Accelerating Pseudo-Marginal MCMC using Gaussian Processes

Pseudo-marginal methods such as the grouped independence Metropolis-Hastings (GIMH) and Markov chain within Metropolis (MCWM) algorithms have been introduced in the literature as an approach to perform Bayesian inference in latent variable models. These methods replace intractable likelihood calculations with unbiased estimates within Markov chain Monte Carlo algorithms. The GIMH method has the posterior of interest as its limiting distribution, but suffers from poor mixing if it is too computationally intensive to obtain high-precision likelihood estimates. The MCWM algorithm has better mixing properties, but less theoretical support. In this paper we propose to use Gaussian processes (GP) to accelerate the GIMH method, whilst using a short pilot run of MCWM to train the GP. Our new method, GP-GIMH, is illustrated on simulated data from a stochastic volatility and a gene network model.

Pseudo-marginal algorithms with multiple CPUs

The emergence of pseudo-marginal algorithms has led to improved computational efficiency for dealing with complex Bayesian models with latent variables. Here an unbiased estimator of the likelihood replaces the true likelihood in order to produce a Bayesian algorithm that remains on the marginal space of the model parameter (with latent variables integrated out), with a target distribution that is still the correct posterior distribution. Very efficient proposal distributions can be developed on the marginal space relative to the joint space of model parameter and latent variables. Thus psuedo-marginal algorithms tend to have substantially better mixing properties. However, for pseudo-marginal approaches to perform well, the likelihood has to be estimated rather precisely. This can be difficult to achieve in complex applications. In this paper we propose to take advantage of multiple central processing units (CPUs), that are readily available on most standard desktop computers. Here the likelihood is estimated independently on the multiple CPUs, with the ultimate estimate of the likelihood being the average of the estimates obtained from the multiple CPUs. The estimate remains unbiased, but the variability is reduced. We compare and contrast two different technologies that allow the implementation of this idea, both of which require a negligible amount of extra programming effort. The superior performance of this idea over the standard approach is demonstrated on simulated data from a stochastic volatility model.

A pseudo-marginal sequential Monte Carlo algorithm for random effects models in Bayesian sequential design

A computationally efficient sequential Monte Carlo algorithm is proposed for the sequential design of experiments for the collection of block data described by mixed effects models. The difficulty in applying a sequential Monte Carlo algorithm in such settings is the need to evaluate the observed data likelihood, which is typically intractable for all but linear Gaussian models. To overcome this difficulty, we propose to unbiasedly estimate the likelihood, and perform inference and make decisions based on an exact-approximate algorithm. Two estimates are proposed: using Quasi Monte Carlo methods and using the Laplace approximation with importance sampling. Both of these approaches can be computationally expensive, so we propose exploiting parallel computational architectures to ensure designs can be derived in a timely manner. We also extend our approach to allow for model uncertainty. This research is motivated by important pharmacological studies related to the treatment of critically ill patients.

Scalable Bayesian Computation for intractable likelihoods in image analysis

The inverse temperature hyperparameter of the hidden Potts model governs the strength of spatial cohesion and therefore has a substantial influence over the resulting model fit. The difficulty arises from the dependence of an intractable normalising constant on the value of the inverse temperature, thus there is no closed form solution for sampling from the distribution directly. We review three computational approaches for addressing this issue, namely pseudolikelihood, path sampling, and the approximate exchange algorithm. We compare the accuracy and scalability of these methods using a simulation study.

Alive SMC^2: Bayesian model selection for low-count time series models with intractable likelihoods

In this paper we present a new method for performing Bayesian parameter inference and model choice for low count time series models with intractable likelihoods. The method involves incorporating an alive particle filter within a sequential Monte Carlo (SMC) algorithm to create a novel pseudo-marginal algorithm, which we refer to as alive SMC^2. The advantages of this approach over competing approaches is that it is naturally adaptive, it does not involve between-model proposals required in reversible jump Markov chain Monte Carlo and does not rely on potentially rough approximations. The algorithm is demonstrated on Markov process and integer autoregressive moving average models applied to real biological datasets of hospital-acquired pathogen incidence, animal health time series and the cumulative number of poison disease cases in mule deer.

Leveraging Web 2.0 data for scalable semi-supervised learning of domain-specific sentiment lexicons

Since manually constructing domain-specific sentiment lexicons is extremely time consuming and it may not even be feasible for domains where linguistic expertise is not available. Research on the automatic construction of domain-specific sentiment lexicons has become a hot topic in recent years. The main contribution of this paper is the illustration of a novel semi-supervised learning method which exploits both term-to-term and document-to-term relations hidden in a corpus for the construction of domain specific sentiment lexicons. More specifically, the proposed two-pass pseudo labeling method combines shallow linguistic parsing and corpusbase statistical learning to make domain-specific sentiment extraction scalable with respect to the sheer volume of opinionated documents archived on the Internet these days. Another novelty of the proposed method is that it can utilize the readily available user-contributed labels of opinionated documents (e.g., the user ratings of product reviews) to bootstrap the performance of sentiment lexicon construction. Our experiments show that the proposed method can generate high quality domain-specific sentiment lexicons as directly assessed by human experts. Moreover, the system generated domain-specific sentiment lexicons can improve polarity prediction tasks at the document level by 2:18% when compared to other well-known baseline methods. Our research opens the door to the development of practical and scalable methods for domain-specific sentiment analysis.

Bayesian synthetic likelihood

Having the ability to work with complex models can be highly beneficial, but the computational cost of doing so is often large. Complex models often have intractable likelihoods, so methods that directly use the likelihood function are infeasible. In these situations, the benefits of working with likelihood-free methods become apparent. Likelihood-free methods, such as parametric Bayesian indirect likelihood that uses the likelihood of an alternative parametric auxiliary model, have been explored throughout the literature as a good alternative when the model of interest is complex. One of these methods is called the synthetic likelihood (SL), which assumes a multivariate normal approximation to the likelihood of a summary statistic of interest. This paper explores the accuracy and computational efficiency of the Bayesian version of the synthetic likelihood (BSL) approach in comparison to a competitor known as approximate Bayesian computation (ABC) and its sensitivity to its tuning parameters and assumptions. We relate BSL to pseudo-marginal methods and propose to use an alternative SL that uses an unbiased estimator of the exact working normal likelihood when the summary statistic has a multivariate normal distribution. Several applications of varying complexity are considered to illustrate the findings of this paper.

Empirical Bayes method in the study of traffic safety via heterogeneous negative multinomial model

In the study of traffic safety, expected crash frequencies across sites are generally estimated via the negative binomial model, assuming time invariant safety. Since the time invariant safety assumption may be invalid, Hauer (1997) proposed a modified empirical Bayes (EB) method. Despite the modification, no attempts have been made to examine the generalisable form of the marginal distribution resulting from the modified EB framework. Because the hyper-parameters needed to apply the modified EB method are not readily available, an assessment is lacking on how accurately the modified EB method estimates safety in the presence of the time variant safety and regression-to-the-mean (RTM) effects. This study derives the closed form marginal distribution, and reveals that the marginal distribution in the modified EB method is equivalent to the negative multinomial (NM) distribution, which is essentially the same as the likelihood function used in the random effects Poisson model. As a result, this study shows that the gamma posterior distribution from the multivariate Poisson-gamma mixture can be estimated using the NM model or the random effects Poisson model. This study also shows that the estimation errors from the modified EB method are systematically smaller than those from the comparison group method by simultaneously accounting for the RTM and time variant safety effects. Hence, the modified EB method via the NM model is a generalisable method for estimating safety in the presence of the time variant safety and the RTM effects.

Marginal reversible jump Markov chain Monte Carlo with application to motor unit number estimation

Motor unit number estimation (MUNE) is a method which aims to provide a quantitative indicator of progression of diseases that lead to loss of motor units, such as motor neurone disease. However the development of a reliable, repeatable and fast real-time MUNE method has proved elusive hitherto. Ridall et al. (2007) implement a reversible jump Markov chain Monte Carlo (RJMCMC) algorithm to produce a posterior distribution for the number of motor units using a Bayesian hierarchical model that takes into account biological information about motor unit activation. However we find that the approach can be unreliable for some datasets since it can suffer from poor cross-dimensional mixing. Here we focus on improved inference by marginalising over latent variables to create the likelihood. In particular we explore how this can improve the RJMCMC mixing and investigate alternative approaches that utilise the likelihood (e.g. DIC (Spiegelhalter et al., 2002)). For this model the marginalisation is over latent variables which, for a larger number of motor units, is an intractable summation over all combinations of a set of latent binary variables whose joint sample space increases exponentially with the number of motor units. We provide a tractable and accurate approximation for this quantity and also investigate simulation approaches incorporated into RJMCMC using results of Andrieu and Roberts (2009).

Pseudo plastic zone analysis of steel frame structures comprising non-compact sections

Application of `advanced analysis' methods suitable for non-linear analysis and design of steel frame structures permits direct and accurate determination of ultimate system strengths, without resort to simplified elastic methods of analysis and semi-empirical specification equations. However, the application of advanced analysis methods has previously been restricted to steel frames comprising only compact sections that are not influenced by the effects of local buckling. A concentrated plasticity method suitable for practical advanced analysis of steel frame structures comprising non-compact sections is presented in this paper. The pseudo plastic zone method implicitly accounts for the effects of gradual cross-sectional yielding, longitudinal spread of plasticity, initial geometric imperfections, residual stresses, and local buckling. The accuracy and precision of the method for the analysis of steel frames comprising non-compact sections is established by comparison with a comprehensive range of analytical benchmark frame solutions. The pseudo plastic zone method is shown to be more accurate and precise than the conventional individual member design methods based on elastic analysis and specification equations.

Recursive pathways to marginal likelihood estimation with prior-sensitivity analysis

We investigate the utility to computational Bayesian analyses of a particular family of recursive marginal likelihood estimators characterized by the (equivalent) algorithms known as "biased sampling" or "reverse logistic regression" in the statistics literature and "the density of states" in physics. Through a pair of numerical examples (including mixture modeling of the well-known galaxy dataset) we highlight the remarkable diversity of sampling schemes amenable to such recursive normalization, as well as the notable efficiency of the resulting pseudo-mixture distributions for gauging prior-sensitivity in the Bayesian model selection context. Our key theoretical contributions are to introduce a novel heuristic ("thermodynamic integration via importance sampling") for qualifying the role of the bridging sequence in this procedure, and to reveal various connections between these recursive estimators and the nested sampling technique.

Shared generation of pseudo-random functions

In Crypto’95, Micali and Sidney proposed a method for shared generation of a pseudo-random function f(·) among n players in such a way that for all the inputs x, any u players can compute f(x) while t or fewer players fail to do so, where 0⩽t

Shared generation of pseudo-random functions with cumulative maps

In Crypto’95, Micali and Sidney proposed a method for shared generation of a pseudo-random function f(·) among n players in such a way that for all the inputs x, any u players can compute f(x) while t or fewer players fail to do so, where 0 ≤ t < u ≤ n. The idea behind the Micali-Sidney scheme is to generate and distribute secret seeds S = s1, . . . , sd of a poly-random collection of functions, among the n players, each player gets a subset of S, in such a way that any u players together hold all the secret seeds in S while any t or fewer players will lack at least one element from S. The pseudo-random function is then computed as where f s i (·)’s are poly-random functions. One question raised by Micali and Sidney is how to distribute the secret seeds satisfying the above condition such that the number of seeds, d, is as small as possible. In this paper, we continue the work of Micali and Sidney. We first provide a general framework for shared generation of pseudo-random function using cumulative maps. We demonstrate that the Micali-Sidney scheme is a special case of this general construction.We then derive an upper and a lower bound for d. Finally we give a simple, yet efficient, approximation greedy algorithm for generating the secret seeds S in which d is close to the optimum by a factor of at most u ln 2.

A two-stage SVM method to predict membrane protein types by incorporating amino acid classifications and physicochemical properties into a general form of Chou's PseAAC

Membrane proteins play important roles in many biochemical processes and are also attractive targets of drug discovery for various diseases. The elucidation of membrane protein types provides clues for understanding the structure and function of proteins. Recently we developed a novel system for predicting protein subnuclear localizations. In this paper, we propose a simplified version of our system for predicting membrane protein types directly from primary protein structures, which incorporates amino acid classifications and physicochemical properties into a general form of pseudo-amino acid composition. In this simplified system, we will design a two-stage multi-class support vector machine combined with a two-step optimal feature selection process, which proves very effective in our experiments. The performance of the present method is evaluated on two benchmark datasets consisting of five types of membrane proteins. The overall accuracies of prediction for five types are 93.25% and 96.61% via the jackknife test and independent dataset test, respectively. These results indicate that our method is effective and valuable for predicting membrane protein types. A web server for the proposed method is available at http://www.juemengt.com/jcc/memty_page.php