Archive for telescoping formula

telescope on evidence for graphical models

Posted in Books, Statistics, University life with tags , , , , , , , , , on February 29, 2024 by xi'an

A recent paper on evidence by Anindya Bhadra, Ksheera Sagar, Sayantan Banerjee (whom I met during Rito’s seminar, since he was also visiting Ismael in Paris, and who mentioned this work), and Jyotishka Datta, on computing the evidence for graphical models. Obtaining an approximation of the evidence attached with a model and a prior on the covariance matrix Ω is a challenge they manage to address in a particularly clever manner.

“the conditional posterior density [of the last column of the covariance matrix] can be evaluated as a product of normal and gamma densities under suitable priors (…) We resolve this [difficulty with the integrated likelihood] by evaluating the required densities in one row or column at a time, and proceeding backwards starting from the p-th row, with appropriate adjustments to Ωp×p at each step via Schur complement. “

Using a telescoping trick, the authors exploit the fact that the decomposition

\log f(y_{1:p})=\log f(y_p|y_{1:p-1},\theta_p)+\log f (y_{1:p-1}|\theta_p)+\log f(\theta_p)-\log f(\theta_p|y_{1:p})

involves a problematic second term that can be ignored by successive cancellations, as shown by Figure 1. The other terms are manageable for some classes of priors on Ω. Like a Wishart. This allows them to call for Chib’s (two-black) method, which requires two independent MCMC runs. Actually, an unfortunate aspect of the approach is that its computational complexity is of order O(M p⁵), where M is the number of MCMC samples, due to the telescopic trick involving calling Chib’s approach for each of the p columns of Ω. While the numerical outcomes compare with nested sampling, annealed importance sampling, and even harmonic mean estimates (!), the computing time usually exceeds those for these other methods, esp. harmonic mean estimates For the specific G-Wishart case, the solution proposed by Atay-Kayis and Massam (2005) proves far superior. Since the main purpose of using evidence is in deriving Bayes factors, I wonder at possible gains in recycling simulations between models, even though this would seem to call for bridge sampling, no considered in the paper.

multilevel Monte Carlo for estimating constants

Posted in Books, Statistics, University life with tags , , , , , on March 18, 2016 by xi'an

Pierre Del Moral, Ajay Jasra, Kody Law, and Yan Zhou just arXived a paper entitled Sequential Monte Carlo samplers for normalizing constants. Which obviously attracted my interest! The context is one of a sequential Monte Carlo problem, with an associated sequence of targets and of attached normalising constants. While the quantity of interest only relates to the final distribution in the sequence, using Mike Giles‘ multilevel Monte Carlo approach allows for a more accurate estimation and recycling all the past particles, thanks to the telescoping formula. And the sequential representation also allows for an unbiased estimator, as is well known in the sequential Monte Carlo literature. The paper derives accurate bounds on both the variances of two normalisation constant estimators and the costs of producing such estimators (assuming there is an index typo in Corollary 3.1, where L-2 should be L-1). The improvement when compared with traditional SMC is clear on the example contained in the paper. As I read the paper rather quickly and without much attention to the notations, I may have missed the point, but I did not see any conclusion on the choice of the particle population size at each iteration of the SMC. After asking Ajay about it, he pointed out that this size can be derived as

N_k=\epsilon^{-2}Lh_k^{(\beta+\zeta)/2}K_L

(with notations taken from the paper).