Month: December 2020

SRN – about the magical 0.234 acceptance rate

Sunday Reading Notes series is back : Let’s understand the magical rule of ‘tuning your MH algorithm so that the acceptance rate is roughly 25%’ together!

‘Tune your MH algorithm so that the acceptance rate is roughly 25%’ has been general advice given to students in Bayesian statistics classes. It has been almost 4 years since I first read about it from the book Bayesian Data Analysis, but I never read the original paper where this result first appeared. This Christmas, I decided to read the paper ‘Weak Convergence and Optimal Scaling of Random Walk Metropolis Algorithms’ by Roberts, Gelman and Gilks and to resume by Sunday Reading Notes series with a short exposition of this paper.

In Roberts, Gelman and Gilk (1997), the authors obtain a weak convergence result for the sequence of algorithms targeting the sequence of distributions {\pi_d(x^d) = \prod_{i=1}^{d} f(x_i^d)} converging to a Langevin diffusion. The asymptotic optimal scaling problem becomes a matter optimizing the speed of the Langevin diffusion, and it is related to the asymptotic acceptance rate of proposed moves.

A one-sentence summary of the paper would be

if you have a d-dimensional target that is independent in each coordinate, then choose the step size of random walk kernel to be 2.38 / sqrt(d) or tune your acceptance rate to be around 1/4.

Unfortunately, in practice the ‘if’ condition is often overlooked and people are tuning the acceptance rate to be 0.25 as long as the proposal is random walk, no matter what the target distribution is. It has been 20 years since the publication of the 0.234 result and we are witnessing the use of MCMC algorithms on more complicated target distributions, for example parameter inference for state-space models. I feel that this is good time that we revisit and appreciate the classical results while re-educating ourselves on their limitations.

Reference:

Roberts, G. O., Gelman, A., & Gilks, W. R. (1997). Weak convergence and optimal scaling of random walk Metropolis algorithms. The annals of applied probability, 7(1), 110-120.

——–TECHNICAL EXPOSITION——-

Assumption 1 The marginal density of each component f is such that {f'/f} is Lipschitz continuous and

\displaystyle \mathbb{E}_f\left[\left(\frac{f'(X)}{f(X)}\right)^8\right] = M < \infty, \ \ \ \ \ (1)

\displaystyle \mathbb{E}_f\left[\left(\frac{f''(X)}{f(X)}\right)^4\right] < \infty. \ \ \ \ \ (2)

Roberts et al. (1997) considers random walk proposal {y^d - x^d \sim \mathcal{N}(0,\sigma_d I_d)} where {\sigma_d^2 = l^2 / (d-1).} We use {X^d = (X_0^d,X_1^d,\ldots)} to denote the Markov chain and define another Markov process {(Z^d)} with {Z_t^d = X_{[dt]}^d}, which is the speed-up version of {X^d}. Let {[a]} denote the floor of {a \in \mathbb{R}}. Define {U^d_t= X^d_{[dt],1}}, the first component of {X_{[dt]}^d = Z^d_t}.

Theorem 1 (diffusion limit of first component) Suppose {f} is positive and in {\mathbb{C}^2} and that (1)-(2) hold. Let {X_0^{\infty} = (X^1_{0,1},X^{2}_{0,2},\ldots)} be such that all components are distributed according to {f} and assume {X^{i}_{0,j} = X^{j}_{0,j}} for all {i \le j}. Then as {d \to \infty},
\displaystyle U^d \to U.

The {U_0 \sim f} and {U} satisfies the Langevin SDE
\displaystyle dU_t = (h(l))^{1/2}dB_t + h(l)\frac{f'(U_t)}{2f(U_t)}dt \ \ \ \ \ (3)

and
\displaystyle h(l) = 2 l^2 \Phi(-l\sqrt{I}/2)

with {\Phi} being the standard normal cdf and
\displaystyle I = \mathbb{E}_f\left[\left(f'(X)/ f(X)\right)^2\right].

Here {h(l)} is the speed measure of the diffusion process and the `most efficient’ asymptotic diffusion has the largest speed measure. {I} measures the `roughness’ of {f}.

Example 1 If {f} is normal, then {f(x) = (2\pi\sigma^2_f)^{-1/2}\exp(-x^2/(2\sigma_f^2)).}
\displaystyle I = \mathbb{E}_f\left[\left(f'(x) / f(x) \right)^2\right] = (\sigma_f)^{-4}\mathbb{E}_f\left[x^2\right] = 1/\sigma^2_f.

So when the target density {f} is normal, then the optimal value of {l} is scaled by {1 / \sqrt{I}}, which coincides with the standard deviation of {f}.

Proof: (of Theorem 1.1) This is a proof sketch. The strategy is to prove that the generator of {Z^n}, defined by

\displaystyle G_n V(x^n) = n \mathbb{E}\left[\left(V(Y^n) - V(x^n)\right) \left( 1 \wedge \frac{\pi_n(Y^n)}{\pi_n(x^n)}\right)\right].

converges to the generator of the limiting Langevin diffusion, defined by
\displaystyle GV(x) = h(l) \left[\frac{1}{2} V''(x) + \frac{1}{2} \frac{d}{dx}(\log f)(x) V'(x)\right].

Here the function {V} is a function of the first component only.
First define a set

\displaystyle F_d = \{|R_d(x_2,\ldots,x_d) - I| < d^{-1/8}\} \cap \{|S_d(x_2,\ldots,x_d) - I| < d^{-1/8}\},

where
\displaystyle R_d(x_2,\ldots,x_d) = (d-1)^{-1} \sum_{i=2}^d \left[(\log f(x_i))'\right]^2

and
\displaystyle S_d(x_2,\ldots,x_d) = - (d-1)^{-1} \sum_{i=2}^d \left[(\log f(x_i))''\right].

For fixed {t}, one can show that {\mathbb{P}\left(Z^d_s \in F_d , 0 \le s \le t\right)} goes to 1 as {d \to \infty}. On these sets {\{F_d\}}, we have
\displaystyle \sup_{x^d \in F_d} |G_d V(x^d) - G V(x_1)| \to 0 \quad \text{as } d \to \infty ,

which essentially says {G_d \to G}, because we have uniform convergence for vectors contained in a set of limiting probability 1.
\Box

Corollary 2 (heuristics for RWMH) Let
\displaystyle a_d(l) = \int \int \pi_d(x^d)\alpha(x^d,y^d)q_d(x^d,y^d)dx^d dy^d

be the average acceptance rate of the random walk MH in {d} dimensions.
We must have {lim_{d\to\infty} a_d(l) \to a(l)} where {a(l) = 2 \Phi(-l\sqrt{I}/2)}.
{h(l)} is maximized by {l = \hat{l} = 2.38 / \sqrt{I}} and {a(\hat{l}) = 0.23} and {h(\hat{l}) = 1.3 / I.}
The authors consider two extensions of the target density {\pi_d}, where the convergence and optimal scaling properties will still hold. The first extension concerns the case where {f_i}‘s are different, but there is an law of large numbers on these density functions. Another extension concerns the case {\pi_d(x^d) = f_1(x_1) \prod_{i=2}^{d} P(x_{i-1}, x_{i})}, with some conditions on {P}.

Troubleshooting: build packages in RStudio after MacOS update

I have never considered myself a good developer. Coding activities such as writing some functions in Rcpp for an R package and building my personal website (nianqiaoju.github.io) already makes me proud.

Last night, I had some trouble building a package in RStudio. At the beginning, I thought it was because I accidentally included a test file in the ProjectDirectory/R folder, but it was not the case. So I had no choice but to read the error messages carefully.

I did not keep a record of this, but important bits of the messages look like:

ld: unknown option: -platform_version
clang: error: linker command failed with exit code 1 (use -v to see invocation)

That’s when I started to realize that this had to do with a recent MacOS update and probably my package was fine. Interestingly, I did not recall authorizing a system update and learned about this only through running sessionInfo() in console. These are some trouble shooting steps I did in RStudio console:

  • check if devtools works: devtools::load_all() –>> leads to error messages
  • check if Rcpp works: Rcpp::evalCpp("2+2") –>> leads to error messages.

It seemed like the operating system update has ‘disabled’ my R compiler tools for RCpp. Unfortunately, despite the huge amount of information on stack-overflow and github issues, I did not see any error messages matching exactly what I saw and there were some conflicting information. Moreover, I did not want to install the whole XCode app or to cause any irreversible damages. After one hour of trial and errors, below is what I think solved my crisis.

  • run in terminal xcode-select --install and it turns out my command line tools are already installed since the message xcode-select: error: command line tools are already installed, use "Software Update" to install updates.
  • run in terminal gcc --version and this is to confirm that the command gcc is recognized by my terminal.
  • set the file  ~/.R/Makevars to point to the system headers. I did it with vim: add the following lines to the file and comment out what’s already there.
# clang: start
CFLAGS=-isysroot /Library/Developer/CommandLineTools/SDKs/MacOSX.sdk
CCFLAGS=-isysroot /Library/Developer/CommandLineTools/SDKs/MacOSX.sdk
CXXFLAGS=-isysroot /Library/Developer/CommandLineTools/SDKs/MacOSX.sdk
# clang: end

I believe that the last step did the magic for me and I was able to build packages from source without any trouble.

In this process this stack-overflow discussion and this blogpost were the most helpful.