I keep coming back to this ICML 2015 paper by Rezende and Mohamed (arXiv version). While this is not due to the particular novelty of the papers contents, I agree that the suggested approach is very promising for any inference approach, be it VI or adaptive Monte Carlo. The paper adopts the term normalizing flow for refering to the plain old change of variables formula for integrals. With the minor change of view that one can see this as a flow and the correct but slightly alien reference to a flow defined by the Langevin SDE or Fokker-Planck, both attributed only to ML/stats literature in the paper.
The theoretical contribution feels a little like a strawman: it simply states that, as Langevin and Hamiltonian dynamics can be seen as an infinitesimal normalizing flow, and both approximate the posterior when the step size goes to zero, normalizing flows can approximate the posterior arbitrarily well. This is of course nothing that was derived in the paper, nor is it news. Nor does it say anything about the practical approach suggested.
The invertible maps suggested have practical merit however, as they allow “splitting” of a mode into two, called the planar transformation (and plotted on the right of the image), as well as “attracting/repulsing” probability mass around a point. The Jacobian correction for both invertible maps being computable in time that is linear in the number of dimensions.
This 2013 paper by Sebastian Reich in the Journal on Scientific Computing introduces an approach called the Ensemble Transport Particle Filter (ETPF). The main innovation of ETPF, when compared to SMC-like filtering methods, lies in the resampling step. Which is
- based on an optimal transport idea and
- completely deterministic.
No rejuvenation step is used, contrary to the standard in SMC. While the notation is unfamiliar to me, coming from an SMC background, I’ll adopt it here: by denote samples from the prior with density (the , meaning forecast, is probably owed to Reich having done a lot of Bayesian weather prediction). The idea is to transform these into samples that follow the posterior density (the meaning analyzed), preferably without introducing unequal weights. Let the likelihood term be denoted by where is the data and let be the normalized importance weight. The normalization in the denominator stems from the fact that in Bayesian inference we can often only evaluate an unnormalized version of the posterior .
Then the optimal transport idea enters. Given the discrete realizations , is approximated by assigning the discrete probability vector , while is approximated by the probability vector . Now we construct a joint probability between the discrete random variables distributed according to and those distributed according to , i.e. a matrix with non-negative entries summing to 1 which has the column sum and row sum (another view would be that is a discrete copula which has prior and posterior as marginals). Let be the joint pmf induced by . To qualify as optimal transport, we now seek under the additional constraint of cyclical monotonicity. This boils down to a linear programming problem. For a fixed prior sample this induces a conditional distribution over the discretely approximated posterior given the discretely approximated prior .
We could now simply sample from this conditional to obtain equally weighted posterior samples for each . Instead, the paper proposes a deterministic transformation using the expected value . Reich proves that the mapping induced by this transformation is such that for , for . In other words, if the ensemble size M goes to infinity, we indeed get samples from the posterior.
Overall I think this is a very interesting approach. The construction of an optimal transport map based on the discrete approximations of prior and posterior is indeed novel compared to standard SMC. My one objection is that as it stands, the method will only work if the prior support covers all relevant regions of the posterior, as taking the expected value over prior samples will always lead to a contraction.
Of course, this is not a problem when M is infinite, but my intuition would be that it has a rather strong effect in our finite world. One remedy here would of course be to introduce a rejuvenation step as in SMC, for example moving each particle using MCMC steps that leave invariant.
This preprint by Jeff Rosenthal and Jinyoung Yang (currently available from Jeffs webpage) might also be called “Easily verifiable adaptive MCMC”. Jeff Rosenthal gave a tutorial on adaptive MCMC during MCMSki 2016 mentioning this work. Adaptive MCMC is based on the idea that one can use the information gathered from sampling a distribution using MCMC to improve the efficiency of the sampling process.
If two conditions, diminishing adaptation and containment are satisfied, an adaptive MCMC algorithm is valid in the sense of asymptotically consistent. Diminishing adaptation means that two consecutive Markov Kernels in the algorithm will be asymptotically equal. In other words, we either stop adaptation at some point or we know that the adaptation algorithm converges.
Containment means the number of repeated applications of all used Markov Kernels to get close to the target measure is bounded. Concretely, let be a Markov kernel index, be the distribution resulting from m-fold application of kernel starting from . In other words start MCMC at point x with kernel , let it run for m iterations and consider the induced distribution for the last point. Let be the target distribution. Then containment requires that
is bounded in probability for all . Here and is a worst case distance between distributions (total variation distance).
The paper is concerned with trying to find conditions for containment in adaptive MCMC that are more easily verified than those from earlier papers. First however it gives a kind of blueprint for adaptive algorithms that satisfy containment.
A blueprint for consistent adaptive MCMC
Nameley, let be the support of the target distribution and some large bounded region, some large constant. The blueprint, Bounded Adaptive Metropolis, is the following:
Start the algorithm at some and fix a covariance matrix . At iteration n generate a proposal by
Reject if , else accept with the usual Metropolis-Hastings acceptance probability. The can be chosen almost arbitrarily if the diminishing adaptation condition is met, so either the mechanism of choosing is fixed asymptotically or converges.
It would seem to me that we can actually change the distribution in (2) arbitrarily if we continue to meet diminishing adaptation. So for example we could use an independent metropolis, adaptive Langevin or other sophisticated proposal inside K, so long as condition (e) in the paper is satisfied, i.e. the adaptive proposal distribution used in (2) is continuous in . Which leads us to the actual conditions for containment.
General conditions for containment in adaptive MCMC
Let be a general state space. For example in the Bounded Metropolis we had . The conditions the authors give are (even more simplified by me):
(a) The probability to move more than some finite distance D > 0 is zero:
(b) Outside of K, the algorithm uses a fixed transition kernel P that never changes (and still respects that we can at most move D far away)
(c) The fixed kernel P is bounded above by for finite constant M > 0 and all x that are outside K but no farther from it than D (call that set ) and all y that are between D and 2D distance from K (call that set ). Here is any distribution concentrated on .
(d) The fixed kernel P is bounded below by for some measure on , some and some event A.
(e) Let be the parameter adapted by the algorithm. The overall proposal densities (combining the proposal in and outside of K) are continuous in for fixed (x,y) and combocontinuous in x. Practically, this would be that the fixed proposal when outside K and the adaptive proposal when inside K are both continuous.
Here, conditions (a) and (b) are very easy to ensure even when not an expert on MCMC. Conditions (c) and (d) sound harder, but as mentioned above it seems to me that they are easy to ensure by just using a (truncated, i.e. respecting (a)) gaussian random walk proposal outside of K. Finally, (e) seems to boil down to making the adaptive proposal continuous in both and x.
The proofs use a generalization of piecewise continuous functions and a generalized version of Dinis theorem to prove convergence in total variation distance.
This paper seems to me to be a long way from Roberts & Rosenthal (2007, Journal of Applied Probability) which was the first paper I read on ergodicity conditions for adaptive MCMC. It truly makes checking containment much easier. My one concern is that the exposition could be clearer for people that are not MCMC researchers. Then again, this is a contribution paper rather than a tutorial.
This article in Le Monde (in French) covers Emmanuel Macrons speech in Lyon yesterday. I must admit that I know little more about Macrons program than what the article reports. One of the most interesting parts being that Macron is decidedly pro European. What caught my eye though was his metaphor regarding the populist right wing spreading of fear and the method of speaking almost exclusively to the populations anger. Macron called this the leprosy of democracy.
I couldn’t agree more and must say that I marvel at the strength of this image. While he was speaking about the french Front National, the exact same argument applies to German AfD. As well as to the countries where egocentric white men have made voters believe they would act in public interest, like the US, Hungary, and Poland.