All posts by Ingmar

About Ingmar

I'm a Computer Scientist and Linguist, mostly working on Monte Carlo Methods for statistical inference lately.

PostDoc at Imperial College London with Sarah Filippi

My wonderful collegue Sarah Filippi has a postdoctoral opening in statistics to work with her at Imperial College. The topic is Bayesian Nonparametric Statistics for Conditional Independence Tests and Causal Inference, and the start date October 2018. Details about the position are available at

I can highly recommend both Sarah as a researcher and this most interesting and important topic.

Variational inference with Normalizing Flows


A non-parametric ensemble transform method for Bayesian inference

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

  1.  based on an optimal transport idea and
  2. 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 \{x_i^f\}_{i=1}^M denote samples from the prior with density \pi_f (the f, meaning forecast, is probably owed to Reich having done a lot of Bayesian weather prediction). The idea is to transform these into samples \{x_i^a\}_{i=1}^M that follow the posterior density \pi_a (the a meaning analyzed), preferably without introducing unequal weights. Let the likelihood term be denoted by p(y|x) where y is the data and let w_i = \frac{p(y|x_i^f)}{\sum_{j=1}^M p(y|x_i^f)} 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 \pi_a(x) \propto p(y|x) \pi_f(x).

Then the optimal transport idea enters. Given the discrete realizations \{x_i^f\}_{i=1}^M, \pi_f is approximated by assigning the discrete probability vector p_f = (1/M,\dots,1/M)^\top, while \pi_a is approximated by the probability vector p_a=(w_1,\dots, w_m)^\top. Now we construct a joint probability between the discrete random variables distributed according to p_f and those distributed according to p_a, i.e. a matrix \mathbf{T} with non-negative entries summing to 1 which has the column sum p_f and row sum p_a (another view would be that \mathbf{T} is a discrete copula which has prior and posterior as marginals). Let \pi_\mathbf{T}(x^f,x^a) be the joint pmf induced by \mathbf{T}. To qualify as optimal transport, we now seek \mathbf{T}^* = \mathrm{arg min}_\mathbf{T} \mathbb{E}_{\pi_\mathbf{T}} \|x^f - x^a\|_2^2 under the additional constraint of cyclical monotonicity. This boils down to a linear programming problem. For a fixed prior sample x^f_j this induces a conditional distribution over the discretely approximated posterior given the discretely approximated prior \pi_{\mathbf{T}^*}(\cdot|x^f_j) =\pi_{\mathbf{T}^*}(x^f_j, \cdot)/\pi_f(x^f_j) = M \pi_{\mathbf{T}^*}(x^f_j, \cdot).

We could now simply sample from this conditional to obtain equally weighted posterior samples for each j =1,\dots,M. Instead, the paper proposes a deterministic transformation using the expected value x^a_j = \mathbb{E}_{\pi_{\mathbf{T}^*}(\cdot|x^f_j)}  x^f_i = \sum_{i=1}^M M t^*_{ij} x^f_i. Reich proves that the mapping \Psi_M induced by this transformation is such that for X^f \sim \pi_f, \Psi_M(X^f) \sim \pi_a for M \to \infty. 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.

ETPF_issue.pngOf 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  x^a_j using MCMC steps that leave \pi^a invariant.

Ergodicity of Combocontinuous Adaptive MCMC algorithms


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 \gamma be a Markov kernel index, P_\gamma^m(x,\cdot) be the distribution resulting from m-fold application of kernel P_\gamma starting from x . In other words start MCMC at point x with kernel P_\gamma, let it run for m iterations and consider the induced distribution for the last point. Let \pi be the target distribution. Then containment requires that
 \{M_\epsilon(X_n, \Gamma_n)\}_{n=1}^\infty  is bounded in probability for all \epsilon > 0. Here M_\epsilon(x, \gamma) = \inf \{ m \geq 1 : \| P_\gamma^m(x,\cdot) - \pi(\cdot) \|_\textrm{TV}\} and \|\cdot\|_\textrm{TV}\} 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 \mathbb{R}^d be the support of the target distribution and K \subseteq \mathbb{R}^d some large bounded region, D > 0 some large constant. The blueprint, Bounded Adaptive Metropolis, is the following:

Start the algorithm at some X_0 \in K and fix a d \times d covariance matrix \Sigma_*. At iteration n generate a proposal Y_{n+1} by

(1)Y_{n+1} \sim \mathcal{N}(X_n, \Sigma_*)~\textrm{if}~X_n \notin K
(2)Y_{n+1} \sim \mathcal{N}(X_n, \Sigma_{n+1})~\textrm{if}~X_n \in K

Reject if |Y_{n+1} - X_{n}| > D, else accept with the usual Metropolis-Hastings acceptance probability. The \Sigma_{n+1} 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 X_n. Which leads us to the actual conditions for containment.

General conditions for containment in adaptive MCMC

Let \mathcal{X} be a general state space. For example in the Bounded Metropolis we had \mathcal{X}=\mathbb{R}^d. 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: Pr(|X_{n+1} - X_n| > D) = 0
(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 P(x, dy) \leq M \mu_*(dy) for finite constant M > 0 and all x that are outside K but no farther from it than D (call that set K_D) and all y that are between D and 2D distance from K (call that set K_{2D} \backslash K_D). Here \mu_* is any distribution concentrated on K_{2D} \backslash K_D.
(d) The fixed kernel P is bounded below by P^{n_0}(x, A) \geq \epsilon \nu_*(A) for some measure \nu_* on \mathcal{X}, some n_0 \in \mathbb{N} and some event A.
(e) Let \gamma be the parameter adapted by the algorithm. The overall proposal densities q_\gamma(x,y) (combining the proposal in and outside of K) are continuous in \gamma 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 \gamma 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.