**I**n the most recent Bayesian Analysis, Marko Järvenpää et al. (including my coauthor Aki Vehtari) consider an ABC setting where the number of available simulations of pseudo-samples is limited. And where they want to quantify the amount of uncertainty resulting from the estimation of the ABC posterior density. Which is a version of the Monte Carlo error in practical ABC, in that this is the difference between the ABC posterior density for a given choice of summaries and a given choice of tolerance, and the actual approximation based on a finite number of simulations from the prior predictive. As in earlier works by Michael Gutmann and co-authors, the focus stands in designing a sequential strategy to decide where to sample the next parameter value towards minimising a certain expected loss. And in adopting a Gaussian process modelling for the discrepancy between observed data and simulated data, hence generalising the synthetic likelihood approach. This allows them to compute the expectation and the variance of the unnormalised ABC posterior, based on plugged-in estimators. From where the authors derive a loss as the expected variance of the acceptance probability (although it is not parameterisation invariant). I am unsure I see the point for this choice in that there is no clear reason for the resulting sequence of parameter choices to explore the support of the posterior distribution in a relatively exhaustive manner. The paper also mentions alternatives where the next parameter is chosen at the location where “the uncertainty of the unnormalised ABC posterior is highest”. Which sounds more pertinent to me. And further avoids integrating out the parameter. I also wonder if ABC mis-specification analysis could apply in this framework since the Gaussian process is most certainly a “wrong” model. (When concluding this post, I realised I had written a similar entry two years ago about the earlier version of the paper!)

## Archive for synthetic likelihood

## uncertainty in the ABC posterior

Posted in Statistics with tags ABC, Bayesian Analysis, Gaussian processes, misspecified model, Monte Carlo error, prior predictive, synthetic likelihood on July 24, 2019 by xi'an## prepaid ABC

Posted in Books, pictures, Statistics, University life with tags ABC, Approximate Bayesian computation, KU Leuven, Leuven, likelihood-free methods, machine learning, neural network, reproducible research, support vector machines, synthetic likelihood on January 16, 2019 by xi'an**M**erijn Mestdagha, Stijn Verdoncka, Kristof Meersa, Tim Loossensa, and Francis Tuerlinckx from the KU Leuven, some of whom I met during a visit to its Wallon counterpart Louvain-La-Neuve, proposed and arXived a new likelihood-free approach based on saving simulations on a large scale for future users. Future users interested in the *same* model. The *very same* model. This makes the proposal quite puzzling as I have no idea as to when situations with exactly the same experimental conditions, up to the sample size, repeat over and over again. Or even just repeat once. (Some particular settings may accommodate for different sample sizes and the same prepaid database, but others as in genetics clearly do not.) I am sufficiently puzzled to suspect I have missed the message of the paper.

“In various fields, statistical models of interest are analytically intractable. As a result, statistical inference is greatly hampered by computational constraint s. However, given a model, different users with different data are likely to perform similar computations. Computations done by one user are potentially useful for other users with different data sets. We propose a pooling of resources across researchers to capitalize on this. More specifically, we preemptively chart out the entire space of possible model outcomes in a prepaid database. Using advanced interpolation techniques, any individual estimation problem can now be solved on the spot. The prepaid method can easily accommodate different priors as well as constraints on the parameters. We created prepaid databases for three challenging models and demonstrate how they can be distributed through an online parameter estimation service. Our method outperforms state-of-the-art estimation techniques in both speed (with a 23,000 to 100,000-fold speed up) and accuracy, and is able to handle previously quasi inestimable models.”

I foresee potential difficulties with this proposal, like compelling all future users to rely on the same summary statistics, on the same prior distributions (the “representative amount of parameter values”), and requiring a massive storage capacity. Plus furthermore relying at its early stage on the most rudimentary form of an ABC algorithm (although not acknowledged as such), namely the rejection one. When reading the description in the paper, the proposed method indeed selects the parameters (simulated from a prior or a grid) that are producing pseudo-observations that are closest to the actual observations (or their summaries s). The subsample thus constructed is used to derive a (local) non-parametric or machine-learning predictor s=f(θ). From which a point estimator is deduced by minimising in θ a deviance d(s⁰,f(θ)).

The paper does not expand much on the theoretical justifications of the approach (including the appendix that covers a formal situation where the prepaid grid conveniently covers the observed statistics). And thus does not explain on which basis confidence intervals should offer nominal coverage for the prepaid method. Instead, the paper runs comparisons with Simon Wood’s (2010) synthetic likelihood maximisation (Ricker model with three parameters), the rejection ABC algorithm (species dispersion trait model with four parameters), while the Leaky Competing Accumulator (with four parameters as well) seemingly enjoys no alternative. Which is strange since the first step of the prepaid algorithm is an ABC step, but I am unfamiliar with this model. Unsurprisingly, in all these cases, given that the simulation has been done prior to the computing time for the prepaid method and not for either synthetic likelihood or ABC, the former enjoys a massive advantage from the start.

“The prepaid method can be used for a very large number of observations, contrary to the synthetic likelihood or ABC methods. The use of very large simulated data sets allows investigation of large-sample properties of the estimator”

To return to the general proposal and my major reservation or misunderstanding, for different experiments, the (true or pseudo-true) value of the parameter will not be the same, I presume, and hence the region of interest [or grid] will differ. While, again, the computational gain is *de facto* obvious [since the costly production of the reference table is not repeated], and, to repeat myself, makes the comparison with methods that do require a massive number of simulations from scratch massively in favour of the prepaid option, I do not see a convenient way of recycling these prepaid simulations for another setting, that is, when some experimental factors, sample size or collection, or even just the priors, do differ. Again, I may be missing the point, especially in a specific context like repeated psychological experiments.

While this may have some applications in reproducibility (but maybe not, if the goal is in fact to detect cherry-picking), I see very little use in repeating the same statistical model on different datasets. Even repeating observations will require additional nuisance parameters and possibly perturb the likelihood and/or posterior to large extents.

## approximate likelihood

Posted in Books, Statistics with tags ABC, arXiv, likelihood-free methods, maximum entropy, synthetic likelihood, untractable normalizing constant on September 6, 2017 by xi'an**T**oday, I read a newly arXived paper by Stephen Gratton on a method called GLASS for *General Likelihood Approximate Solution Scheme*… The starting point is the same as with ABC or synthetic likelihood, namely a collection of summary statistics and an intractable likelihood. The author proposes to use as a substitute a maximum entropy solution based on these summary statistics and their assumed moments under the theoretical model. What is quite unclear in the paper is whether or not these assumed moments are available in closed form or not. Otherwise, it would appear as a variant to the synthetic likelihood [aka simulated moments] approach, meaning that the expectations of the summary statistics under the theoretical model and for a given value of the parameter are obtained through Monte Carlo approximations. (All the examples therein allow for closed form expressions.)

## ABC’ory in Banff [17w5025]

Posted in Mountains, pictures, Statistics, Travel, University life with tags ABC, ABC convergence, Banff, Banff International Research Station for Mathematical Innovation, BIRS, Canada, Canadian Rockies, consistency of ABC methods, coverage, synthetic likelihood on February 23, 2017 by xi'an**A**nother great day of talks and discussions at BIRS! Continuing on the themes of the workshop between delving into the further validation of those approximation techniques and the devising of ever more approximate solutions for ever more complex problems. Among the points that came clearer to me through discussion, a realisation that the synthetic likelihood perspective is not that far away from our assumptions in the consistency paper. And that a logistic version of the approach can be constructed as well. A notion I had not met before (or have forgotten I had met) is the one of early rejection ABC, which should actually be investigated more thoroughly as it should bring considerable improvement in computing time (with the caveats of calibrating the acceptance step before producing the learning sample and of characterising the output). Both Jukka Corander and Ewan Cameron reminded us of the case of models that take minutes or hours to produce one single dataset. (In his talk on some challenging applications, Jukka Corander chose to move from socks to boots!) And Jean-Michel Marin produced an illuminating if sobering experiment on the lack of proper Bayesian coverage by ABC solutions. (It appears that Ewan’s video includes a long empty moment when we went out for the traditional group photo, missing the end of his talk.)

## ABC’ory in Banff [17w5025]

Posted in Mountains, pictures, Statistics, Travel, University life with tags 17w5025, ABC, Approximate Bayesian computation, Banff, BIRS, Canada, convergence, Les Diablerets, Rocky Mountains, synthetic likelihood on February 21, 2017 by xi'an**T**he ABC workshop I co-organised has now started and, despite a few last minutes cancellations, we have gathered a great crowd of researchers on the validation and expansion of ABC methods. Or ABC’ory to keep up with my naming of workshops. The videos of the talks should come up progressively on the BIRS webpage. When I did not forget to launch the recording. The program is quite open and with this size of workshop allows for talks and discussions to last longer than planned: the first days contain several expository talks on ABC convergence, auxiliary or synthetic models, summary constructions, challenging applications, dynamic models, and model assessment. Plus prepared discussions on those topics that hopefully involve several workshop participants. We had also set some time for snap-talks, to induce everyone to give a quick presentation of one’s on-going research and open problems. The first day was rather full but saw a lot of interactions and discussions during and around the talks, a mood I hope will last till Friday! Today in replacement of Richard Everitt who alas got sick just before the workshop, we are conducting a discussion on dimensional issues, part of which is made of parts of the following slides (mostly recycled from earlier talks, including the mini-course in Les Diablerets):

## MCqMC 2016 [#2]

Posted in pictures, Running, Statistics, Travel, University life with tags California, Cambodia, conference, copulas, folded Markov chain, Golden Gate Bridge, Laplace-Stieljes transform, love-hate algorithm, Marshall-Olkin algorithm, MCMC, MCqMC 2016, Monte Carlo Statistical Methods, quadrangle, quasi-Monte Carlo methods, simulation, SMC, Stanford University, summary statistics, synthetic likelihood, The night of the hunter, Wang-Landau algorithm on August 17, 2016 by xi'anIn her plenary talk this morning, Christine Lemieux discussed connections between quasi-Monte Carlo and copulas, covering a question I have been considering for a while. Namely, when provided with a (multivariate) joint cdf F, is there a generic way to invert a vector of uniforms [or quasi-uniforms] into a simulation from F? For Archimedian copulas (as we always can get back to copulas), there is a resolution by the Marshall-Olkin representation, but this puts a restriction on the distributions F that can be considered. The session on synthetic likelihoods [as introduced by Simon Wood in 2010] put together by Scott Sisson was completely focussed on using normal approximations for the distribution of the vector of summary statistics, rather than the standard ABC non-parametric approximation. While there is a clear (?) advantage in using a normal pseudo-likelihood, since it stabilises with much less simulations than a non-parametric version, I find it difficult to compare both approaches, as they lead to different posterior distributions. In particular, I wonder at the impact of the dimension of the summary statistics on the approximation, in the sense that it is less and less likely that the joint is normal as this dimension increases. Whether this is damaging for the resulting inference is another issue, possibly handled by a supplementary ABC step that would take the first-step estimate as summary statistic. (As a side remark, I am intrigued at everyone being so concerned with unbiasedness of methods that are approximations with no assessment of the amount of approximation!) The last session of the day was about multimodality and MCMC solutions, with talks by Hyungsuk Tak, Pierre Jacob and Babak Shababa, plus mine. Hunsuk presented the RAM algorithm I discussed earlier under the title of “love-hate” algorithm, which was a kind reference to my post! (I remain puzzled by the ability of the algorithm to jump to another mode, given that the intermediary step aims at a low or even zero probability region with an infinite mass target.) And Pierre talked about using SMC for Wang-Landau algorithms, with a twist to the classical stochastic optimisation schedule that preserves convergence. And a terrific illustration on a distribution inspired from the Golden Gate Bridge that reminded me of my recent crossing! The discussion around my folded Markov chain talk focussed on the extension of the partition to more than two sets, the difficulty being in generating automated projections, with comments about connections with computer graphic tools. (Too bad that the parallel session saw talks by Mark Huber and Rémi Bardenet that I missed! Enjoying a terrific Burmese dinner with Rémi, Pierre and other friends also meant I could not post this entry on time for the customary 00:16. Not that it matters in the least…)