mentioning the switch from models to methods in the above—in that I will not be convinced that a method outperforms another method by simply looking at a series of simulation experiments. (Which is why I find *some* machine learning papers unconvincing, when they introduce a new methodology and run it through a couple benchmarks.) This also reminds me of Samaniego’s *Comparison of the Bayesian and frequentist approaches*, which requires a secondary prior to run the comparison. (And hence is inconclusive.)

“The papers above typically show the results as a series of side-by-side boxplots (…) for each method, with one plot for each test function and sample size. Conclusions are then drawn from looking at a handful of boxplots which often look very cluttered and usually do not provide clear evidence as to the best method(s). Alternatively, the results will be summarized in a table of average performance (…) These tables are usually overwhelming to look at and interpretations are incredibly inefficient.”

Agreed boxplots are terrible (my friend Jean-Michel is forever arguing against them!). Tables are worse. But why don’t we question RMSE as well? This is most often a very reductive way of comparing methods. I also agree with the point that the design of the simulation studies is almost always overlooked and induces a false sense of precision, while failing to cover a wide enough range of cases. However, and once more, I question the prerequisites for comparing methods through simulations for the purpose of ranking those methods. (Which is not the perspective adopted by James and Nicolas when criticising the use of the Pima Indian dataset.)

“The ECDF allows for quick assessments of methods over a large array of problems to get an overall view while of course not precluding comparisons on individual functions (…) We hope that readers of this paper agree with our opinions and strongly encourage everyone to rely on the ECDF, at least as a starting point, to display relevant statistical information from simulations.”

Drawing a comparison with the benchmarking of optimisation methods, the authors suggest to rank statistical methods via the empirical cdf of their performances or accuracy *across* (benchmark) problems. Arguing that “significant benefit is gained by [this] collapsing”. I am quite sceptical [as often] of the argument, first because using a (e)cdf means the comparison is unidimensional, second because I see no reason why two cdfs should be easily comparable, third because the collapsing over several problems only operates when the errors for those different problems do not overlap.

## adaptive and delayed MCMC for expensive likelihoods [reply from the authors]

Posted in Books, Statistics with tags acronym, adaptive MCMC methods, delayed acceptance, k-nearest neighbours, Markov chain, MCMC, Monte Carlo Statistical Methods, pseudo-marginal MCMC, simulation on October 29, 2015 by xi'an*[Chris Sherlock, Andrew Golightly and Daniel Henderson have written a reply about my earlier comments on their arXived paper which works better as a post than as a comment:]*

Thank you for the constructive criticism of our paper. Our approach uses a simple weighted average of nearest neighbours and we agree that GPs offer a useful alternative. Both methods have pros and cons, however we first note a similarity: Kriging using a GP also leads to a weighted average of values.

The two most useful pros of the GP are that, (i) by estimating the parameters of the GP one may represent the scales of variability more accurately than a simple nearest neighbour approach with weighting according to Euclidean distance, and (ii) one obtains a distribution for the uncertainty in the Kriging estimate of the log-likelihood.

Both the papers in the blog entry (as well as other recent papers which use GPs), in one way or another take advantage of the second point. However, as acknowledged in Richard Wilkinson’s paper, estimating the parameters of a GP is computationally very costly, and this estimation must be repeated as the training data set grows. Probably for this reason and because of the difficulty in identifying p(p+1)/2 kernel range parameters, Wilkinson’s paper uses a diagonal covariance structure for the kernel. We can find no description of the structure of the covariance function that is used for each statistic in the Meeds & Welling paper but this issue is difficult to avoid.

Our initial training run is used to transform the parameters so that they are approximately orthogonal with unit variance and Euclidean distance is a sensible metric. This has two consequences: (i) the KD-tree is easier to set up and use, and (ii) the nearest neighbours in a KD-tree that is approximately balanced can be found in O(log N) operations, where N is the number of training points. Both (i) and (ii) only require Euclidean distance to be a reasonable measure, not perfect, so there is no need for the training run to have “properly converged”, just for it to represent the gross relationships in the posterior and for the transformation to be 1-1. We note a parallel between our approximate standardisation using training data, and the need to estimate a symmetric matrix of distance parameters from training data to obtain a fully representative GP kernel.

The GP approach might lead to a more accurate estimate of the posterior than a nearest neighbour approach (for a fixed number of training points), but this is necessary for the algorithms in the papers mentioned above since they sample from an approximation to the posterior. As noted in the blog post the delayed-acceptance step (which also could be added to GP-based algorithms) ensures that our algorithm samples from the true posterior so accuracy is helpful for efficiency rather than essential for validity.

We have made the kd-tree C code available and put some effort into making the interface straightforward to use. Our starting point is an existing simple MCMC algorithm; as it is already evaluating the posterior (or an unbiased approximation) then why not store this and take advantage of it within the existing algorithm? We feel that our proposal offers a relatively cheap and straightforward route for this.

## adaptive and delayed MCMC for expensive likelihoods

Posted in Books, Statistics with tags acronym, adaptive MCMC methods, delayed acceptance, k-nearest neighbours, Markov chain, MCMC, Monte Carlo Statistical Methods, pseudo-marginal MCMC, simulation on October 26, 2015 by xi'an**C**hris Sherlock, Andrew Golightly and Daniel Henderson recently arXived a paper on a new kind of delayed acceptance.

“With simplicity in mind, we focus on a k-nearest neighbour regression model as the cheap surrogate.”

The central notion in the paper is to extrapolate from values of the likelihoods at a few points in the parameter space towards the whole space through a k-nearest neighbour estimate. While this solution is simple and relatively cheap to compute, it is unclear it is a good surrogate because it does not account for the structure of the model while depending on the choice of a distance. Recent works on Gaussian process approximations seem more relevant. See e.g. papers by Ed Meeds and Max Welling, or by Richard Wilkinson for ABC versions. Obviously, because this is a surrogate only for the first stage delayed acceptance (while the second stage is using the exact likelihood, as in our proposal), the approximation does not have to be super-tight. It should also favour the exploration of tails since (a) any proposal θ outside the current support of the chain is allocated a surrogate value that is the average of its k neighbours, hence larger than the true value in the tails, and (b) due to the delay a larger scale can be used in the random walk proposal. As the authors acknowledge, the knn method deteriorates quickly with the dimension. And computing the approximation grows with the number of MCMC iterations, given that the algorithm is adaptive and uses the exact likelihood values computed so far. Only for the first stage approximation, though, which explains “why” the delayed acceptance algorithm converges. I wondered for a short while whether this was enough to justify convergence, given that the original Metropolis-Hastings probability is just broken into two parts. Since the second stage compensates for the use of a surrogate on the first step, it should not matter in the end. However, the rejection of a proposal still depends on this approximation, i.e., differs from the original algorithm, and hence is turning the Markov chain into a non-Markovian process.

“The analysis sheds light on how computationally cheap the deterministic approximation needs to be to make its use worthwhile and on the relative importance of it matching the `location’ and curvature of the target.”

I had missed the “other” paper by some of the authors on the scaling of delayed acceptance, where they “assume that the error in the cheap deterministic approximation is a realisation of a random function” (p.3). In which they provide an optimal scaling result for high dimensions à la Roberts et al. (1997), namely a scale of 2.38 (times the target scale) in the random walk proposal. The paper however does not describe the cheap approximation to the target or pseudo-marginal version.

A large chunk of the paper is dedicated to the construction and improvement of the KD-tree used to find the k nearest neighbours. In O(d log(n)) time. Algorithm on which I have no specific comment. Except maybe that the construction of a KD-tree in accordance with a Mahalanobis distance discussed in Section 2.1 requires that the MCMC algorithm has properly converged, which is unrealistic. And also that the construction of a balanced tree seems to require heavy calibrations.

The paper is somewhat harder to read than need be (?) because the authors cumulate the idea of delayed acceptance based on this knn approximation with the technique of pseudo-marginal Metropolis-Hastings. While there is an added value in doing so it complexifies the exposition. And leads to ungainly acronyms like adaptive “da-PsMMH”, which simply are un-readable (!).

I would suggest some material to be published as supplementary material and the overall length of the paper to be reduced. For instance, Section 4.2 is not particularly conclusive. See, e.g., Theorem 2. Or the description of the simulated models in Section 5, which is sometimes redundant.