“We show that by implementing a special type of [sequential Monte Carlo] sampler that takes two im-portance sampling paths at each iteration, one obtains an analogous SMC method to [nested sampling] that resolves its main theoretical and practical issues.”
A paper by Queenslander Robert Salomone, Leah South, Chris Drovandi and Dirk Kroese that I had missed (and recovered by Grégoire after we discussed this possibility with our Master students). On using SMC in nested sampling. What are the difficulties mentioned in the above quote?
- Dependence between the simulated samples, since only the offending particle is moved by one or several MCMC steps. (And MultiNest is not a foolproof solution.)
- The error due to quadrature is hard to evaluate, with parallelised versions aggravating the error.
- There is a truncation error due to the stopping rule when the exact maximum of the likelihood function is unknown.
Not mentioning the Monte Carlo error, of course, which should remain at the √n level.
“Nested Sampling is a special type of adaptive SMC algorithm, where weights are assigned in a suboptimal way.”
The above remark is somewhat obvious for a fixed sequence of likelihood levels and a set of particles at each (ring) level. moved by a Markov kernel with the right stationary target. Constrained to move within the ring, which may prove delicate in complex settings. Such a non-adaptive version is however not realistic and hence both the level sets and the stopping rule need be selected from the existing simulation, respectively as a quantile of the observed likelihood and as a failure to modify the evidence approximation, an adaptation that is a Catch 22! as we already found in the AMIS paper. (AMIS stands for adaptive mixture importance sampling.) To escape the quandary, the authors use both an auxiliary variable (to avoid atoms) and two importance sampling sequences (as in AMIS). And only a single particle with non-zero incremental weight for the (upper level) target. As the full details are a bit fuzzy to me, I hope I can experiment with my (quarantined) students on the full implementation of the method.
“Such cases asides, the question whether SMC is preferable using the TA or NS approach is really one of whether it is preferable to sample (relatively) easy distributions subject to a constraint or to sample potentially difficult distributions.”
A question (why not regular SMC?) I was indeed considering until coming to the conclusion section but did not find it treated in the paper. There is little discussion on the computing requirements either, as it seems the method is more time-consuming than a regular nested sample. (On the personal side, I appreciated very much their “special thanks to Christian Robert, whose many blog posts on NS helped influence this work, and played a large partin inspiring it.”)
