Archive for allocations

THAMES for mixtures, a reply from the authors

Posted in Books, pictures, R, Statistics, University life with tags , , , , , , , , , , , , , , on June 23, 2025 by xi'an

[Here is a reply to my comments on THAMES sent by the first author of the paper, Martin Metodiev. The above replica of the cover of Rivers of London is obviously unrelated with the reply or the original blog, beyond presenting a fantasy map of the Thames!]

Thank you for your review of our article! Adapting your previous work in this field has been a pleasure. Before I respond to your comments, I would like to emphasize that the simplicity of our estimator lies in its simple analytic expression (a truncated harmonic mean of reciprocal unnormalized posterior density values). Indeed, our package “thamesmix” (recently submitted to CRAN!) has a function to compute the marginal likelihood of any mixture model. This function requires only two parameters: the unnormalized log-posterior function (the logarithm of the prior plus the log-likelihood) and the MCMC simulations from the posterior.

Regarding your main comments:

1. “the evacuation of earlier methods as not simple or not universal enough is rather disingenuous. For instance, software that do not return (latent) allocation vectors can easily be post-processed.”

I could not find an example of post-process simulations on top of MCMC outputs applied to compute these methods. It sounds really interesting, and I would be happy to cite it. Is there a reference that you can recommend?

In any case, the point still stands. Most estimators which we cite with regards to this point do not just need allocation samplers, but also the analytic expressions of the distribution of the allocation vectors or the distribution of the data conditional on these allocation vectors that come with them. I do not think that a closed form of this distribution is available in general.

2.“the handling of the label switching issue—the reason why Larry Wasserman saw mixtures at the same magnitude of evil as tequila!—is problematic for several reasons.”

The fact that our estimator is invariant to label-switching is indeed the core of our method. The simple Gibbs sampler gets stuck in one mode, and this is why the classical version of bridge sampling is biased by a factor of G! in the simulation setting. As you point out, this is successfully resolved when using fully symmetric bridge sampling in the experiment section. However, the computation cost of this fully symmetric estimator rises super-exponentially with G, so I do not see how it could be evaluated for G=15, where the number of symmetric modes is equal to 15! (over one trillion). One of the main points of our article is that the symmetric THAMES can be evaluated in a feasible amount of time, even in such a high-dimensional multivariate setting.

3. “the (legitimate) purpose of using marginal likelihoods for selecting the number G of components is weakened by the intrusion of alternate proposals to assess G from the data”

I would like to point out that these alternate proposals do not in any way impact the definition of the THAMES. It is the simple definition given in Equation (5). They are only used to speed up the computation.

4. “several mentions are made of the other estimators being biased, which is indeed the case for bridge sampling (if not necessarily for importance sampling), but not necessarily a central issue”

The problem that we see with the classical, non-symmetric bridge sampling method in the setting of mixture models is not simply that it is biased. The problem is that the bias is persistent and often roughly equal to the factor of G! when the MCMC sampler failed to switch between modes. We have not had this experience with the THAMES: it converged even when the MCMC was stuck.

a knapsack riddle?

Posted in Books, pictures, R, Statistics, Travel with tags , , , , , , on February 13, 2017 by xi'an

gear

The [then current now past] riddle of the week is a sort of multiarmed bandits optimisation. Of sorts. Or rather a generalised knapsack problem. The question is about optimising the allocation of 100 undistinguishable units to 10 distinct boxes against a similarly endowed adversary, when the loss function is

L(x,y)=(x_1>y_1)-(x_1<y_1)+...+10((x_{10}>y_{10})-(x_{10}<y_{10}))

and the distribution q of the adversary is unknown. As usual (!), the phrasing of the riddle is somewhat ambiguous but I am under the impression that the game is played sequentially, hence that one can learn about the distribution of the adversary, at least when assuming this adversary keeps the same distribution q at all times. Continue reading →

relabelling mixtures (#2)

Posted in Statistics, Travel, University life with tags , , , , , , on February 5, 2015 by xi'an

Following the previous post, I went and had  a (long) look at Puolamäki and Kaski’s paper. I must acknowledge that, despite having several runs through the paper, I still have trouble with the approach… From what I understand, the authors use a Bernoulli mixture pseudo-model to reallocate the observations to components.  That is, given an MCMC output with simulated allocations variables (a.k.a., hidden or latent variables), they create a (TxK)xn matrix of component binary indicators e.g., for a three component mixture,

0 1 0 0 1 0…
1 0 0 0 0 0…
0 0 1 1 0 1…
0 1 0 0 1 1…

and estimate a probability to be in component j for each of the n observations, according to the (pseudo-)likelihood

\prod_{r=1}^R \sum_{j=1}^K \prod_{i=1}^n \beta_{i,j}^{z_{i,r}}(1-\beta_{i,j})^{1-z_{i,r}}

It took me a few days, between morning runs and those wee hours when I cannot get back to sleep (!), to make some sense of this Bernoulli modelling. The allocation vectors are used together to estimate the probabilities of being “in” component j together. However the data—which is the outcome of an MCMC simulation and de facto does not originate from that Bernoulli mixture—does not seem appropriate, both because it is produced by an MCMC simulation and is made of blocks of highly correlated rows [which sum up to one]. The Bernoulli likelihood above also defines a new model, with many more parameters than in the original mixture model. And I fail to see why perfect, partial or inexistent label switching [in the MCMC sequence] is not going to impact the estimation of the Bernoulli mixture. And why an argument based on a fixed parameter value (Theorem 3) extends to an MCMC outcome where parameters themselves are subjected to some degree of label switching. Bemused, I remain…