a football post?!

I am not interested in football, neither as a player (a primary school trauma when I was the last being picked!) or as a fan, contrary to my dad (who was a football referee in his youth) and my kids, but Gareth Roberts (University of Warwick) and Jeff Rosenthal wrote a paper on football draws for the (FIFA) World Cup, infamously playing in Qatar by the end of the year, which Gareth presented in a Warwick seminar.

For this tournament, there are 32 teams, first playing against opponent teams supposedly drawn from a uniform distribution over all draw assignments, within 8 groups of 4 teams, with constraints like 1-2 EU teams per group, 0-1 from the other regions. As done at the moment and on TV, the tournament is filled one team at time by drawing from Pot 1, then Pot 2, then Pot 3, & Pot 4. &tc.. Applying the constraints one draw at a time, conditional on the past draws and the constraints, rather obviously creates non-uniformity! Uniformity would be achievable by rejection sampling (with a success probability of 1/540!) But this is not televisesque enough…

A debiasing solution is found by using several balls for each team in the right proportion, correcting for the sequential draws. Still impractical when requiring 10¹⁴ balls…!

The fun in their paper is that the problem can be formulated as a particle filter, estimating the right probabilities by randomising the number of balls [hidden randomness] and estimating the probability for team j to be included by a few thousands draws. With some stratified sampling on the side to minimise randomness. Removing the need for the (intractable?) distribution is thus achieved by retrospective sampling, as in pseudo-marginal MCMC. Alternatively, one could swap pairs of teams by a simplistic MCMC algorithm, with no worry about stationarity and the possibility of on-screen draws. (Jeff devised a Java applet to simulate an actual draw.) Obviously, it is still a far stretch that this proposal will be implemented for the next World Cup. If so, I will watch it!

bandits for stratified Monte Carlo

In our Monte Carlo reading group in Dauphine, we recently went through Carpentier, Munos and Antos’ Adaptive strategy for stratified Monte Carlo sampling, a 2015 JMLR paper. Which given K strata and corresponding weights on the different strata aims at producing an efficient estimate of the weighted mean. This problem can be re-expressed as a K armed bandit problem, where choosing an arm is driven by running the optimal number of simulation per arm (stratum). The ideal solution takes a number of simulations proportional to the weight x standard deviation of the associated stratum. The proposed algorithm estimates this quantity on the go by always pulling the arm (stratum) with the largest (over-)estimated value. The rather unusual perspective of the paper is to bring out precise, deterministic,  and finite-sample bounds on the errors between the optimal allocations (to the arms) and their sequential approximations, the weighted MSE regrets, and the overall regret. Albeit crucially depending on the sub-Gaussianity rates c¹ and c² of the arm distributions for the construction of the shrinkage coefficient β… (Obviously, I am not deeply knowledgeable in bandits so may miss some of the more recent literature.) An extension of interest would be to estimate the weights as well, for instance when the masses of the strata are unknown. Or even deciding on the strata themselves. We also all wondered at a possible link with Wang-Landau, but the desiderata sounded divergent.

 

stratified MCMC

When working last week with a student, we came across [the slides of a talk at ICERM by Brian van Koten about] a stratified MCMC method whose core idea is to solve a eigenvector equation z’=z’F associated with the masses of “partition” functions Ψ evaluated at the target. (The arXived paper is also available since 2017 but I did not check it in more details.)Although the “partition” functions need to overlap for the matrix not to be diagonal (actually the only case that does not work is when these functions are truly indicator functions). As in other forms of stratified sampling, the practical difficulty is in picking the functions Ψ so that the evaluation of the terms of the matrix F is not overly impacted by the Monte Carlo error. If spending too much time in estimating these terms, there is not a clear gain in switching to stratified sampling, which may be why it is not particularly developed in the MCMC literature….

As an interesting aside, the illustration in this talk comes from the Mexican stamp thickness data I also used in my earlier mixture papers, concerning the 1872 Hidalgo issue that was printed on different qualities of paper. This makes the number k of components somewhat uncertain, although k=3 is sometimes used as a default. Hence a parameter and simulation space of dimension 8, even though the method is used toward approximating the marginal posteriors on the weights λ¹ and λ².

stratified ABC [One World ABC webinar]

The third episode of the One World ABC seminar (Season 1!) was kindly delivered by Umberto Picchini on Stratified sampling and bootstrapping for ABC which I already if briefly discussed after BayesComp 2020. Which sounds like a million years ago… His introduction on the importance of estimating the likelihood using a kernel, while 600% justified wrt his talk, made the One World ABC seminar sounds almost like groundhog day!  The central argument is in the computational gain brought by simulating a single θ dependent [expensive] dataset followed by [cheaper] bootstrap replicates. Which turns de fact into bootstrapping the summary statistics.

If I understand correctly, the post-stratification approach of Art Owen (2013?, I cannot find the reference) corrects a misrepresentation of mine. Indeed, defining a partition with unknown probability weights seemed to me to annihilate the appeal of stratification, because the Bernoulli variance of the estimated probabilities brought back the same variability as the mother estimator. But with bootstrap, this requires only two simulations, one for the weights and one for the target. And further allows for a larger ABC tolerance in fine. Free lunch?!

The speaker in two weeks (21 May or Ascension Thursday!) is my friend and co-author Gael Martin from Monash University, who will speak on Focused Bayesian prediction, at quite a late time down under..!

delayed acceptance ABC-SMC

Last summer, during my vacation on Skye,  Richard Everitt and Paulina Rowińska arXived a paper on delayed acceptance associated with ABC. ArXival that I missed, then! In order to decrease the number of simulations from the likelihood. As in our own delayed acceptance paper (without ABC), a cheap alternative generator is used to first reject the least likely parameters values, before possibly continuing to use a full generator. Also as lazy ABC. The first step of this ABC algorithm requires a cheap generator plus a primary tolerance ε¹ to compare the generation with the data or part of it. This may be followed by a second generation with a second tolerance level ε². The paper applies more specifically ABC-SMC as introduced in Sisson, Fan and Tanaka (2007) and reassessed in our subsequent 2009 Biometrika paper with Mark Beaumont, Jean-Marie Cornuet and Jean-Michel Marin. As well as in the ABC-SMC paper by Pierre Del Moral and Arnaud Doucet.

When looking at the version of the algorithm [Algorithm 2] based on two basic acceptance ABC steps, there are two features I find intriguing: (i) the primary step uses a cheap generator to reject early poor values of the parameter, followed by the second step involving a more expensive and exact generator, but I see no impact of the choice of this cheap generator in the acceptance probability; (ii) this is an SMC algorithm with imposed resampling at each iteration but there is no visible step for creating new weights after the resampling step. In the current presentation, it sounds like the weights do not change from the initial step, except for those turning to zero and the renormalisation transforms. Which makes the (unspecified) stratification of little interest if any. I must therefore miss a point in the implementation!

One puzzling sentence in the appendix is that the resampling algorithm used in the SMC step “ensures that every particle that is alive before resampling is represented in the resampled particles”, which reminds me of an argument [possibly a different one] made already in Sisson, Fan and Tanaka (2007) and that we could not validate in our subsequent paper. For resampling to be correct, a form of multinomial sampling must be implemented, even via variance reduction schemes like stratified or systematic sampling.