## in the maths house [#2]

Posted in pictures, Travel, University life with tags , , , , , on April 22, 2016 by xi'an

## in the maths house

Posted in pictures, Travel, University life with tags , , , , on April 21, 2016 by xi'an

## patterns of scalable Bayesian inference

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , on February 24, 2016 by xi'an

Elaine Angelino, Matthew Johnson and Ryan Adams just arXived a massive survey of 118 pages on scalable Bayesian inference, which could have been entitled Bayes for Big Data, as this monograph covers state-of-the-art computational approaches to large and complex data structures. I did not read each and every line of it, but I have already recommended it to my PhD students. Some of its material unsurprisingly draws from the recent survey by Rémi Bardenet et al. (2015) I discussed a while ago. It also relates rather frequently to the somewhat parallel ICML paper of Korattikara et al. (2014). And to the firefly Monte Carlo procedure also discussed previously here.

Chapter 2 provides some standard background on computational techniques, Chapter 3 covers MCMC with data subsets, Chapter 4 gives some entries on MCMC with parallel and distributed architectures, Chapter 5 focus on variational solutions, and Chapter 6 is about open questions and challenges.

“Insisting on zero asymptotic bias from Monte Carlo estimates of expectations may leave us swamped in errors from high variance or transient bias.”

One central theme of the paper is the need for approximate solutions, MCMC being perceived as the exact solution. (Somewhat wrongly in the sense that the product of an MCMC is at best an empirical version of the true posterior, hence endowed with a residual and incompressible variation for a given computing budget.) While Chapter 3 stresses the issue of assessing the distance to the true posterior, it does not dwell at all on computing times and budget, which is arguably a much harder problem. Chapter 4 seems to be more aware of this issue since arguing that “a way to use parallel computing resources is to run multiple sequential MCMC algorithms at once [but that this] does not reduce the transient bias in MCMC estimates of posterior expectations” (p.54). The alternatives are to use either prefetching (which was the central theme of Elaine Angelino’s thesis), asynchronous Gibbs with the new to me (?) Hogwild Gibbs algorithms (connected in Terenin et al.’s recent paper, not quoted in the paper), some versions of consensus Monte Carlo covered in earlier posts, the missing links being in my humble opinion an assessment of the worth of those solutions (in the spirit of “here’s the solution, what was the problem again?”) and once again the computing time issue. Chapter 5 briefly discusses some recent developments in variational mean field approximations, which is farther from my interests and (limited) competence, but which appears as a particular class of approximate models and thus could (and should?) relate to likelihood-free methods. Chapter 6 about the current challenges of the field is presumably the most interesting in this monograph in that it produces open questions and suggests directions for future research. For instance, opposing the long term MCMC error with the short term transient part. Or the issue of comparing different implementations in a practical and timely perspective.

## A repulsive random walk

Posted in R, Statistics with tags , , , , on May 28, 2010 by xi'an

Matt Asher posted an R experiment on R-bloggers yesterday simulating the random walk

$x_{t+1} = x_t + \varepsilon_t / x_t$

which has the property of avoiding zero by quickly switching to a large value as soon as $x_t$ is small. He was then wondering about the “convergence” of the random walk given that it moves very little once $x_t$ is large enough. The values he found for various horizons t seemed to indicate a stable regime.

I reran the same experiment as Matt in a Monte Carlo perspective, using the R program

resu=matrix(0,ncol=100,nrow=25)
sampl=rnorm(100)
for (i in 1:25){
for (t in 2^(i-1):2^i) sampl=sampl+rnorm(100)/sampl
resu[i,]=sampl
}
boxplot(as.data.frame(t(abs(resu))),name=as.character(1:25),col="wheat3")

The outcome of this R code plotted above shows that the range and the average of the 100 replications is increasing with t. This behaviour indicates a transient behaviour of the Markov chain, which almost surely goes to infinity and never comes back (because at infinity the variance is zero). Another indication for transience is shown by the fact that $x_t$ comes back to the interval (-1,1) with probability $\Phi(-|x_t|)$, a probability which goes to zero with $x_t$. As suggested to me by Randal Douc, this transience can be established rigorously by considering

$x_{t+1}^2 = x_t^2 + 2\epsilon_t + \epsilon_t^2/x_t^2 > x_t^2 + 2\epsilon_t>2\sum_{i=1}^t \epsilon_t$

which is thus bounded from below by a null recurrent process, which almost surely goes to infinity. Therefore the above Markov chain cannot have a stationary distribution or even a stationary measure: it almost surely goes to (plus or minus) infinity.