Slideshare uses cookies to improve functionality and performance, and to provide you with relevant advertising. If you continue browsing the site, you agree to the use of cookies on this website. See our User Agreement and Privacy Policy.

Slideshare uses cookies to improve functionality and performance, and to provide you with relevant advertising. If you continue browsing the site, you agree to the use of cookies on this website. See our Privacy Policy and User Agreement for details.

Like this presentation? Why not share!

- Bayesian Core: Chapter 7 by Christian Robert 1391 views
- Exploratory Statistics with R by Christian Robert 2166 views
- 45th SIS Meeting, Padova, Italy by Christian Robert 850 views
- Course on Bayesian computational me... by Christian Robert 1782 views
- Approximating Bayes Factors by Christian Robert 3059 views
- RSS discussion of Girolami and Cald... by Christian Robert 967 views

1,063 views

989 views

989 views

Published on

No Downloads

Total views

1,063

On SlideShare

0

From Embeds

0

Number of Embeds

0

Shares

0

Downloads

51

Comments

0

Likes

1

No embeds

No notes for slide

- 1. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Mixture models 5 Mixture models Mixture models MCMC approaches Label switching MCMC for variable dimension models 291 / 459
- 2. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Missing variable models Complexity of a model may originate from the fact that some piece of information is missing Example Arnason–Schwarz model with missing zones Probit model with missing normal variate Generic representation f (x|θ) = g(x, z|θ) dz Z 292 / 459
- 3. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Mixture models Mixture models Models of mixtures of distributions: x ∼ fj with probability pj , for j = 1, 2, . . . , k, with overall density p1 f1 (x) + · · · + pk fk (x) . Usual case: parameterised components k pi f (x|θi ) i=1 where weights pi ’s are distinguished from other parameters 293 / 459
- 4. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Mixture models Motivations Dataset made of several latent/missing/unobserved strata/subpopulations. Mixture structure due to the missing origin/allocation of each observation to a speciﬁc subpopulation/stratum. Inference on either the allocations (clustering) or on the parameters (θi , pi ) or on the number of groups Semiparametric perspective where mixtures are basis approximations of unknown distributions 294 / 459
- 5. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Mixture models License Dataset derived from license plate image Grey levels concentrated on 256 values later jittered 0.30 0.25 0.20 0.15 0.10 0.05 0.00 −4 −2 0 2 4 295 / 459
- 6. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Mixture models Likelihood For a sample of independent random variables (x1 , · · · , xn ), likelihood n {p1 f1 (xi ) + · · · + pk fk (xi )} . i=1 Expanding this product involves kn elementary terms: prohibitive to compute in large samples. But likelihood still computable [pointwise] in O(kn) time. 296 / 459
- 7. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Mixture models Normal mean benchmark Normal mixture p N (µ1 , 1) + (1 − p) N (µ2 , 1) with only unknown means (2-D representation possible) Identiﬁability Parameters µ1 and µ2 4 identiﬁable: µ1 cannot be 3 confused with µ2 when p is µ2 2 diﬀerent from 0.5. 1 Presence of a spurious mode, 0 −1 understood by letting p go to 0.5 −1 0 1 2 3 4 µ1 297 / 459
- 8. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Mixture models Bayesian Inference For any prior π (θ, p), posterior distribution of (θ, p) available up to a multiplicative constant n k π(θ, p|x) ∝ pj f (xi |θj ) π (θ, p) . i=1 j=1 at a cost of order O(kn) Diﬃculty Despite this, derivation of posterior characteristics like posterior expectations only possible in an exponential time of order O(k n )! 298 / 459
- 9. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Mixture models Missing variable representation Associate to each xi a missing/latent variable zi that indicates its component: zi |p ∼ Mk (p1 , . . . , pk ) and xi |zi , θ ∼ f (·|θzi ) . Completed likelihood n ℓ(θ, p|x, z) = pzi f (xi |θzi ) , i=1 and n π(θ, p|x, z) ∝ pzi f (xi |θzi ) π (θ, p) , i=1 where z = (z1 , . . . , zn ). 299 / 459
- 10. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Mixture models Partition sets Denote by Z = {1, . . . , k}n set of the k n possible vectors z. Z decomposed into a partition of sets Z = ∪r Zj j=1 For a given allocation size vector (n1 , . . . , nk ), where n1 + . . . + nk = n, partition sets n n Zj = z: Izi =1 = n1 , . . . , Izi =k = nk , i=1 i=1 for all allocations with the given allocation size (n1 , . . . , nk ) and where labels j = j(n1 , . . . , nk ) deﬁned by lexicographical ordering on the (n1 , . . . , nk )’s. 300 / 459
- 11. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Mixture models Posterior closed form representations r π (θ, p|x) = ω (z) π (θ, p|x, z) , i=1 z∈Zi where ω (z) represents marginal posterior probability of the allocation z conditional on x [derived by integrating out the parameters θ and p] Bayes estimator of (θ, p) r ω (z) Eπ [θ, p|x, z] . i=1 z∈Zi c Too costly: 2n terms 301 / 459
- 12. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC approaches General Gibbs sampling for mixture models Take advantage of the missing data structure: Algorithm Initialization: choose p(0) and θ (0) arbitrarily Step t. For t = 1, . . . (t) 1 Generate zi (i = 1, . . . , n) from (j = 1, . . . , k) (t) (t−1) (t−1) (t−1) (t−1) P zi = j|pj , θj , xi ∝ pj f xi |θj 2 Generate p(t) from π(p|z(t) ), 3 Generate θ (t) from π(θ|z(t) , x). 302 / 459
- 13. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC approaches Exponential families When f (x|θ) = h(x) exp(R(θ) · T (x) > −ψ(θ)) simulation of both p and θ usually straightforward: Conjugate prior on θj given byBack to deﬁnition πj (θ) ∝ exp(R(θ) · αj − βj ψ(θ)) , where αj ∈ Rk and βj > 0 are hyperparameters and p ∼ D (γ1 , . . . , γk ) [Dirichlet distribution] 303 / 459
- 14. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC approaches Gibbs sampling for exponential family mixtures Algorithm Initialization. Choose p(0) and θ (0) , Step t. For t = 1, . . . (t) 1 Generate zi (i = 1, . . . , n, j = 1, . . . , k) from (t) (t−1) (t−1) (t−1) (t−1) P zi = j|pj , θj , xi ∝ pj f xi |θj (t) n (t) n 2 Compute nj = i=1 Iz (t) =j , sj = i=1 Iz (t) =j t(xi ) i i 3 Generate p(t) from D (γ1 + n1 , . . . , γk + nk ), (t) 4 Generate θj (j = 1, . . . , k) from (t) π(θj |z(t) , x) ∝ exp R(θj ) · (α + sj ) − ψ(θj )(nj + β) . 304 / 459
- 15. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC approaches Normal mean example For mixture of two normal distributions with unknown means, pN (µ, τ 2 ) + (1 − p)N (θ, σ 2 ) , and a normal prior N (δ, 1/λ) on µ1 and µ2 , 305 / 459
- 16. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC approaches Normal mean example (cont’d) Algorithm (0) (0) Initialization. Choose µ1 and µ2 , Step t. For t = 1, . . . (t) 1 Generate zi (i = 1, . . . , n) from 1 2 (t) (t) (t−1) P zi = 1 = 1−P zi = 2 ∝ p exp − xi − µ1 2 n n (t) 2 Compute nj = Iz(t) =j and (sx )(t) = j Iz(t) =j xi i i i=1 i=1 (t) λδ + (sx )(t) j 1 3 Generate µj (j = 1, 2) from N (t) , (t) . λ + nj λ + nj 306 / 459
- 17. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC approaches Normal mean example (cont’d) 4 4 3 3 2 2 µ2 µ2 1 1 0 0 −1 −1 −1 0 1 2 3 4 −1 0 1 2 3 4 µ1 µ1 (a) initialised at random (b) initialised close to the lower mode 307 / 459
- 18. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC approaches License Consider k = 3 components, a D3 (1/2, 1/2, 1/2) prior for the weights, a N (x, σ 2 /3) prior on the means µi and a G a(10, σ 2 ) ˆ ˆ −2 prior on the precisions σi , where x and σ 2 are the empirical mean ˆ and variance of License [Empirical Bayes] 0.30 0.25 0.20 0.15 0.10 0.05 0.00 −4 −2 0 2 4 308 / 459
- 19. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC approaches Metropolis–Hastings alternative For the Gibbs sampler, completion of z increases the dimension of the simulation space and reduces the mobility of the parameter chain. Metropolis–Hastings algorithm available since posterior available in closed form, as long as q provides a correct exploration of the posterior surface, since π(θ ′ , p′ |x) q(θ, p|θ ′ , p′ ) ∧1 π(θ, p|x) q(θ ′ , p′ |θ, p) computable in O(kn) time 309 / 459
- 20. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC approaches Random walk Metropolis–Hastings Proposal distribution for the new value (t−1) θj = θj + uj where uj ∼ N (0, ζ 2 ) 4 In mean mixture case, Gaussian random 3 walk proposal is 2 (t−1) µ2 µ1 ∼ N µ1 , ζ2 and 1 0 (t−1) µ2 ∼ N µ2 , ζ2 −1 −1 0 1 2 3 4 µ1 310 / 459
- 21. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC approaches Random walk Metropolis–Hastings for means Algorithm Initialization: (0) (0) Choose µ1 and µ2 Iteration t (t ≥ 1): (t−1) 1 Generate µ1 from N µ1 , ζ2 , (t−1) 2 Generate µ2 from N µ2 , ζ2 , 3 Compute (t−1) (t−1) r = π (µ1 , µ2 |x) π µ1 , µ2 |x (t) (t) 4 Generate u ∼ U[0,1] : if u < r, then µ1 , µ2 = (µ1 , µ2 ) (t) (t) (t−1) (t−1) else µ1 , µ2 = µ1 , µ2 . 311 / 459
- 22. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC approaches Random walk extensions Diﬃculties with constrained parameters, like p such that k i=1 pk = 1. Resolution by overparameterisation k pj = wj wl , wj > 0 , l=1 and proposed move on the wj ’s (t−1) log(wj ) = log(wj ) + uj where uj ∼ N (0, ζ 2 ) Watch out for the Jacobian in the log transform 312 / 459
- 23. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Label switching Identiﬁability A mixture model is invariant under permutations of the indices of the components. E.g., mixtures 0.3N (0, 1) + 0.7N (2.3, 1) and 0.7N (2.3, 1) + 0.3N (0, 1) are exactly the same! c The component parameters θi are not identiﬁable marginally since they are exchangeable 313 / 459
- 24. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Label switching Connected diﬃculties 1 Number of modes of the likelihood of order O(k!): c Maximization and even [MCMC] exploration of the posterior surface harder 2 Under exchangeable priors on (θ, p) [prior invariant under permutation of the indices], all posterior marginals are identical: c Posterior expectation of θ1 equal to posterior expectation of θ2 . 314 / 459
- 25. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Label switching License Since Gibbs output does not produce exchangeability, the Gibbs sampler has not explored the whole parameter space: it lacks energy to switch simultaneously enough component allocations at once 0.2 0.3 0.4 0.5 3 2 1 µi pi −1 0 0 100 200 300 400 500 −1 0 1 2 3 n µi 0.4 0.6 0.8 1.0 0.2 0.3 0.4 0.5 σi pi 0 100 200 300 400 500 0.2 0.3 0.4 0.5 n pi 0.4 0.6 0.8 1.0 −1 0 1 2 3 σi pi 0 100 200 300 400 500 0.4 0.6 0.8 1.0 n σi 315 / 459
- 26. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Label switching Label switching paradox We should observe the exchangeability of the components [label switching] to conclude about convergence of the Gibbs sampler. If we observe it, then we do not know how to estimate the parameters. If we do not, then we are uncertain about the convergence!!! 316 / 459
- 27. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Label switching Constraints Usual reply to lack of identiﬁability: impose constraints like µ1 ≤ . . . ≤ µk in the prior Mostly incompatible with the topology of the posterior surface: posterior expectations then depend on the choice of the constraints. Computational detail The constraint does not need to be imposed during the simulation but can instead be imposed after simulation, by reordering the MCMC output according to the constraint. This avoids possible negative eﬀects on convergence. 317 / 459
- 28. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Label switching Relabeling towards the mode Selection of one of the k! modal regions of the posterior once simulation is over, by computing the approximate MAP ∗ (θ, p)(i ) with i∗ = arg max π (θ, p)(i) |x i=1,...,M Pivotal Reordering At iteration i ∈ {1, . . . , M }, 1 Compute the optimal permutation ∗ τi = arg min d τ (θ (i) , p(i) ), (θ (i ) , p(i ) ) ∗ τ ∈Sk where d(·, ·) distance in the parameter space. 2 Set (θ (i) , p(i) ) = τi ((θ (i) , p(i) )). 318 / 459
- 29. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Label switching Re-ban on improper priors Diﬃcult to use improper priors in the setting of mixtures because independent improper priors, k π (θ) = πi (θi ) , with πi (θi )dθi = ∞ i=1 end up, for all n’s, with the property π(θ, p|x)dθdp = ∞ . Reason There are (k − 1)n terms among the k n terms in the expansion that allocate no observation at all to the i-th component. 319 / 459
- 30. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Label switching Tempering Facilitate exploration of π by ﬂattening the target: simulate from πα (x) ∝ π(x)α for α > 0 large enough Determine where the modal regions of π are (possibly with parallel versions using diﬀerent α’s) Recycle simulations from π(x)α into simulations from π by importance sampling Simple modiﬁcation of the Metropolis–Hastings algorithm, with new acceptance α π(θ ′ , p′ |x) q(θ, p|θ ′ , p′ ) ∧1 π(θ, p|x) q(θ ′ , p′ |θ, p) 320 / 459
- 31. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models Label switching Tempering with the mean mixture 1 0.5 0.2 4 4 4 3 3 3 2 2 2 1 1 1 0 0 0 −1 −1 −1 −1 0 1 2 3 4 −1 0 1 2 3 4 −1 0 1 2 3 4 321 / 459
- 32. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models MCMC for variable dimension models One of the things we do not know is the number of things we do not know —P. Green, 1996— Example the number of components in a mixture the number of covariates in a regression model the number of diﬀerent capture probabilities in a capture-recapture model the number of lags in a time-series model 322 / 459
- 33. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Variable dimension models Variable dimension model deﬁned as a collection of models (k = 1. . . . , K), Mk = {f (·|θk ); θk ∈ Θk } , associated with a collection of priors on the parameters of these models, πk (θk ) , and a prior distribution on the indices of these models, {̺(k) , k = 1, . . . , K} . Global notation: π(Mk , θk ) = ̺(k) πk (θk ) 323 / 459
- 34. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Bayesian inference for variable dimension models Two perspectives: 1 consider the variable dimension model as a whole and estimate quantities meaningful for the whole like predictives Pr(Mk |x1 , . . . , xn ) fk (x|θk )dx πk (θk |x1 , . . . , xn )dθ . k & quantities only meaningful for submodels (like moments of θk ), computed from πk (θk |x1 , . . . , xn ). [Usual setup] 2 resort to testing by choosing the best submodel via Z pi fi (x|θi )πi (θi )dθi Θi p(Mi |x) = X Z pj fj (x|θj )πj (θj )dθj j Θj 324 / 459
- 35. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Green’s reversible jumps Computational burden in exploring [possibly inﬁnite] complex parameter space: Green’s method set up a proper measure–theoretic framework for designing moves between models/spaces Mk /Θk of varying dimensions [no one-to-one correspondence] Create a reversible kernel K on H = k {k} × Θk such that K(x, dy)π(x)dx = K(y, dx)π(y)dy A B B A for the invariant density π [x is of the form (k, θ(k) )] and for all sets A, B [un-detailed balance] 325 / 459
- 36. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Green’s reversible kernel Since Markov kernel K necessarily of the form [either stay at the same value or move to one of the states] ∞ K(x, B) = ρm (x, y)qm (x, dy) + ω(x)IB (x) m=1 where qm (x, dy) transition measure to model Mm and ρm (x, y) corresponding acceptance probability, only need to consider proposals between two models, M1 and M2 , say. 326 / 459
- 37. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Green’s reversibility constraint If transition kernels between those models are K1→2 (θ1 , dθ) and K2→1 (θ2 , dθ), formal use of the detailed balance condition π(dθ1 ) K1→2 (θ1 , dθ) = π(dθ2 ) K2→1 (θ2 , dθ) , To preserve stationarity, necessary symmetry between moves/proposals from M1 to M2 and from M2 to M1 327 / 459
- 38. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Two-model transitions How to move from model M1 to M2 , with Markov chain being in state θ1 ∈ M1 [i.e. k = 1]? Most often M1 and M2 are of diﬀerent dimensions, e.g. dim(M2 ) > dim(M1 ). In that case, need to supplement both spaces Θk1 and Θk2 with adequate artiﬁcial spaces to create a one-to-one mapping between them, most often by augmenting the space of the smaller model. 328 / 459
- 39. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Two-model completions E.g., move from θ2 ∈ Θ2 to Θ1 chosen to be a deterministic transform of θ2 θ1 = Ψ2→1 (θ2 ) , Reverse proposal expressed as θ2 = Ψ1→2 (θ1 , v1→2 ) where v1→2 r.v. of dimension dim(M2 ) − dim(M1 ), generated as v1→2 ∼ ϕ1→2 (v1→2 ) . 329 / 459
- 40. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Two-model acceptance probability In this case, θ2 has density [under stationarity] −1 ∂Ψ1→2 (θ1 , v1→2 ) q1→2 (θ2 ) = π1 (θ1 ) ϕ1→2 (v1→2 ) , ∂(θ1 , v1→2 ) by the Jacobian rule. To make it π2 (θ2 ) we thus need to accept this value with probability π(M2 , θ2 ) ∂Ψ1→2 (θ1 , v1→2 ) α(θ1 , v1→2 ) = 1 ∧ . π(M1 , θ1 ) ϕ1→2 (v1→2 ) ∂(θ1 , v1→2 ) This is restricted to the case when only moves between M1 and M2 are considered 330 / 459
- 41. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Interpretation The representation puts us back in a ﬁxed dimension setting: M1 × V1→2 and M2 in one-to-one relation. reversibility imposes that θ1 is derived as (θ1 , v1→2 ) = Ψ−1 (θ2 ) 1→2 appears like a regular Metropolis–Hastings move from the couple (θ1 , v1→2 ) to θ2 when stationary distributions are π(M1 , θ1 ) × ϕ1→2 (v1→2 ) and π(M2 , θ2 ), and when proposal distribution is deterministic (??) 331 / 459
- 42. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Pseudo-deterministic reasoning Consider the proposals θ2 ∼ N (Ψ1→2 (θ1 , v1→2 ), ε) and Ψ1→2 (θ1 , v1→2 ) ∼ N (θ2 , ε) Reciprocal proposal has density exp −(θ2 − Ψ1→2 (θ1 , v1→2 ))2 /2ε ∂Ψ1→2 (θ1 , v1→2 ) √ × 2πε ∂(θ1 , v1→2 ) by the Jacobian rule. Thus Metropolis–Hastings acceptance probability is π(M2 , θ2 ) ∂Ψ1→2 (θ1 , v1→2 ) 1∧ π(M1 , θ1 ) ϕ1→2 (v1→2 ) ∂(θ1 , v1→2 ) Does not depend on ε: Let ε go to 0 332 / 459
- 43. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Generic reversible jump acceptance probability If several models are considered simultaneously, with probability ̟1→2 of choosing move to M2 while in M1 , as in XZ ∞ K(x, B) = ρm (x, y)qm (x, dy) + ω(x)IB (x) m=1 acceptance probability of θ2 = Ψ1→2 (θ1 , v1→2 ) is π(M2 , θ2 ) ̟2→1 ∂Ψ1→2 (θ1 , v1→2 ) α(θ1 , v1→2 ) = 1 ∧ π(M1 , θ1 ) ̟1→2 ϕ1→2 (v1→2 ) ∂(θ1 , v1→2 ) while acceptance probability of θ1 with (θ1 , v1→2 ) = Ψ−1 (θ2 ) is 1→2 −1 π(M1 , θ1 ) ̟1→2 ϕ1→2 (v1→2 ) ∂Ψ1→2 (θ1 , v1→2 ) α(θ1 , v1→2 ) = 1 ∧ π(M2 , θ2 ) ̟2→1 ∂(θ1 , v1→2 ) 333 / 459
- 44. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Green’s sampler Algorithm Iteration t (t ≥ 1): if x(t) = (m, θ(m) ), 1 Select model Mn with probability πmn 2 Generate umn ∼ ϕmn (u) and set (θ(n) , vnm ) = Ψm→n (θ(m) , umn ) 3 Take x(t+1) = (n, θ(n) ) with probability π(n, θ(n) ) πnm ϕnm (vnm ) ∂Ψm→n (θ(m) , umn ) min ,1 π(m, θ(m) ) πmn ϕmn (umn ) ∂(θ(m) , umn ) and take x(t+1) = x(t) otherwise. 334 / 459
- 45. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Mixture of normal distributions k 2 Mk = (pjk , µjk , σjk ); pjk N (µjk , σjk ) j=1 Restrict moves from Mk to adjacent models, like Mk+1 and Mk−1 , with probabilities πk(k+1) and πk(k−1) . 335 / 459
- 46. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Mixture birth Take Ψk→k+1 as a birth step: i.e. add a new normal component in the mixture, by generating the parameters of the new component from the prior distribution (µk+1 , σk+1 ) ∼ π(µ, σ) and pk+1 ∼ Be(a1 , a2 + . . . + ak ) if (p1 , . . . , pk ) ∼ Mk (a1 , . . . , ak ) Jacobian is (1 − pk+1 )k−1 Death step then derived from the reversibility constraint by removing one of the k components at random. 336 / 459
- 47. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Mixture acceptance probability Birth acceptance probability π(k+1)k (k + 1)! π(k + 1, θk+1 ) min ,1 πk(k+1) (k + 1)k! π(k, θk ) (k + 1)ϕk(k+1) (uk(k+1) ) π(k+1)k ̺(k + 1) ℓk+1 (θk+1 ) (1 − pk+1 )k−1 = min ,1 , πk(k+1) ̺(k) ℓk (θk ) where ℓk likelihood of the k component mixture model Mk and ̺(k) prior probability of model Mk . Combinatorial terms: there are (k + 1)! ways of deﬁning a (k + 1) component mixture by adding one component, while, given a (k + 1) component mixture, there are (k + 1) choices for a component to die and then k! associated mixtures for the remaining components. 337 / 459
- 48. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models License 0.30 4 14 12 2 0.25 µi k 10 0 0.20 8 −2 0e+00 2e+04 4e+04 6e+04 8e+04 1e+05 0e+00 2e+05 4e+05 6e+05 8e+05 1e+06 0.15 iterations iterations 3.0 0.30 0.10 2.5 2.0 0.20 1.5 σi pi 0.05 1.0 0.10 0.5 0.00 0.00 0.0 0e+00 2e+05 4e+05 6e+05 8e+05 1e+06 0e+00 2e+05 4e+05 6e+05 8e+05 1e+06 iterations iterations 338 / 459
- 49. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models More coordinated moves Use of local moves that preserve structure of the original model. Split move from Mk to Mk+1 : replaces a random component, say the jth, with two new components, say the jth and the (j + 1)th, that are centered at the earlier jth component. And opposite merge move obtained by joining two components together. 339 / 459
- 50. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Splitting with moment preservation Split parameters for instance created under a moment preservation condition: pjk = pj(k+1) + p(j+1)(k+1) , pjk µjk = pj(k+1) µj(k+1) + p(j+1)(k+1) µ(j+1)(k+1) , 2 2 2 pjk σjk = pj(k+1) σj(k+1) + p(j+1)(k+1) σ(j+1)(k+1) . M4 Opposite merge move M5 obtained by reversibility constraint M3 340 / 459
- 51. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Splitting details Generate the auxiliary variable uk(k+1) as u1 , u3 ∼ U(0, 1), u2 ∼ N (0, τ 2 ) and take pj(k+1) = u1 pjk , p(j+1)(k+1) = (1 − u1 )pjk , p u2 µj(k+1) = µjk + u2 , µ(j+1)(k+1) = µjk − pjkj(k+1) −p , j)(k+1) 2 2 pjk −pj(k+1) u3 2 σj(k+1) = u3 σjk , σ(j+1)(k+1) = pjk −pj(k+1) σjk . 341 / 459
- 52. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Jacobian Corresponding Jacobian 0 1 u1 1 − u1 ··· ··· ··· ··· Bpjk −pjk ··· ··· ··· ··· C B C B 0 0 1 1 ··· ··· C B C pjk det B 0 C= 2 −pj(k+1) B 0 1 pjk −pj(k+1) ··· ··· C σjk B pjk −pj(k+1) u3 C (1 − u1 )2 B 0 0 0 0 u3 C @ pjk −pj(k+1) A 2 −pj(k+1) 0 0 0 0 σjk σ2 pjk −pj(k+1) jk 342 / 459
- 53. Bayesian Core:A Practical Approach to Computational Bayesian Statistics Mixture models MCMC for variable dimension models Acceptance probability Corresponding split acceptance probability π(k+1)k ̺(k + 1) πk+1 (θk+1 )ℓk+1 (θk+1 ) pjk min σ2 , 1 πk(k+1) ̺(k) πk (θk )ℓk (θk ) (1 − u1 )2 jk where π(k+1)k and πk(k+1) denote split and merge probabilities when in models Mk and Mk+1 Factorial terms vanish: for a split move there are k possible choices of the split component and then (k + 1)! possible orderings of the θk+1 vector while, for a merge, there are (k + 1)k possible choices for the components to be merged and then k! ways of ordering the resulting θk . 343 / 459

No public clipboards found for this slide

×
### Save the most important slides with Clipping

Clipping is a handy way to collect and organize the most important slides from a presentation. You can keep your great finds in clipboards organized around topics.

Be the first to comment