Archive for quasi-Monte Carlo methods

probabilistic numerics [book review]

Posted in Books, pictures, Statistics, Travel with tags , , , , , , , , , , , , , , , , , , , , on July 28, 2023 by xi'an

Probabilistic numerics: Computation as machine learning is a 2022 book by Philipp Henning, Michael Osborne, and Hans Kersting that was sent to me by CUP (upon my request and almost free of charge, as I had to pay custom charges, thanks to Brexit!). With the important message of bringing statistical tools to numerics. I remember Persi Diaconis calling for (such) actions in the 1980’s (and even reading a paper of his on the topic along with George Casella in Ithaca while waiting for his car to get serviced!).

From a purely aesthetic view point, the book reads well, offers a beautiful cover and sells for a quite reasonable price for an academic book. Plus it is associated with a website containing draft version of the book. Code, links to courses, research, conferences are also available there. Just a side remark that it enjoys very wide margins that may have encouraged an inflation of footnotes (but also exercises). Except when formulas get in the way (as e.g. on p.40).

The figure below is an excerpt from the introduction that sets the scene of probabilistic numerics involving algorithms as agents, gathering data and making decisions, with an obvious analogy with standard Bayesian decision theory. Modelling uncertainty missing from the picture (if not from the book, as explained later by the authors as an argument against attaching the label Bayesian to the field). Also referring to Henri Poincaré for the origination of the prior vs posterior uncertainty about a mathematical quantity. Followed by early works from the Russian school of probability, somewhat ignored until the machine-learning revolution and a 2012 NIPS workshop organised by the authors. (I participated to a follow-up workshop at NIPS 2015.)

In this nicely written section, I have an objection to the authors’ argument that a frequentist, as opposed to a Bayesian, “has the loss function in mind from the outset” (p.9), since the loss function is logically inseparable from the prior and considered from the onset. I also like very much the conclusion to that introduction, namely that the main messages (from the book) are that (verbatim)

  • classical methods are probabilist (p.10)
  • numerical methods are autonomous agents (p.11)
  • numerics should not be random (if not a rejection of the concept of Monte Carlo methods, p.1, but probabilistic numerics being opposed to stochastic numerics, p.67)
  • numerics must report calibrated uncertainty (p.12)
  • imprecise computation is to be embraced (p.12)
  • probabilistic numerics consolidates numerical computation and statistical inference (p.13)
  • probabilistic numerical algorithms are already adding value (p.13)
  • pipelines of computation demand harmonisation

“Is it still reasonable to labour under computational constraints conceived in the 1940s?” (p.113)

“rather than being equally good for any number of dimensions, Monte Carlo is perhaps better thought of as being equally bad” (p.110)

Chapter I is a 40p infodump (!) on mathematical concepts needed for the following parts. Chapter II is about integration, opposing again PN and Monte Carlo (with strange remark that MCMC does not achieve √N convergence rate, p.72). In the sense that the later is frequentist in that it does not use a prior [unless considering a limiting improper version as in Section 12.2, an intriguing concept in this setup as I wonder whether or not improper priors can at all be contemplated] on the object of interest and hence that the stochasticity does not reflect uncertainty but rather the impact of the simulated sample. Advocating Bayesian quadrature (with some weird convergence graphs exhibiting a high variability with the number of iterations that apparently is not discussed) and bringing in the fascinating perspective of model choice in that framework (leading to compute a posterior probability for each model!). Being evidently biased towards Monte Carlo, I find the opposition in Chapter 12 unnecessarily antagonistic, while presenting Monte Carlo methods as a form of minimax solution, the more because quasi-Monte Carlo methods are hardly discussed (or dismissed). As illustrated by the following picture (p.115) and the above quotes. (And I won’t even go into the absurdity of §12.3 trashing pseudo-random generators as “painfully dumb”.)

Chapter III is a sort of dual of Chapter II for linear algebra numerics, primarily solving linear equations by Gaussian solvers, which introduces new concepts like Krylov sequences, although it sounds quite specific (for an outsider like me). Chapters IV and V deal with the more ambitious prospect of optimisation. Reconsidering classics and expanding into Bayesian optimisation, using Gaussian process priors and defining specific loss functions. Bringing in a strong link with machine learning tools and goals. [citation typo on p.277]. Chapter VII addresses the resolution of ODEs by a Bayesian state space model representation and (again!) Gaussian processes. Reaching to mentioning inverse problems and offering a short finale on prospective steps for interested readers.

[Disclaimer about potential self-plagiarism: this post or an edited version will eventually appear in my Books Review section in CHANCE.]

Welcome to MCM 2025

Posted in Statistics with tags , , , , , , , , , , , , , , on July 7, 2023 by xi'an

Introduction to Sequential Monte Carlo [book review]

Posted in Books, Statistics with tags , , , , , , , , , , , , , , , , on June 8, 2021 by xi'an

[Warning: Due to many CoI, from Nicolas being a former PhD student of mine, to his being a current colleague at CREST, to Omiros being co-deputy-editor for Biometrika, this review will not be part of my CHANCE book reviews.]

My friends Nicolas Chopin and Omiros Papaspiliopoulos wrote in 2020 An Introduction to Sequential Monte Carlo (Springer) that took several years to achieve and which I find remarkably coherent in its unified presentation. Particles filters and more broadly sequential Monte Carlo have expended considerably in the last 25 years and I find it difficult to keep track of the main advances given the expansive and heterogeneous literature. The book is also quite careful in its mathematical treatment of the concepts and, while the Feynman-Kac formalism is somewhat scary, it provides a careful introduction to the sampling techniques relating to state-space models and to their asymptotic validation. As an introduction it does not go to the same depths as Pierre Del Moral’s 2004 book or our 2005 book (Cappé et al.). But it also proposes a unified treatment of the most recent developments, including SMC² and ABC-SMC. There is even a chapter on sequential quasi-Monte Carlo, naturally connected to Mathieu Gerber’s and Nicolas Chopin’s 2015 Read Paper. Another significant feature is the articulation of the practical part around a massive Python package called particles [what else?!]. While the book is intended as a textbook, and has been used as such at ENSAE and in other places, there are only a few exercises per chapter and they are not necessarily manageable (as Exercise 7.1, the unique exercise for the very short Chapter 7.) The style is highly pedagogical, take for instance Chapter 10 on the various particle filters, with a detailed and separate analysis of the input, algorithm, and output of each of these. Examples are only strategically used when comparing methods or illustrating convergence. While the MCMC chapter (Chapter 15) is surprisingly small, it is actually an introducing of the massive chapter on particle MCMC (and a teaser for an incoming Papaspiloulos, Roberts and Tweedie, a slow-cooking dish that has now been baking for quite a while!).

population quasi-Monte Carlo

Posted in Books, Statistics with tags , , , , , , , , , , , , on January 28, 2021 by xi'an

“Population Monte Carlo (PMC) is an important class of Monte Carlo methods, which utilizes a population of proposals to generate weighted samples that approximate the target distribution”

A return of the prodigal son!, with this arXival by Huang, Joseph, and Mak, of a paper on population Monte Carlo using quasi-random sequences. The construct is based on an earlier notion of Joseph and Mak, support points, which are defined wrt a given target distribution F as minimising the variability of a sample from F away from these points. (I would have used instead my late friend Bernhard Flury’s principal points!) The proposal uses Owen-style scrambled Sobol points, followed by a deterministic mixture weighting à la PMC, followed by importance support resampling to find the next location parameters of the proposal mixture (which is why I included an unrelated mixture surface as my post picture!). This importance support resampling is obviously less variable than the more traditional ways of resampling but the cost moves from O(M) to O(M²).

“The main computational complexity of the algorithm is O(M²) from computing the pairwise distance of the M weighted samples”

The covariance parameters are updated as in our 2008 paper. This new proposal is interesting and reasonable, with apparent significant gains, albeit I would have liked to see a clearer discussion of the actual computing costs of PQMC.

QMC at CIRM

Posted in Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , on October 21, 2020 by xi'an