QMC Program: Trends and Advances in Monte Carlo Sampling Algorithms Workshop, Discontinuous Hamiltonian Monte Carlo for Sampling Discrete Parameters - Aki Nishimura, Dec 12, 2017
The generation of Gaussian random fields over a physical domain is a challenging problem in computational mathematics, especially when the correlation length is short and the field is rough. The traditional approach is to make use of a truncated Karhunen-Loeve (KL) expansion, but the generation of even a single realisation of the field may then be effectively beyond reach (especially for 3-dimensional domains) if the need is to obtain an expected L2 error of say 5%, because of the potentially very slow convergence of the KL expansion. In this talk, based on joint work with Ivan Graham, Frances Kuo, Dirk Nuyens, and Rob Scheichl, a completely different approach is used, in which the field is initially generated at a regular grid on a 2- or 3-dimensional rectangle that contains the physical domain, and then possibly interpolated to obtain the field at other points. In that case there is no need for any truncation. Rather the main problem becomes the factorisation of a large dense matrix. For this we use circulant embedding and FFT ideas. Quasi-Monte Carlo integration is then used to evaluate the expected value of some functional of the finite-element solution of an elliptic PDE with a random field as input.
International Conference on Monte Carlo techniques
Closing conference of thematic cycle
Paris July 5-8th 2016
Campus les Cordeliers
Slides of Richard Everitt's presentation
We will describe and analyze accurate and efficient numerical algorithms to interpolate and approximate the integral of multivariate functions. The algorithms can be applied when we are given the function values at an arbitrary positioned, and usually small, existing sparse set of function values (samples), and additional samples are impossible, or difficult (e.g. expensive) to obtain. The methods are based on local, and global, tensor-product sparse quasi-interpolation methods that are exact for a class of sparse multivariate orthogonal polynomials.
International Conference on Monte Carlo techniques
Closing conference of thematic cycle
Paris July 5-8th 2016
Campus les cordeliers
Chris Sherlock's slides
Sequential quasi-Monte Carlo (SQMC) is a quasi-Monte Carlo (QMC) version of sequential Monte Carlo (or particle filtering), a popular class of Monte Carlo techniques used to carry out inference in state space models. In this talk I will first review the SQMC methodology as well as some theoretical results. Although SQMC converges faster than the usual Monte Carlo error rate its performance deteriorates quickly as the dimension of the hidden variable increases. However, I will show with an example that SQMC may perform well for some "high" dimensional problems. I will conclude this talk with some open problems and potential applications of SQMC in complicated settings.
International Conference on Monte Carlo techniques
Closing conference of thematic cycle
Paris July 5-8th 2016
Campus les cordeliers
Jere Koskela's slides
Rao-Blackwellisation schemes for accelerating Metropolis-Hastings algorithmsChristian Robert
Aggregate of three different papers on Rao-Blackwellisation, from Casella & Robert (1996), to Douc & Robert (2010), to Banterle et al. (2015), presented during an OxWaSP workshop on MCMC methods, Warwick, Nov 20, 2015
Many mathematical models use a large number of poorly-known parameters as inputs. Quantifying the influence of each of these parameters is one of the aims of sensitivity analysis. Global Sensitivity Analysis is an important paradigm for understanding model behavior, characterizing uncertainty, improving model calibration, etc. Inputs’ uncertainty is modeled by a probability distribution. There exist various measures built in that paradigm. This tutorial focuses on the so-called Sobol’ indices, based on functional variance analysis. Estimation procedures will be presented, and the choice of the designs of experiments these procedures are based on will be discussed. As Sobol’ indices have no clear interpretation in the presence of statistical dependences between inputs, it also seems promising to measure sensitivity with Shapley effects, based on the notion of Shapley value, which is a solution concept in cooperative game theory.
The standard Galerkin formulation of the acoustic wave propagation, governed by the Helmholtz partial differential equation (PDE), is indefinite for large wavenumbers. However, the Helmholtz PDE is in general not indefinite. The lack of coercivity (indefiniteness) is one of the major difficulties for approximation and simulation of heterogeneous media wave propagation models, including application to stochastic wave propagation Quasi Monte Carlo (QMC) analysis. We will present a new class of sign-definite continuous and discrete preconditioned FEM Helmholtz wave propagation models.
Presentation of the NUTS Algorithm by M. Hoffmann and A. Gelman
(disclamer: informal work, the huge amount of interesting work by R.Neal is not entirely referenced)
The generation of Gaussian random fields over a physical domain is a challenging problem in computational mathematics, especially when the correlation length is short and the field is rough. The traditional approach is to make use of a truncated Karhunen-Loeve (KL) expansion, but the generation of even a single realisation of the field may then be effectively beyond reach (especially for 3-dimensional domains) if the need is to obtain an expected L2 error of say 5%, because of the potentially very slow convergence of the KL expansion. In this talk, based on joint work with Ivan Graham, Frances Kuo, Dirk Nuyens, and Rob Scheichl, a completely different approach is used, in which the field is initially generated at a regular grid on a 2- or 3-dimensional rectangle that contains the physical domain, and then possibly interpolated to obtain the field at other points. In that case there is no need for any truncation. Rather the main problem becomes the factorisation of a large dense matrix. For this we use circulant embedding and FFT ideas. Quasi-Monte Carlo integration is then used to evaluate the expected value of some functional of the finite-element solution of an elliptic PDE with a random field as input.
International Conference on Monte Carlo techniques
Closing conference of thematic cycle
Paris July 5-8th 2016
Campus les Cordeliers
Slides of Richard Everitt's presentation
We will describe and analyze accurate and efficient numerical algorithms to interpolate and approximate the integral of multivariate functions. The algorithms can be applied when we are given the function values at an arbitrary positioned, and usually small, existing sparse set of function values (samples), and additional samples are impossible, or difficult (e.g. expensive) to obtain. The methods are based on local, and global, tensor-product sparse quasi-interpolation methods that are exact for a class of sparse multivariate orthogonal polynomials.
International Conference on Monte Carlo techniques
Closing conference of thematic cycle
Paris July 5-8th 2016
Campus les cordeliers
Chris Sherlock's slides
Sequential quasi-Monte Carlo (SQMC) is a quasi-Monte Carlo (QMC) version of sequential Monte Carlo (or particle filtering), a popular class of Monte Carlo techniques used to carry out inference in state space models. In this talk I will first review the SQMC methodology as well as some theoretical results. Although SQMC converges faster than the usual Monte Carlo error rate its performance deteriorates quickly as the dimension of the hidden variable increases. However, I will show with an example that SQMC may perform well for some "high" dimensional problems. I will conclude this talk with some open problems and potential applications of SQMC in complicated settings.
International Conference on Monte Carlo techniques
Closing conference of thematic cycle
Paris July 5-8th 2016
Campus les cordeliers
Jere Koskela's slides
Rao-Blackwellisation schemes for accelerating Metropolis-Hastings algorithmsChristian Robert
Aggregate of three different papers on Rao-Blackwellisation, from Casella & Robert (1996), to Douc & Robert (2010), to Banterle et al. (2015), presented during an OxWaSP workshop on MCMC methods, Warwick, Nov 20, 2015
Many mathematical models use a large number of poorly-known parameters as inputs. Quantifying the influence of each of these parameters is one of the aims of sensitivity analysis. Global Sensitivity Analysis is an important paradigm for understanding model behavior, characterizing uncertainty, improving model calibration, etc. Inputs’ uncertainty is modeled by a probability distribution. There exist various measures built in that paradigm. This tutorial focuses on the so-called Sobol’ indices, based on functional variance analysis. Estimation procedures will be presented, and the choice of the designs of experiments these procedures are based on will be discussed. As Sobol’ indices have no clear interpretation in the presence of statistical dependences between inputs, it also seems promising to measure sensitivity with Shapley effects, based on the notion of Shapley value, which is a solution concept in cooperative game theory.
The standard Galerkin formulation of the acoustic wave propagation, governed by the Helmholtz partial differential equation (PDE), is indefinite for large wavenumbers. However, the Helmholtz PDE is in general not indefinite. The lack of coercivity (indefiniteness) is one of the major difficulties for approximation and simulation of heterogeneous media wave propagation models, including application to stochastic wave propagation Quasi Monte Carlo (QMC) analysis. We will present a new class of sign-definite continuous and discrete preconditioned FEM Helmholtz wave propagation models.
Coordinate sampler: A non-reversible Gibbs-like sampler
Similar to QMC Program: Trends and Advances in Monte Carlo Sampling Algorithms Workshop, Discontinuous Hamiltonian Monte Carlo for Sampling Discrete Parameters - Aki Nishimura, Dec 12, 2017
Presentation of the NUTS Algorithm by M. Hoffmann and A. Gelman
(disclamer: informal work, the huge amount of interesting work by R.Neal is not entirely referenced)
Multi Model Ensemble (MME) predictions are a popular ad-hoc technique for improving predictions of high-dimensional, multi-scale dynamical systems. The heuristic idea behind MME framework is simple: given a collection of models, one considers predictions obtained through the convex superposition of the individual probabilistic forecasts in the hope of mitigating model error. However, it is not obvious if this is a viable strategy and which models should be included in the MME forecast in order to achieve the best predictive performance. I will present an information-theoretic approach to this problem which allows for deriving a sufficient condition for improving dynamical predictions within the MME framework; moreover, this formulation gives rise to systematic and practical guidelines for optimising data assimilation techniques which are based on multi-model ensembles. Time permitting, the role and validity of “fluctuation-dissipation” arguments for improving imperfect predictions of externally perturbed non-autonomous systems - with possible applications to climate change considerations - will also be addressed.
International Journal of Mathematics and Statistics Invention (IJMSI) inventionjournals
International Journal of Mathematics and Statistics Invention (IJMSI) is an international journal intended for professionals and researchers in all fields of computer science and electronics. IJMSI publishes research articles and reviews within the whole field Mathematics and Statistics, new teaching methods, assessment, validation and the impact of new technologies and it will continue to provide information on the latest trends and developments in this ever-expanding subject. The publications of papers are selected through double peer reviewed to ensure originality, relevance, and readability. The articles published in our journal can be accessed online.
Research internship on optimal stochastic theory with financial application u...Asma Ben Slimene
This is a presntation of my second year intership on optimal stochastic theory and how we can apply it on some financial application then how we can solve such problems using finite differences methods!
Enjoy it !
Presentation on stochastic control problem with financial applications (Merto...Asma Ben Slimene
This is an introductory to optimal stochastic control theory with two applications in finance: Merton portfolio problem and Investement/consumption problem with numerical results using finite differences approach
In this paper, modified q-homotopy analysis method (mq-HAM) is proposed for solving high-order non-linear partial differential equations. This method improves the convergence of the series solution and overcomes the computing difficulty encountered in the q-HAM, so it is more accurate than nHAM which proposed in Hassan and El-Tawil, Saberi-Nik and Golchaman. The second- and third-order cases are solved as illustrative examples of the proposed method.
CHN and Swap Heuristic to Solve the Maximum Independent Set ProblemIJECEIAES
We describe a new approach to solve the problem to find the maximum independent set in a given Graph, known also as Max-Stable set problem (MSSP). In this paper, we show how Max-Stable problem can be reformulated into a linear problem under quadratic constraints, and then we resolve the QP result by a hybrid approach based Continuous Hopfeild Neural Network (CHN) and Local Search. In a manner that the solution given by the CHN will be the starting point of the local search. The new approach showed a good performance than the original one which executes a suite of CHN runs, at each execution a new leaner constraint is added into the resolved model. To prove the efficiency of our approach, we present some computational experiments of solving random generated problem and typical MSSP instances of real life problem.
Similar to QMC Program: Trends and Advances in Monte Carlo Sampling Algorithms Workshop, Discontinuous Hamiltonian Monte Carlo for Sampling Discrete Parameters - Aki Nishimura, Dec 12, 2017 (20)
Recently, the machine learning community has expressed strong interest in applying latent variable modeling strategies to causal inference problems with unobserved confounding. Here, I discuss one of the big debates that occurred over the past year, and how we can move forward. I will focus specifically on the failure of point identification in this setting, and discuss how this can be used to design flexible sensitivity analyses that cleanly separate identified and unidentified components of the causal model.
I will discuss paradigmatic statistical models of inference and learning from high dimensional data, such as sparse PCA and the perceptron neural network, in the sub-linear sparsity regime. In this limit the underlying hidden signal, i.e., the low-rank matrix in PCA or the neural network weights, has a number of non-zero components that scales sub-linearly with the total dimension of the vector. I will provide explicit low-dimensional variational formulas for the asymptotic mutual information between the signal and the data in suitable sparse limits. In the setting of support recovery these formulas imply sharp 0-1 phase transitions for the asymptotic minimum mean-square-error (or generalization error in the neural network setting). A similar phase transition was analyzed recently in the context of sparse high-dimensional linear regression by Reeves et al.
Many different measurement techniques are used to record neural activity in the brains of different organisms, including fMRI, EEG, MEG, lightsheet microscopy and direct recordings with electrodes. Each of these measurement modes have their advantages and disadvantages concerning the resolution of the data in space and time, the directness of measurement of the neural activity and which organisms they can be applied to. For some of these modes and for some organisms, significant amounts of data are now available in large standardized open-source datasets. I will report on our efforts to apply causal discovery algorithms to, among others, fMRI data from the Human Connectome Project, and to lightsheet microscopy data from zebrafish larvae. In particular, I will focus on the challenges we have faced both in terms of the nature of the data and the computational features of the discovery algorithms, as well as the modeling of experimental interventions.
Bayesian Additive Regression Trees (BART) has been shown to be an effective framework for modeling nonlinear regression functions, with strong predictive performance in a variety of contexts. The BART prior over a regression function is defined by independent prior distributions on tree structure and leaf or end-node parameters. In observational data settings, Bayesian Causal Forests (BCF) has successfully adapted BART for estimating heterogeneous treatment effects, particularly in cases where standard methods yield biased estimates due to strong confounding.
We introduce BART with Targeted Smoothing, an extension which induces smoothness over a single covariate by replacing independent Gaussian leaf priors with smooth functions. We then introduce a new version of the Bayesian Causal Forest prior, which incorporates targeted smoothing for modeling heterogeneous treatment effects which vary smoothly over a target covariate. We demonstrate the utility of this approach by applying our model to a timely women's health and policy problem: comparing two dosing regimens for an early medical abortion protocol, where the outcome of interest is the probability of a successful early medical abortion procedure at varying gestational ages, conditional on patient covariates. We discuss the benefits of this approach in other women’s health and obstetrics modeling problems where gestational age is a typical covariate.
Difference-in-differences is a widely used evaluation strategy that draws causal inference from observational panel data. Its causal identification relies on the assumption of parallel trends, which is scale-dependent and may be questionable in some applications. A common alternative is a regression model that adjusts for the lagged dependent variable, which rests on the assumption of ignorability conditional on past outcomes. In the context of linear models, Angrist and Pischke (2009) show that the difference-in-differences and lagged-dependent-variable regression estimates have a bracketing relationship. Namely, for a true positive effect, if ignorability is correct, then mistakenly assuming parallel trends will overestimate the effect; in contrast, if the parallel trends assumption is correct, then mistakenly assuming ignorability will underestimate the effect. We show that the same bracketing relationship holds in general nonparametric (model-free) settings. We also extend the result to semiparametric estimation based on inverse probability weighting.
We develop sensitivity analyses for weak nulls in matched observational studies while allowing unit-level treatment effects to vary. In contrast to randomized experiments and paired observational studies, we show for general matched designs that over a large class of test statistics, any valid sensitivity analysis for the weak null must be unnecessarily conservative if Fisher's sharp null of no treatment effect for any individual also holds. We present a sensitivity analysis valid for the weak null, and illustrate why it is conservative if the sharp null holds through connections to inverse probability weighted estimators. An alternative procedure is presented that is asymptotically sharp if treatment effects are constant, and is valid for the weak null under additional assumptions which may be deemed reasonable by practitioners. The methods may be applied to matched observational studies constructed using any optimal without-replacement matching algorithm, allowing practitioners to assess robustness to hidden bias while allowing for treatment effect heterogeneity.
The world of health care is full of policy interventions: a state expands eligibility rules for its Medicaid program, a medical society changes its recommendations for screening frequency, a hospital implements a new care coordination program. After a policy change, we often want to know, “Did it work?” This is a causal question; we want to know whether the policy CAUSED outcomes to change. One popular way of estimating causal effects of policy interventions is a difference-in-differences study. In this controlled pre-post design, we measure the change in outcomes of people who are exposed to the new policy, comparing average outcomes before and after the policy is implemented. We contrast that change to the change over the same time period in people who were not exposed to the new policy. The differential change in the treated group’s outcomes, compared to the change in the comparison group’s outcomes, may be interpreted as the causal effect of the policy. To do so, we must assume that the comparison group’s outcome change is a good proxy for the treated group’s (counterfactual) outcome change in the absence of the policy. This conceptual simplicity and wide applicability in policy settings makes difference-in-differences an appealing study design. However, the apparent simplicity belies a thicket of conceptual, causal, and statistical complexity. In this talk, I will introduce the fundamentals of difference-in-differences studies and discuss recent innovations including key assumptions and ways to assess their plausibility, estimation, inference, and robustness checks.
We present recent advances and statistical developments for evaluating Dynamic Treatment Regimes (DTR), which allow the treatment to be dynamically tailored according to evolving subject-level data. Identification of an optimal DTR is a key component for precision medicine and personalized health care. Specific topics covered in this talk include several recent projects with robust and flexible methods developed for the above research area. We will first introduce a dynamic statistical learning method, adaptive contrast weighted learning (ACWL), which combines doubly robust semiparametric regression estimators with flexible machine learning methods. We will further develop a tree-based reinforcement learning (T-RL) method, which builds an unsupervised decision tree that maintains the nature of batch-mode reinforcement learning. Unlike ACWL, T-RL handles the optimization problem with multiple treatment comparisons directly through a purity measure constructed with augmented inverse probability weighted estimators. T-RL is robust, efficient and easy to interpret for the identification of optimal DTRs. However, ACWL seems more robust against tree-type misspecification than T-RL when the true optimal DTR is non-tree-type. At the end of this talk, we will also present a new Stochastic-Tree Search method called ST-RL for evaluating optimal DTRs.
A fundamental feature of evaluating causal health effects of air quality regulations is that air pollution moves through space, rendering health outcomes at a particular population location dependent upon regulatory actions taken at multiple, possibly distant, pollution sources. Motivated by studies of the public-health impacts of power plant regulations in the U.S., this talk introduces the novel setting of bipartite causal inference with interference, which arises when 1) treatments are defined on observational units that are distinct from those at which outcomes are measured and 2) there is interference between units in the sense that outcomes for some units depend on the treatments assigned to many other units. Interference in this setting arises due to complex exposure patterns dictated by physical-chemical atmospheric processes of pollution transport, with intervention effects framed as propagating across a bipartite network of power plants and residential zip codes. New causal estimands are introduced for the bipartite setting, along with an estimation approach based on generalized propensity scores for treatments on a network. The new methods are deployed to estimate how emission-reduction technologies implemented at coal-fired power plants causally affect health outcomes among Medicare beneficiaries in the U.S.
Laine Thomas presented information about how causal inference is being used to determine the cost/benefit of the two most common surgical surgical treatments for women - hysterectomy and myomectomy.
We provide an overview of some recent developments in machine learning tools for dynamic treatment regime discovery in precision medicine. The first development is a new off-policy reinforcement learning tool for continual learning in mobile health to enable patients with type 1 diabetes to exercise safely. The second development is a new inverse reinforcement learning tools which enables use of observational data to learn how clinicians balance competing priorities for treating depression and mania in patients with bipolar disorder. Both practical and technical challenges are discussed.
The method of differences-in-differences (DID) is widely used to estimate causal effects. The primary advantage of DID is that it can account for time-invariant bias from unobserved confounders. However, the standard DID estimator will be biased if there is an interaction between history in the after period and the groups. That is, bias will be present if an event besides the treatment occurs at the same time and affects the treated group in a differential fashion. We present a method of bounds based on DID that accounts for an unmeasured confounder that has a differential effect in the post-treatment time period. These DID bracketing bounds are simple to implement and only require partitioning the controls into two separate groups. We also develop two key extensions for DID bracketing bounds. First, we develop a new falsification test to probe the key assumption that is necessary for the bounds estimator to provide consistent estimates of the treatment effect. Next, we develop a method of sensitivity analysis that adjusts the bounds for possible bias based on differences between the treated and control units from the pretreatment period. We apply these DID bracketing bounds and the new methods we develop to an application on the effect of voter identification laws on turnout. Specifically, we focus estimating whether the enactment of voter identification laws in Georgia and Indiana had an effect on voter turnout.
We study experimental design in large-scale stochastic systems with substantial uncertainty and structured cross-unit interference. We consider the problem of a platform that seeks to optimize supply-side payments p in a centralized marketplace where different suppliers interact via their effects on the overall supply-demand equilibrium, and propose a class of local experimentation schemes that can be used to optimize these payments without perturbing the overall market equilibrium. We show that, as the system size grows, our scheme can estimate the gradient of the platform’s utility with respect to p while perturbing the overall market equilibrium by only a vanishingly small amount. We can then use these gradient estimates to optimize p via any stochastic first-order optimization method. These results stem from the insight that, while the system involves a large number of interacting units, any interference can only be channeled through a small number of key statistics, and this structure allows us to accurately predict feedback effects that arise from global system changes using only information collected while remaining in equilibrium.
We discuss a general roadmap for generating causal inference based on observational studies used to general real world evidence. We review targeted minimum loss estimation (TMLE), which provides a general template for the construction of asymptotically efficient plug-in estimators of a target estimand for realistic (i.e, infinite dimensional) statistical models. TMLE is a two stage procedure that first involves using ensemble machine learning termed super-learning to estimate the relevant stochastic relations between the treatment, censoring, covariates and outcome of interest. The super-learner allows one to fully utilize all the advances in machine learning (in addition to more conventional parametric model based estimators) to build a single most powerful ensemble machine learning algorithm. We present Highly Adaptive Lasso as an important machine learning algorithm to include.
In the second step, the TMLE involves maximizing a parametric likelihood along a so-called least favorable parametric model through the super-learner fit of the relevant stochastic relations in the observed data. This second step bridges the state of the art in machine learning to estimators of target estimands for which statistical inference is available (i.e, confidence intervals, p-values etc). We also review recent advances in collaborative TMLE in which the fit of the treatment and censoring mechanism is tailored w.r.t. performance of TMLE. We also discuss asymptotically valid bootstrap based inference. Simulations and data analyses are provided as demonstrations.
We describe different approaches for specifying models and prior distributions for estimating heterogeneous treatment effects using Bayesian nonparametric models. We make an affirmative case for direct, informative (or partially informative) prior distributions on heterogeneous treatment effects, especially when treatment effect size and treatment effect variation is small relative to other sources of variability. We also consider how to provide scientifically meaningful summaries of complicated, high-dimensional posterior distributions over heterogeneous treatment effects with appropriate measures of uncertainty.
Climate change mitigation has traditionally been analyzed as some version of a public goods game (PGG) in which a group is most successful if everybody contributes, but players are best off individually by not contributing anything (i.e., “free-riding”)—thereby creating a social dilemma. Analysis of climate change using the PGG and its variants has helped explain why global cooperation on GHG reductions is so difficult, as nations have an incentive to free-ride on the reductions of others. Rather than inspire collective action, it seems that the lack of progress in addressing the climate crisis is driving the search for a “quick fix” technological solution that circumvents the need for cooperation.
This seminar discussed ways in which to produce professional academic writing, from academic papers to research proposals or technical writing in general.
Machine learning (including deep and reinforcement learning) and blockchain are two of the most noticeable technologies in recent years. The first one is the foundation of artificial intelligence and big data, and the second one has significantly disrupted the financial industry. Both technologies are data-driven, and thus there are rapidly growing interests in integrating them for more secure and efficient data sharing and analysis. In this paper, we review the research on combining blockchain and machine learning technologies and demonstrate that they can collaborate efficiently and effectively. In the end, we point out some future directions and expect more researches on deeper integration of the two promising technologies.
In this talk, we discuss QuTrack, a Blockchain-based approach to track experiment and model changes primarily for AI and ML models. In addition, we discuss how change analytics can be used for process improvement and to enhance the model development and deployment processes.
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QMC Program: Trends and Advances in Monte Carlo Sampling Algorithms Workshop, Discontinuous Hamiltonian Monte Carlo for Sampling Discrete Parameters - Aki Nishimura, Dec 12, 2017
1. Discontinuous Hamiltonian Monte Carlo
for discontinuous and discrete distributions
Aki Nishimura
joint work with David Dunson and Jianfeng Lu
SAMSI Workshop: Trends and Advances in Monte Carlo Sampling Algorithms
December 12, 2017
3. Hamiltonian Monte Carlo (HMC) for Bayesian computation
Bayesian inference often relies on Markov chain Monte Carlo.
HMC has become popular as an efficient general-purpose algorithm:
allows for more flexible generative models (e.g. non-conjugacy).
a critical building block of probabilistic programming languages.
4. Hamiltonian Monte Carlo (HMC) for Bayesian computation
Idea of a probabilistic programming language: you specify the model,
then the software takes care of the rest.
5. Hamiltonian Monte Carlo (HMC) for Bayesian computation
Idea of a probabilistic programming language: you specify the model,
then the software takes care of the rest.
Probabilistic programming languages can algorithmically evaluate
(unnormalized) log posterior density.
(unnormalized) log conditional densities efficiently by taking
advantage of conditional independence structure.
gradients of log density.
6. Hamiltonian Monte Carlo (HMC) for Bayesian computation
Idea of a probabilistic programming language: you specify the model,
then the software takes care of the rest.
Probabilistic programming languages can algorithmically evaluate
(unnormalized) log posterior density.
(unnormalized) log conditional densities efficiently by taking
advantage of conditional independence structure.
gradients of log density.
HMC is well-suited to such softwares and has demonstrated
a number of empirical successes e.g. through Stan and PyMC.
better theoretical scalability in the number of parameters
(Beskos et al., 2013).
7. HMC and discrete parameters / discontinuous likelihoods
HMC is based on solutions of an ordinary differential equation.
But the ODE makes no sense for discrete parameters / discontinuous
likelihoods.
8. HMC and discrete parameters / discontinuous likelihoods
HMC is based on solutions of an ordinary differential equation.
But the ODE makes no sense for discrete parameters / discontinuous
likelihoods.
HMC’s inability to handle discrete parameters is considered the most
serious drawback (Gelman et al., 2015; Monnahan et al., 2016).
9. HMC and discrete parameters / discontinuous likelihoods
HMC is based on solutions of an ordinary differential equation.
But the ODE makes no sense for discrete parameters / discontinuous
likelihoods.
HMC’s inability to handle discrete parameters is considered the most
serious drawback (Gelman et al., 2015; Monnahan et al., 2016).
Existing approaches in special cases:
smooth surrogate function for binary pairwise Markov random
field models (Zhang et al., 2012).
treat discrete parameters as continuous if the likelihood still
makes sense (Berger et al., 2012).
10. Our approach: discontinous HMC
Features:
allows for a discontinuous target distribution.
handles discrete parameters through embedding them into a
continuous space.
fits within the framework of probabilistic programming languages.
11. Our approach: discontinous HMC
Features:
allows for a discontinuous target distribution.
handles discrete parameters through embedding them into a
continuous space.
fits within the framework of probabilistic programming languages.
Techniques:
is motivated by theory of measure-valued differential equation &
event-driven Monte Carlo.
is based on a novel numerical method for discontinuous dynamics.
12. Our approach: discontinous HMC
Features:
allows for a discontinuous target distribution.
handles discrete parameters through embedding them into a
continuous space.
fits within the framework of probabilistic programming languages.
Techniques:
is motivated by theory of measure-valued differential equation &
event-driven Monte Carlo.
is based on a novel numerical method for discontinuous dynamics.
Theoretical properties:
generalizes (and hence outperforms) variable-at-a-time Metropolis.
achieves a high acceptance rate that indicates a scaling property
comparable to HMC.
13. Review of HMC
Table of Contents
1 Review of HMC
2 Turning discrete problems into discontinuous ones
3 Theory of discontinuous Hamiltonian dynamics
4 Numerical method for discontinuous dynamics
5 Numerical results
6 Results
14. Review of HMC
HMC in its basic form
HMC samples from an augmented parameter space (θ, p) where:
π(θ, p) ∝ πΘ(θ) × N (p ; 0, mI)
U(θ) = − log πΘ(θ) is called potential energy.
15. Review of HMC
HMC in its basic form
HMC samples from an augmented parameter space (θ, p) where:
π(θ, p) ∝ πΘ(θ) × N (p ; 0, mI)
U(θ) = − log πΘ(θ) is called potential energy.
Transition rule of HMC
Given the current state (θ0, p0), HMC generates the next state as follows:
1 Re-sample p0 ∼ N (0, mI)
2 Generate a Metropolis proposal by solving Hamilton’s equation:
dθ
dt
= m−1
p,
dp
dt
= − θU(θ) (1)
with the initial condition (θ0, p0).
3 Accept or reject the proposal.
16. Review of HMC
HMC in its basic form
HMC samples from an augmented parameter space (θ, p) where:
π(θ, p) ∝ πΘ(θ) × N (p ; 0, mI)
U(θ) = − log πΘ(θ) is called potential energy.
Transition rule of HMC
Given the current state (θ0, p0), HMC generates the next state as follows:
1 Re-sample p0 ∼ N (0, mI)
2 Generate a Metropolis proposal by solving Hamilton’s equation:
dθ
dt
= m−1
p,
dp
dt
= − θU(θ) (1)
with the initial condition (θ0, p0).
3 Accept or reject the proposal.
Interpretation of (1): dθ
dt = velocity, mass × d
dt (velocity) = − θU(θ)
17. Review of HMC
Visual illustration: HMC in action
HMC for a 2d Gaussian (correlation = 0.9)
18. Review of HMC
HMC in a more general form
HMC samples from an augmented parameter space (θ, p) where:
π(θ, p) ∝ πΘ(θ) × πP (p)
K(p) = − log πP (p) is called kinetic energy.
Transition rule of HMC
Given the current state (θ0, p0), HMC generates the next state as follows:
1 Re-sample p0 ∼ πP (·).
2 Generate a Metropolis proposal by solving Hamilton’s equation:
dθ
dt
= pK(p)
dp
dt
= − θU(θ) (2)
with the initial condition (θ0, p0).
3 Accept or reject the proposal.
19. Review of HMC
Properties of Hamiltonian dynamics
Conservation of energy:
U(θ(t)) + K(p(t)) = U(θ0) + K(p0) for all t ∈ R
a basis for high acceptance probabilities of HMC proposals.
20. Review of HMC
Properties of Hamiltonian dynamics
Conservation of energy:
U(θ(t)) + K(p(t)) = U(θ0) + K(p0) for all t ∈ R
a basis for high acceptance probabilities of HMC proposals.
Reversibility & Volume-preservation
symmetry of proposals “P(x → x∗) = P(x∗ → x)”
21. Turning discrete problems into discontinuous ones
Table of Contents
1 Review of HMC
2 Turning discrete problems into discontinuous ones
3 Theory of discontinuous Hamiltonian dynamics
4 Numerical method for discontinuous dynamics
5 Numerical results
6 Results
22. Turning discrete problems into discontinuous ones
Turning discrete problem into discontinuous one
Consider a discrete parameter N ∈ Z+ with a prior πN (·).
Map N into a continuous parameter N such that
N = n if and only if N ∈ (an, an+1]
To match the distribution of N, the corresponding density of N is
πN
(˜n) =
n≥1
πN (n)
an+1 − an
1{an < ˜n ≤ an+1}
23. Turning discrete problems into discontinuous ones
Turning discrete problem into discontinuous one
0 2 4 6 8 10
n
0.0
0.2
0.4
0.6
Massfunction
pmf (n+1) 2
0 2 4 6 8 10
n
0.0
0.2
0.4
0.6
Density
log-scale
embedding
linear-scale
embedding
Figure: Relating a discrete mass function (left) to a density function (right).
24. Turning discrete problems into discontinuous ones
What about more complex discrete spaces?
Graphs? Trees?
For “momentum” to be useful, we need a notion of direction.
25. Turning discrete problems into discontinuous ones
What about more complex discrete spaces?
Short answer: I don’t know. (Let me know if you got ideas.)
Graphs? Trees?
For “momentum” to be useful, we need a notion of direction.
26. Theory of discontinuous Hamiltonian dynamics
Table of Contents
1 Review of HMC
2 Turning discrete problems into discontinuous ones
3 Theory of discontinuous Hamiltonian dynamics
4 Numerical method for discontinuous dynamics
5 Numerical results
6 Results
27. Theory of discontinuous Hamiltonian dynamics
Theory of discontinuous Hamiltonian dynamics
When U(θ) = − log π(θ) is discontinuous, Hamilton’s equations
dθ
dt
= pK(p)
dp
dt
= − θU(θ) (3)
becomes a measure-valued differential equation / inclusion.
θi
U(θ)
Figure:
28. Theory of discontinuous Hamiltonian dynamics
Theory of discontinuous Hamiltonian dynamics
Define discontinuous dynamics as a limit of smooth dynamics:
Uδ — smooth approximations of U i.e. limδ→0 Uδ = U.
(θδ, pδ)(t) — the solution corresponding to Uδ.
θi
U(θ)
Uδ(θ)
Figure:
29. Theory of discontinuous Hamiltonian dynamics
Theory of discontinuous Hamiltonian dynamics
Define discontinuous dynamics as a limit of smooth dynamics:
Uδ — smooth approximations of U i.e. limδ→0 Uδ = U.
(θδ, pδ)(t) — the solution corresponding to Uδ.
(θ, p)(t) := limδ→0(θδ, pδ)(t).
θi
U(θ)
Uδ(θ)
Figure: Example trajectory θ(t) of discontinuous Hamiltonian dynamics.
30. Theory of discontinuous Hamiltonian dynamics
Behavior of dynamics at discontinuity
When the trajectory θ(t) encounters a discontinuity of U at event
time te, the momentum p(t) undergoes an instantaneous change.
31. Theory of discontinuous Hamiltonian dynamics
Behavior of dynamics at discontinuity
When the trajectory θ(t) encounters a discontinuity of U at event
time te, the momentum p(t) undergoes an instantaneous change.
The change in p occurs only in the direction of “− θU(θ)”:
p(t+
e ) = p(t−
e ) − γ ν (θ(te))
where ν(θ) is orthonormal to the discontinuity boundary of U.
32. Theory of discontinuous Hamiltonian dynamics
Behavior of dynamics at discontinuity
When the trajectory θ(t) encounters a discontinuity of U at event
time te, the momentum p(t) undergoes an instantaneous change.
The change in p occurs only in the direction of “− θU(θ)”:
p(t+
e ) = p(t−
e ) − γ ν (θ(te))
where ν(θ) is orthonormal to the discontinuity boundary of U.
The scalar γ is determined by the energy conservation principle:
K(p(t+
e )) − K(p(t−
e )) = U(θ(t−
e )) − U(θ(t+
e ))
(provided K(p) is convex and K(p) → ∞ as p → ∞).
33. Numerical method for discontinuous dynamics
Table of Contents
1 Review of HMC
2 Turning discrete problems into discontinuous ones
3 Theory of discontinuous Hamiltonian dynamics
4 Numerical method for discontinuous dynamics
5 Numerical results
6 Results
35. Numerical method for discontinuous dynamics
Dealing with discontinuity
How about ignoring them?
36. Numerical method for discontinuous dynamics
Dealing with discontinuity
How about ignoring them?
Leapfrog integrator completely fails to preserve the energy.
i.e. low (or even negligible) acceptance probabilities.
37. Numerical method for discontinuous dynamics
Event-driven approach at discontinuity
Pakman and Paninski (2013) and Afshar and Domke (2015):
Detect discontinuities and treat them appropriately.
(Event-driven Monte Carlo of Alder and Wainwright (1959).)
38. Numerical method for discontinuous dynamics
Event-driven approach at discontinuity
Pakman and Paninski (2013) and Afshar and Domke (2015):
Detect discontinuities and treat them appropriately.
(Event-driven Monte Carlo of Alder and Wainwright (1959).)
Problem: in Gaussian momentum case, the change in U(θ) must be
computed across every single discontinuity.
39. Numerical method for discontinuous dynamics
Problem with Gaussian momentum & existing approach
Say var(N) ≈ 1, 000. Then a Metropolis step N → N ± 1, 000
should have a good chance of acceptance.
The numerical method requires 1, 000 density evaluations (ouch!)
for a corresponding transition.
ΔU ≈ .01
Figure: Conditional distribution of an embedded discrete parameter in
the Jolly-Seber example.
40. Numerical method for discontinuous dynamics
Laplace momentum: better alternative
Consider a Laplace momentum π(p) ∝ i exp(−m−1
i |pi|).
The corresponding Hamilton’s equation is
dθ
dt
= m−1
· sign(p),
dp
dt
= − θU(θ)
41. Numerical method for discontinuous dynamics
Laplace momentum: better alternative
Consider a Laplace momentum π(p) ∝ i exp(−m−1
i |pi|).
The corresponding Hamilton’s equation is
dθ
dt
= m−1
· sign(p),
dp
dt
= − θU(θ)
Key property: the velocity dθ/dt depends only on the signs of pi’s
and not on their magnitudes.
This property allows an accurate numerical approximation
without keeping track of small changes in pi’s.
42. Numerical method for discontinuous dynamics
Numerical method for Laplace momentum
Observation: approximating dynamics based on Laplace momentum is
simple in a 1-D case — dθ/dt = m−1 sign(p), dp/dt = − U(θ)
θ θ* = θ + Δt × m-1 sign(p)
U(θ)
p
43. Numerical method for discontinuous dynamics
Numerical method for Laplace momentum
Observation: approximating dynamics based on Laplace momentum is
simple in a 1-D case — dθ/dt = m−1 sign(p), dp/dt = − U(θ)
θ θ* = θ + Δt × m-1 sign(p)
U(θ)
p U(θ*) − U(θ) < K(p) ?
44. Numerical method for discontinuous dynamics
Numerical method for Laplace momentum
Observation: approximating dynamics based on Laplace momentum is
simple in a 1-D case — dθ/dt = m−1 sign(p), dp/dt = − U(θ)
θ θ* = θ + Δt × m-1 sign(p)
U(θ)
U(θ*) − U(θ) = K(p) − K(p*)
p*
45. Numerical method for discontinuous dynamics
Numerical method for Laplace momentum
Observation: approximating dynamics based on Laplace momentum is
simple in a 1-D case — dθ/dt = m−1 sign(p), dp/dt = − U(θ)
θ θ*
U(θ*) − U(θ)
p
46. Numerical method for discontinuous dynamics
Numerical method for Laplace momentum
Observation: approximating dynamics based on Laplace momentum is
simple in a 1-D case — dθ/dt = m−1 sign(p), dp/dt = − U(θ)
p* ← - p
θ* ← θ
47. Numerical method for discontinuous dynamics
Coordinate-wise integration for Laplace momentum
For θ ∈ Rd, we can split the ODE into its coordinate-wise component:
dθi
dt
= m−1
i sign(pi),
dpi
dt
= −∂θi
U(θ),
dθ−i
dt
=
dp−i
dt
= 0 (4)
48. Numerical method for discontinuous dynamics
Coordinate-wise integration for Laplace momentum
4 2 0 2
4
2
0
2
4
0
1
2
3
4
5
Figure: Trajectory of a numerical solution via the coordinate-wise integrator.
49. Numerical method for discontinuous dynamics
Coordinate-wise integration for Laplace momentum
Reversibility preserved by symmetric splitting or randomly permuting
the coordinates.
We can also use Laplace momentum for discrete parameters and
Gaussian momentum for continuous parameters.
50. Numerical method for discontinuous dynamics
Properties of discontinuous HMC
When using independent Laplace momentum,
Proposals are rejection-free thanks to exact energy conservation.1
1
But too big of a stepsize leads to poor mixing.
51. Numerical method for discontinuous dynamics
Properties of discontinuous HMC
When using independent Laplace momentum,
Proposals are rejection-free thanks to exact energy conservation.1
Taking one numerical integration step of DHMC
≡
Variable-at-a-time Metropolis.
1
But too big of a stepsize leads to poor mixing.
52. Numerical method for discontinuous dynamics
Properties of discontinuous HMC
When using independent Laplace momentum,
Proposals are rejection-free thanks to exact energy conservation.1
Taking one numerical integration step of DHMC
≡
Variable-at-a-time Metropolis.
When mixing Laplace and Gaussian momentum:
Errors in energy is O(∆t2), and hence 1 − O(∆t4) acceptance rate.
1
But too big of a stepsize leads to poor mixing.
53. Numerical results
Table of Contents
1 Review of HMC
2 Turning discrete problems into discontinuous ones
3 Theory of discontinuous Hamiltonian dynamics
4 Numerical method for discontinuous dynamics
5 Numerical results
6 Results
54. Numerical results
Numerical results: Jolly-Seber (capture-recapture) model
Data : the number of marked / unmarked individuals over multiple
capture occasions
Parameters : population sizes, capture probabilities, survival rates
55. Numerical results
Numerical results: Jolly-Seber model
One computational challenge arises from unidentifiability between an
unknown capture probability qi and population size Ni.
0 5
log(q1/(1 q1))
2.0
2.5
3.0
log10(N1)
56. Numerical results
Numerical results: Jolly-Seber model
Table: Performance summary of each algorithm on the Jolly-Serber example.
ESS per 100 samples ESS per minute Path length Iter time
DHMC (diagonal) 45.5 424 45 87.7
DHMC (identity) 24.1 126 77.5 157
NUTS-Gibbs 1.04 6.38 150 133
Metropolis 0.0714 58.5 1 1
ESS : effective sample sizes (minimum over
the first and second moment estimators)
diagonal / identity : choice of mass matrix
Metropolis : optimal random walk Metropolis
NUTS-Gibbs : alternate update of continuous &
discrete params as employed by PyMC
57. Numerical results
Numerical results: generalized Bayesian inference
For a given loss function (y, θ) of interest, a generalized posterior
(Bissiri et al., 2016) is given by
πpost(θ) ∝ exp − i (yi, θ) πprior(θ)
We consider a binary classification with the 0-1 loss
(y, θ) = 1{y = sign(x θ)} for y ∈ {−1, 1}.
58. Numerical results
Numerical results: generalized Bayesian inference
For a given loss function (y, θ) of interest, a generalized posterior
(Bissiri et al., 2016) is given by
πpost(θ) ∝ exp − i (yi, θ) πprior(θ)
We consider a binary classification with the 0-1 loss
(y, θ) = 1{y = sign(x θ)} for y ∈ {−1, 1}.
9.2 9.0 8.8
Intercept
0
2
4
6
Density(conditional)
60. Numerical results
Numerical results: generalized Bayesian inference
Table: Performance summary on the generalized Bayesian posterior example.
ESS per 100 samples ESS per minute Path length Iter time
DHMC 26.3 76 25 972
Metropolis 0.00809 (± 0.0018) 0.227 1 1
Variable-at-a-time 0.514 (± 0.039) 39.8 1 36.2
9.2 9.0 8.8
Intercept
0
2
4
6
Density(conditional)
61. Results
Table of Contents
1 Review of HMC
2 Turning discrete problems into discontinuous ones
3 Theory of discontinuous Hamiltonian dynamics
4 Numerical method for discontinuous dynamics
5 Numerical results
6 Results
62. Results
Summary
Hamiltonian dynamics based on Laplace momentum allows an
efficient exploration of discontinuous target distributions.
Numerical method with exact energy conservation property.
63. Results
Future directions
Test DHMC on a wider range of applications in the context of a
probabilistic programming language.
Explore the utility of Laplace momentum as an alternative to
Gaussian one.
What to do with more complex discrete spaces?
Develop notion of directions.
Avoid rejections by “swapping” probability between θ and p.
64. Results
References
Nishimura, A., Dunson, D. and Lu, J. (2017) “Discontinuous Hamiltonian
Monte Carlo for sampling discrete parameters,” arXiv:1705.08510.
Code available at
https://github.com/aki-nishimura/discontinuous-hmc