Markov Chain Monte Carlo explained


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An brief overview of some of the most famous Markov Chain Monte Carlo Methods.

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Markov Chain Monte Carlo explained

  1. 1. MarkovChainMonteCarlo theory and worked examples Dario Digiuni, A.A. 2007/2008
  2. 2. Markov Chain Monte Carlo • Class of sampling algorithms • High sampling efficiency • Sample from a distribution with unknown normalization constant • Often the only way to solve problems in time polynomial in the number of dimensions e.g. evaluation of a convex body volume
  3. 3. MCMC: applications • Statistical Mechanics Metropolis-Hastings • Optimization ▫ Simulated annealing • Bayesian Inference ▫ Metropolis-Hastings ▫ Gibbs sampling
  4. 4. The Monte Carlo principle • Sample a set of N independent and identically-distributed variables • Approximation of the target p.d.f. with the empirical expression … then approximation of the integrals!
  5. 5. Rejection Sampling 1. It needs finding M! 2. Low acceptance rate
  6. 6. Idea • I can use the previously sampled value to find the following one • Exploration of the configuration space by means of Markov Chains: def .: Markov process def .: Markov chain
  7. 7. Invariant distribution • Stability conditions: 1. Irreducibility= for every state there exists a finite probability to visit any other state 2. Aperiodicity = there are no loops. • Sufficient condition 1. Detailed balance principle MCMC algorithms are aperiodic, irreducible Markov chains having the target pdf as the invariant distribution
  8. 8. Example • What is the probability to find the lift at the ground floor in a three floor building? ▫ 3 states Markov chain ▫ Lift= Random Walker ▫ Transition matrix ▫ Looking for the invariant distribution … burn-in …
  9. 9. Example - 2 • I can apply the matrix T on the right to any of the states, e.g. homogeneous Markov chain ~ 50% is the probability to find • Google’s PageRank: the lift at the ground floor ▫ Websites are the states, T is defined by the number of hyperlinks among them and the user is the random walker:  The webpages are displayed following the invariant distribution!
  10. 10. Metropolis-Hastings • Given the target distribution equivalent to T 1. Choose a value for 2. Sample from a proposal distribution 3. Accept the new value with probability 4. Return to 1 Ratio independent Equal in Metropolis algorithm of the normalization!
  11. 11. M.-H. – Pros and Cons • Very general sampling method: ▫ I can sample from a unnormalized distribution ▫ It does not require to provide upper bound for the function • Good working depends on the choice of the proposal distribution ▫ well-mixing condition
  12. 12. M.-H. - Example • In Statistical Mechanics it is important to evalue the partition function, e.g. Ising model Sum every possible spin state: In a 10 x 10 x 10 spin cube, I would have to sum over MCMC APPROACH: 1. Evaluate the system’s energy Possible states = UNFEASIBLE 2. Pick up a spin at random and flip it: 1. If energy decreases, this is the new spin configuration 2. If energy increases, this is the new spin configuration with probability
  13. 13. Simulated Annealing • It allows one to find the global maximum of a generic pdf ▫ No comparison between the value of local minima required ▫ Application to the maximum-likelihood method • It is a non-homogeneous Markov chain whose invariant distribution keeps changing as follows:
  14. 14. Simulated Annealing: example • Let us apply the algorithm to a simple, 1-dimensional case • The optimal cooling scheme is
  15. 15. Simulated Annealing: Pros and Cons • The global maximum is univocally determined ▫ Even if walker starts next to a local (non global!) maximum, it converges to the true global maximum • It requires a good tuning of the parameters
  16. 16. Gibbs Sampler • Optimal method to marginalize multidimensional distributions • Let us assume we have a n-dimensional vector and that we know all the conditional probability expression for the pdf • We take the following proposal distribution:
  17. 17. Gibbs Sampler - 2 • Then: very efficient method!
  18. 18. Gibbs Sampler – practically
  19. 19. Gibbs Sampler – practically 1. §Initialize fix n-1 coordinates and sample from the resulting pdf 2. for (i=0 ; i < N; i++) • Sample • Sample • Sample • Sample
  20. 20. Gibbs Sampler – example • Let us pretend we cannot determine the normalization constant… … but we can make a comparison with the true marginalized pdf…
  21. 21. Gibbs Sampler – results • Comparison between Gibbs Sampling and the true M.-H. sampling from the marginalized pdf • Good c2 agreement
  22. 22. A complex MCMC application A radioactive source decays with frequency l1 and a detector records only every k1 –th event, then at the moment tc the decay rate changes to l2 and only one event out ofk2 is recorded. Apparently l1 , k1 , tc , l2 and k2 are undetermined. We wish to find them.
  23. 23. Preparation • The waiting time for the k-th event in a Poissonian process with frequency l is distributed according to: • I can sample a big amount of events from this pdf, changing the parameters l1 e k1 to l2 e k2 at time tc • I evaluate the likelihood:
  24. 24. Idea • I assume log-likelihood to be the invariant distribution! ▫ which are the Markov chain states? struct State { Parameter double lambda1, lambda2; space double tc; int k1, k2; Corresponding log- double plog; likelihood value State(double la1, double la2, double t, int kk1, int kk2) : lambda1(la1), lambda2(la2), tc(t), k1(kk1), k2(kk2) {} State() {}; };
  25. 25. Practically • I have to find an appropriate proposal distribution to move among the states ▫ Attention: varying li and ki I have toi prevent the acceptance rate to be too low… but also too high! • The a ratio is evaluated as the ratio between the final-state and initial-state likelihood values. • Try to guess the values for li , ki and tc • Let the chain evolve for a burn-in time and then record the results.
  26. 26. Results • Even if the inital guess is quite far from the real value, the random walker converges. guess: l1=5 l2 = 5 k1 = 3 k2 = 2 real: l1=1 l2 = 2 k1 = 1, k2 = 1
  27. 27. Results- 2 • Estimate of the uncertainty l2 l1
  28. 28. Results- 3 • All the parameters can be detemined quickly guess: tc=150 real: tc=300
  29. 29. References • C. Andrieu, N. De Freitas, A. Doucet e M.I. Jordan, Machine Learning 50 (2003), 5-43. • G. Casella e E.I. George, The American Statistician 46, 3 (1992), 167-174. • W.H. Press, S. A. Teukolsky, W.T. Vetterling e B.P. Flannery, Numerical Recipes , Third Edition, Cambridge University Press, 2007. • M. Loreti, Teoria degli errori e fondamenti di statistica, Decibel, Zanichelli (1998). • B. Walsh, Markov Chain Monte Carlo and Gibbs Sampling, Lecture Notes for EEB 581
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