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Gersende Fort

Publications and source records attributed to Gersende Fort.

At least 37 records · Page 2Linked to original sources

A shrinkage-thresholding Metropolis adjusted Langevin algorithm for Bayesian variable selection

This paper introduces a new Markov Chain Monte Carlo method for Bayesian variable selection in high dimensional settings. The algorithm is a Hastings-Metropolis sampler with a proposal mechanism which combines a Metropolis Adjusted Langevin (MALA) step to propose local moves associated with a shrinkage-thresholding step allowing to propose new models. The geometric ergodicity of this new trans-dimensional Markov Chain Monte Carlo sampler is established. An extensive numerical experiment, on simulated and real data, is presented to illustrate the performance of the proposed algorithm in comparison with some more classical trans-dimensional algorithms.

math.ST↗

Adaptive MCMC with online relabeling

When targeting a distribution that is artificially invariant under some permutations, Markov chain Monte Carlo (MCMC) algorithms face the label-switching problem, rendering marginal inference particularly cumbersome. Such a situation arises, for example, in the Bayesian analysis of finite mixture models. Adaptive MCMC algorithms such as adaptive Metropolis (AM), which self-calibrates its proposal distribution using an online estimate of the covariance matrix of the target, are no exception. To address the label-switching issue, relabeling algorithms associate a permutation to each MCMC sample, trying to obtain reasonable marginals. In the case of adaptive Metropolis (Bernoulli 7 (2001) 223-242), an online relabeling strategy is required. This paper is devoted to the AMOR algorithm, a provably consistent variant of AM that can cope with the label-switching problem. The idea is to nest relabeling steps within the MCMC algorithm based on the estimation of a single covariance matrix that is used both for adapting the covariance of the proposal distribution in the Metropolis algorithm step and for online relabeling. We compare the behavior of AMOR to similar relabeling methods. In the case of compactly supported target distributions, we prove a strong law of large numbers for AMOR and its ergodicity. These are the first results on the consistency of an online relabeling algorithm to our knowledge. The proof underlines latent relations between relabeling and vector quantization.

stat.CO↗

Subgeometric rates of convergence in Wasserstein distance for Markov chains

In this paper, we provide sufficient conditions for the existence of the invariant distribution and for subgeometric rates of convergence in Wasserstein distance for general state-space Markov chains which are (possibly) not irreducible. Compared to previous work, our approach is based on a purely probabilistic coupling construction which allows to retrieve rates of convergence matching those previously reported for convergence in total variation. Our results are applied to establish the subgeometric ergodicity in Wasserstein distance of non-linear autoregressive models and of the pre-conditioned Crank-Nicolson Markov chain Monte Carlo algorithm in Hilbert space.

math.PR↗

Success and Failure of Adaptation-Diffusion Algorithms for Consensus in Multi-Agent Networks

This paper investigates the problem of distributed stochastic approximation in multi-agent systems. The algorithm under study consists of two steps: a local stochastic approximation step and a diffusion step which drives the network to a consensus. The diffusion step uses row-stochastic matrices to weight the network exchanges. As opposed to previous works, exchange matrices are not supposed to be doubly stochastic, and may also depend on the past estimate. We prove that non-doubly stochastic matrices generally influence the limit points of the algorithm. Nevertheless, the limit points are not affected by the choice of the matrices provided that the latter are doubly-stochastic in expectation. This conclusion legitimates the use of broadcast-like diffusion protocols, which are easier to implement. Next, by means of a central limit theorem, we prove that doubly stochastic protocols perform asymptotically as well as centralized algorithms and we quantify the degradation caused by the use of non doubly stochastic matrices. Throughout the paper, a special emphasis is put on the special case of distributed non-convex optimization as an illustration of our results.

cs.MA↗

Quantitative convergence rates for sub-geometric Markov chains

We provide explicit expressions for the constants involved in the characterisation of ergodicity of sub-geometric Markov chains. The constants are determined in terms of those appearing in the assumed drift and one-step minorisation conditions. The result is fundamental for the study of some algorithms where uniform bounds for these constants are needed for a family of Markov kernels. Our result accommodates also some classes of inhomogeneous chains.

math.PR↗

Performance of a Distributed Stochastic Approximation Algorithm

In this paper, a distributed stochastic approximation algorithm is studied. Applications of such algorithms include decentralized estimation, optimization, control or computing. The algorithm consists in two steps: a local step, where each node in a network updates a local estimate using a stochastic approximation algorithm with decreasing step size, and a gossip step, where a node computes a local weighted average between its estimates and those of its neighbors. Convergence of the estimates toward a consensus is established under weak assumptions. The approach relies on two main ingredients: the existence of a Lyapunov function for the mean field in the agreement subspace, and a contraction property of the random matrices of weights in the subspace orthogonal to the agreement subspace. A second order analysis of the algorithm is also performed under the form of a Central Limit Theorem. The Polyak-averaged version of the algorithm is also considered.

math.OC↗

Convergence of the Wang-Landau algorithm

We analyze the convergence properties of the Wang-Landau algorithm. This sampling method belongs to the general class of adaptive importance sampling strategies which use the free energy along a chosen reaction coordinate as a bias. Such algorithms are very helpful to enhance the sampling properties of Markov Chain Monte Carlo algorithms, when the dynamics is metastable. We prove the convergence of the Wang-Landau algorithm and an associated central limit theorem.

math.PR↗

Central Limit Theorems for Stochastic Approximation with controlled Markov chain dynamics

This paper provides a Central Limit Theorem (CLT) for a process $\{θ_n, n\geq 0\}$ satisfying a stochastic approximation (SA) equation of the form $θ_{n+1} = θ_n + γ_{n+1} H(θ_n,X_{n+1})$; a CLT for the associated average sequence is also established. The originality of this paper is to address the case of controlled Markov chain dynamics $\{X_n, n\geq 0 \}$ and the case of multiple targets. The framework also accomodates (randomly) truncated SA algorithms. Sufficient conditions for CLT's to hold are provided as well as comments on how these conditions extend previous works (such as independent and identically distributed dynamics, the Robbins-Monro dynamic or the single target case). The paper gives a special emphasis on how these conditions hold for SA with controlled Markov chain dynamics and multiple targets; it is proved that this paper improves on existing works.

math.PR↗

Adaptive Equi-Energy Sampler : Convergence and Illustration

Markov chain Monte Carlo (MCMC) methods allow to sample a distribution known up to a multiplicative constant. Classical MCMC samplers are known to have very poor mixing properties when sampling multimodal distributions. The Equi-Energy sampler is an interacting MCMC sampler proposed by Kou, Zhou and Wong in 2006 to sample difficult multimodal distributions. This algorithm runs several chains at different temperatures in parallel, and allow lower-tempered chains to jump to a state from a higher-tempered chain having an energy 'close' to that of the current state. A major drawback of this algorithm is that it depends on many design parameters and thus, requires a significant effort to tune these parameters. In this paper, we introduce an Adaptive Equi-Energy (AEE) sampler which automates the choice of the selection mecanism when jumping onto a state of the higher-temperature chain. We prove the ergodicity and a strong law of large numbers for AEE, and for the original Equi-Energy sampler as well. Finally, we apply our algorithm to motif sampling in DNA sequences.

math.ST↗

CosmoPMC: Cosmology Population Monte Carlo

We present the public release of the Bayesian sampling algorithm for cosmology, CosmoPMC (Cosmology Population Monte Carlo). CosmoPMC explores the parameter space of various cosmological probes, and also provides a robust estimate of the Bayesian evidence. CosmoPMC is based on an adaptive importance sampling method called Population Monte Carlo (PMC). Various cosmology likelihood modules are implemented, and new modules can be added easily. The importance-sampling algorithm is written in C, and fully parallelised using the Message Passing Interface (MPI). Due to very little overhead, the wall-clock time required for sampling scales approximately with the number of CPUs. The CosmoPMC package contains post-processing and plotting programs, and in addition a Monte-Carlo Markov chain (MCMC) algorithm. The sampling engine is implemented in the library pmclib, and can be used independently. The software is available for download at http://www.cosmopmc.info.

astro-ph.CO↗

Online Expectation Maximization based algorithms for inference in hidden Markov models

The Expectation Maximization (EM) algorithm is a versatile tool for model parameter estimation in latent data models. When processing large data sets or data stream however, EM becomes intractable since it requires the whole data set to be available at each iteration of the algorithm. In this contribution, a new generic online EM algorithm for model parameter inference in general Hidden Markov Model is proposed. This new algorithm updates the parameter estimate after a block of observations is processed (online). The convergence of this new algorithm is established, and the rate of convergence is studied showing the impact of the block size. An averaging procedure is also proposed to improve the rate of convergence. Finally, practical illustrations are presented to highlight the performance of these algorithms in comparison to other online maximum likelihood procedures.

math.ST↗

Convergence of a Particle-based Approximation of the Block Online Expectation Maximization Algorithm

Online variants of the Expectation Maximization (EM) algorithm have recently been proposed to perform parameter inference with large data sets or data streams, in independent latent models and in hidden Markov models. Nevertheless, the convergence properties of these algorithms remain an open problem at least in the hidden Markov case. This contribution deals with a new online EM algorithm which updates the parameter at some deterministic times. Some convergence results have been derived even in general latent models such as hidden Markov models. These properties rely on the assumption that some intermediate quantities are available in closed form or can be approximated by Monte Carlo methods when the Monte Carlo error vanishes rapidly enough. In this paper, we propose an algorithm which approximates these quantities using Sequential Monte Carlo methods. The convergence of this algorithm and of an averaged version is established and their performance is illustrated through Monte Carlo experiments.

math.ST↗

A central limit theorem for adaptive and interacting Markov chains

Adaptive and interacting Markov Chains Monte Carlo (MCMC) algorithms are a novel class of non-Markovian algorithms aimed at improving the simulation efficiency for complicated target distributions. In this paper, we study a general (non-Markovian) simulation framework covering both the adaptive and interacting MCMC algorithms. We establish a Central Limit Theorem for additive functionals of unbounded functions under a set of verifiable conditions, and identify the asymptotic variance. Our result extends all the results reported so far. An application to the interacting tempering algorithm (a simplified version of the equi-energy sampler) is presented to support our claims.

math.ST↗

A simple variance inequality for U-statistics of a Markov chain with applications

We establish a simple variance inequality for U-statistics whose underlying sequence of random variables is an ergodic Markov Chain. The constants in this inequality are explicit and depend on computable bounds on the mixing rate of the Markov Chain. We apply this result to derive the strong law of large number for U-statistics of a Markov Chain under conditions which are close from being optimal.

math.ST↗

Bayesian model comparison in cosmology with Population Monte Carlo

We use Bayesian model selection techniques to test extensions of the standard flat LambdaCDM paradigm. Dark-energy and curvature scenarios, and primordial perturbation models are considered. To that end, we calculate the Bayesian evidence in favour of each model using Population Monte Carlo (PMC), a new adaptive sampling technique which was recently applied in a cosmological context. The Bayesian evidence is immediately available from the PMC sample used for parameter estimation without further computational effort, and it comes with an associated error evaluation. Besides, it provides an unbiased estimator of the evidence after any fixed number of iterations and it is naturally parallelizable, in contrast with MCMC and nested sampling methods. By comparison with analytical predictions for simulated data, we show that our results obtained with PMC are reliable and robust. The variability in the evidence evaluation and the stability for various cases are estimated both from simulations and from data. For the cases we consider, the log-evidence is calculated with a precision of better than 0.08. Using a combined set of recent CMB, SNIa and BAO data, we find inconclusive evidence between flat LambdaCDM and simple dark-energy models. A curved Universe is moderately to strongly disfavoured with respect to a flat cosmology. Using physically well-motivated priors within the slow-roll approximation of inflation, we find a weak preference for a running spectral index. A Harrison-Zel'dovich spectrum is weakly disfavoured. With the current data, tensor modes are not detected; the large prior volume on the tensor-to-scalar ratio r results in moderate evidence in favour of r=0. [Abridged]

astro-ph.CO↗

Limit theorems for some adaptive MCMC algorithms with subgeometric kernels: Part II

We prove a central limit theorem for a general class of adaptive Markov Chain Monte Carlo algorithms driven by sub-geometrically ergodic Markov kernels. We discuss in detail the special case of stochastic approximation. We use the result to analyze the asymptotic behavior of an adaptive version of the Metropolis Adjusted Langevin algorithm with a heavy tailed target density.

math.PR↗

On adaptive stratification

This paper investigates the use of stratified sampling as a variance reduction technique for approximating integrals over large dimensional spaces. The accuracy of this method critically depends on the choice of the space partition, the strata, which should be ideally fitted to thesubsets where the functions to integrate is nearly constant, and on the allocation of the number of samples within each strata. When the dimension is large and the function to integrate is complex, finding such partitions and allocating the sample is a highly non-trivial problem. In this work, we investigate a novel method to improve the efficiency of the estimator "on the fly", by jointly sampling and adapting the strata and the allocation within the strata. The accuracy of estimators when this method is used is examined in detail, in the so-called asymptotic regime (i.e. when both the number of samples and the number of strata are large). We illustrate the use of the method for the computation of the price of path-dependent options in models with both constant and stochastic volatility. The use of this adaptive technique yields variance reduction by factors sometimes larger than 1000 compared to classical Monte Carlo estimators.

math.PR↗