Introduction to Machine Learning CMU-10701 Markov Chain Monte Carlo Methods

Barnabás Póczos Contents

 Markov Chain Monte Carlo Methods  Sampling • Rejection • Importance • Hastings-Metropolis • Gibbs  Markov Chains • Properties  Particle Filtering • Condensation

2 Monte Carlo Methods

3 Markov Chain Monte Carlo History

 A recent survey places the Metropolis algorithm among the 10 algorithms that have had the greatest influence on the development and practice of science and engineering in the 20th century (Beichl&Sullivan, 2000).

 The Metropolis algorithm is an instance of a large class of sampling algorithms, known as Markov chain Monte Carlo (MCMC)

 MCMC plays significant role in statistics, econometrics, physics and computing science.

 There are several high-dimensional problems, such as computing the volume of a convex body in d dimensions and other high-dim integrals, for which MCMC simulation is the only known general approach for providing a solution within a reasonable time. 4 Markov Chain Monte Carlo History

 While convalescing from an illness in 1946, was playing solitaire. It, then, occurred to him to try to compute the chances that a particular solitaire laid out with 52 cards would come out successfully (Eckhard, 1987).

 Exhaustive combinatorial calculations are very difficult.

 New, more practical approach: laying out several solitaires at random and then observing and counting the number of successful plays.

 This idea of selecting a statistical sample to approximate a hard combinatorial problem by a much simpler problem is at the heart of modern Monte Carlo simulation.

5 FERMIAC

 FERMIAC: The beginning of Monte Carlo Methods

 Developed in the Early 1930’s

 The Monte Carlo trolley, or FERMIAC, was an analog computer invented by physicist to aid in his studies of neutron transport.

 At each stage, pseudo-random numbers are used to make decisions that affect the behavior of each neutron (random choice between fast and slow neutrons)

6 ENIAC

 ENIAC (pron.: /ˈini.æk/; Electronic Numerical Integrator And Computer) was the first electronic general-purpose computer.

 February 14, 1946: The completed machine was announced to the public

 Digital, and capable of being reprogrammed to solve a full range of computing problems

 Designed by John Mauchly and J. Presper Eckert of the University of Pennsylvania

 Stanislaw Ulam, , Enrico Fermi runs MCMC on ENIAC

7 MANIAC

 MANIAC Mathematical Analyzer, Numerical Integrator, and Computer or Mathematical Analyzer, Numerator, Integrator, and Computer

 1952: built under the direction of Nicholas Metropolis at the Los Alamos Scientific Laboratory. It was based on the of the IAS, developed by John von Neumann

 Metropolis chose the name MANIAC in the hope of stopping the rash of silly acronyms for machine names

 Illiac, Johnniac, Silliac…. 8 MCMC Applications

 Sampling from high-dimensional, complicated distributions

 Bayesian inference and learning

 Normalization

 Marginalization

 Expectation

 Global optimization

9 The Monte Carlo principle

 Our goal is to estimate the following integral:

 The idea of Monte Carlo simulation is to draw an i.i.d. set of samples {x(i) } from a target density p(x) defined on a high-dim. space X.

 These samples can be used to approximate the target density with the following empirical point-mass function:

10 The Monte Carlo principle

Estimate:

Estimator:

11 The Monte Carlo principle

Theorems a.s. consistent

Unbiased estimation

Independent of dimension d!

Asymptotically normal

12 The Monte Carlo principle

One “tiny” problem…

 Monte Carlo methods need sample from distribution p(x).

 When p(x) has standard form, e.g. Uniform or Gaussian, it is straightforward to sample from it using easily available routines.

 However, when this is not the case, we need to introduce more sophisticated sampling techniques. MCMC sampling )

13 Sampling

14 Main Goal

Sample from distribution p(x) that is only known up to a proportionality constant

For example, p(x) 0.3 exp(−0.2x2) +0.7 exp(−0.2(x − 10)2)

15 Rejection Sampling

16 Rejection Sampling

Suppose that  p(x) is known up to a proportionality constant (e.g. exp(-x2)).  It is easy to sample from q(x) that satisfies p(x) ≤ M q(x), M < ∞  M is known

Rejection sampling

17 Rejection Sampling

18 Rejection Sampling

Theorem

The accepted x(i ) can be shown to be sampled with probability p(x) (Robert & Casella, 1999, p. 49).

Severe limitations:

 It is not always possible to bound p(x)/q(x) with a reasonable constant M over the whole space X.  If M is too large, the acceptance probability is too small.  In high dimensional spaces it can be exponentially slow to sample points. (The points usually will be rejected)

19 Importance Sampling

20 Importance Sampling

 Importance sampling is an alternative “classical” solution that goes back to the 1940’s.

 Let us introduce, again, an arbitrary importance proposal distribution q(x) such that its support includes the support of p(x).

 Then we can rewrite I(f) as follows:

21 Importance Sampling

Consequently,

(i ) N  if one can simulate N i.i.d. samples {x } i=1 according to q(x)  and evaluate w(x(i )), possible Monte Carlo estimate of I (f ) is )

22 Importance Sampling

Theorem  This estimator is unbiased  Under weak assumptions, the strong law of large numbers applies:

Some proposal distributions q(x) will obviously be preferable to others. Find one that minimizes the variance of the estimator:

23 Importance Sampling

Theorem The variance is minimal when we adopt the following optimal importance distribution:

 The optimal proposal is not very useful in the sense that it is not easy to sample from | f (x)|p(x).  High sampling efficiency is achieved when we focus on sampling from p(x) in the important regions where | f (x)|p(x) is relatively large; hence the name importance sampling 24 Importance Sampling

 Importance sampling estimates can be super-efficient: For a given function f (x), it is possible to find a distribution q(x) that yields an estimate with a lower variance than when using q(x)= p(x)!

Problems with importance sampling In high dimensions it is not efficient either…

25 Andrey Markov

Markov Chains

26 Markov Chains

Markov chain:

Homogen Markov chain:

27 Markov Chains

 Assume that the state space is finite:

 1-Step state transition matrix:

Lemma: The state transition matrix is stochastic:

 t-Step state transition matrix:

Lemma:

28 Markov Chains Example

Markov chain with three states (s = 3)

Transition matrix Transition graph 29 Markov Chains

If the probability vector for the initial state is it follows that and, after several iterations (multiplications by T )

stationary distribution no matter what initial distribution ¹(x1) was.

The chain has forgotten its past.

30 Markov Chains

Our goal is to find conditions under which the Markov chain forgets its past, and independently from its starting distribution, the state distributions converge to a stationary distribution.

Definition: [stationary distribution, invariant distribution]

This is a necessary condition for having limit behavior of the Markov chain.

31 Markov Chains

Theorem:

For any starting point, the chain will convergence to the unique invariant distribution p(x), as long as

1. T is a stochastic transition matrix 2. T is irreducible 3. T is aperiodic

32 Limit Theorem of Markov Chains

More formally:

If the Markov chain is Irreducible and Aperiodic, then:

33 Markov Chains

Definition

Irreducibility: For each pairs of states (i,j), there is a positive probability, starting in state i, that the process will ever enter state j. = The matrix T cannot be reduced to separate smaller matrices = Transition graph is connected.

It is possible to get to any state from any state.

34 Markov Chains

Definition

Aperiodicity: The chain cannot get trapped in cycles.

Definition A state i has period k if any return to state i, must occur in multiples of k time steps. Formally, the period of a state i is defined as

(where "gcd" is the greatest common divisor)

For example, suppose it is possible to return to the state in {6,8,10,12,...} time steps. Then k=2

35 Markov Chains

Definition

If k = 1, then the state is said to be aperiodic: returns to state i can occur at irregular times.

In other words, a state i is aperiodic if there exists n such that for all n' ≥ n,

Definition A Markov chain is aperiodic if every state is aperiodic.

36 Markov Chains

Theorem: An irreducible Markov chain only needs one aperiodic state to imply all states are aperiodic.

Corollary: An irreducible chain is said to be aperiodic, if for some n 0 and ¸ some state j

Example for periodic Markov chain: In this case Let

However, if we start the chain from (1,0), or (0,1), then the chain get traps into a cycle, it doesn’t forget its past.

Periodic Markov chains don’t forget their past. 37 Reversible Markov chains Detailed Balance Property

Definition: reversibility /detailed balance condition:

Theorem:

A sufficient, but not necessary, condition to ensure that a particular ¼ is the desired invariant distribution of the Markov chain is the detailed balance condition.

38 How fast can Markov chains forget the past?

MCMC samplers are

 irreducible and aperiodic Markov chains  have the target distribution as the invariant distribution.  the detailed balance condition is satisfied.

It is also important to design samplers that converge quickly.

39 Spectral properties

Theorem: If

 ¼ is the left eigenvector of the matrix T with eigenvalue 1.

 The Perron-Frobenius theorem from linear algebra tells us that the remaining eigenvalues have absolute value less than 1.

 The second largest eigenvalue, therefore, determines the rate of convergence of the chain, and should be as small as possible.

40 The Hastings-Metropolis Algorithm

41 The Hastings-Metropolis Algorithm

Our goal:

Generate samples from the following discrete distribution:

We don’t know B !

The main idea is to construct a time-reversible Markov chain with (¼1,…,¼m) limit distributions

Later we will discuss what to do when the distribution is continuous 42 The Hastings-Metropolis Algorithm

Let {1,2,…,m} be the state space of a Markov chain that we can simulate.

No rejection: we use all X1, X2,… Xn, … 43 Example for Large State Space

Let {1,2,…,m} be the state space of a Markov chain that we can simulate. d-dimensional grid:

 Max 2d possible movements at each grid point (linear in d)  Exponentially large state space in dimension d

44 The Hastings-Metropolis Algorithm

Theorem

Proof 45 The Hastings-Metropolis Algorithm

Observation

Proof: Corollary

Theorem

46 The Hastings-Metropolis Algorithm

Theorem

Proof:

Note:

47 The Hastings-Metropolis Algorithm

It is not rejection sampling, we use all the samples! 48 Continuous Distributions

 The same algorithm can be used for continuous distributions as well.

 In this case, the state space is continuous.

49 Experiment with HM

An application for continuous distributions

Bimodal target distribution: p(x) 0.3 exp(−0.2x2) +0.7 exp(−0.2(x − 10)2) q(x | x(i )) = N(x(i), 100), 5000 iterations 50 ∝ Good proposal distrib. is important

51 HM on Combinatorial Sets

Generate uniformly distributed samples from the set of permutations

Let n=3, and a=12: {1,2,3}: 1+4+9=14 {1,3,2}: 1+6+6=13 {2,3,1}: 2+6+3=11 {2,1,3}: 2+2+9=13 {3,1,2}: 3+2+6=11 {3,2,1}: 3+4+3=10 52 HM on Combinatorial Sets

To define a simple Markov chain on , we need the concept of neighboring elements (permutations):

Definition: Two permutations are neighbors, if one results from the interchange of two of the positions of the other:

(1,2,3,4) and (1,2,4,3) are neighbors. (1,2,3,4) and (1,3,4,2) are not neighbors.

53 HM on Combinatorial Sets

That is what we wanted!

54 Gibbs Sampling: The Problem

Suppose that we can generate samples from

Our goal is to generate samples from

55 Gibbs Sampling: Pseudo Code

56 Gibbs Sampling: Theory

Let

and let

Observation: By construction, this HM sampler would sample from

57 Gibbs Sampling is a Special HM

Theorem: The Gibbs sampling is a special case of HM with

Proof: By definition:

58 Gibbs Sampling is a Special HM

Proof:

59 Gibbs Sampling in Practice

60 Simulated Annealing

61 Simulated Annealing

Goal: Find

62 Simulated Annealing

Theorem:

Proof:

63 Simulated Annealing

Main idea

 Let ¸ be big.

 Generate a Markov chain with limit distribution P¸(x).  In long run, the Markov chain will jump among the maximum points of

P¸(x).

Introduce the relationship of neighboring vectors:

64 Simulated Annealing

Uniform distribution

Use the Hastings- Metropolis sampling:

65 Simulated Annealing: Pseudo Code

With prob. ® accept the new state

with prob. (1-®) don't accept and stay

66 Simulated Annealing: Special case

In this special case:

With prob. ®=1 accept the new state since we increased V

67 Simulated Annealing: Problems

68 Simulated Annealing

Temperature = 1/ ¸

69 Simulated Annealing

70 Monte Carlo EM

E Step:

Monte Carlo EM:

Then the integral can be approximated! 

71 Monte Carlo EM

72 Particle Filtering

73 Particle Filtering

 So far there was only one particle which moved according to a Markov chain.  In particle filtering there will be lots of particles, each of them will act as a Markov chain.

74 Application: Contour tracking

75 Object Tracking Using Bsplines

76 Bspline Curves

77 Stefan Hueeber, Jonas Ballani Tracking using Bsplines

78 79 The Model

The object we want to track has a hidden dynamical model:

X t = f (X t−1, µt )

We can only observe the object through noisy measurements:

Zt = g(X t ) + vt

Goal: From Z1, …, Zt estimate Xt

80 The Model

• The contour lines are Bspline curves.

• It is enough to transform the control points of the Bspline curves.

• 2D Translation+ Scaling+ Shear + Rotation = 6 free parameters.

• 6 dimensional particles

81 2D affine transformation of the control points

82 6 Parameters to Fit

83 Monte Carlo Methods • Each particle is a 6 dim vector and describes one possible contour line. (Hence the name particle filtering)

• Using edge detection, we can measure how well one particle fits the image.

• The good particles get larger weights in the next iteration, the weaker particles get smaller weights.

• Using a Markov chain (AR dynamics), move the

particles to predict the next image. 84

The Observation Model

Measuring how good one particle is:

85 Weighted Particles

86 Particles to Represent Bsplines

87 Conditional Density Propagation ConDenSation

88 Condensation

89 Tracking using Bsplines

90 An Improvement

P. Torma and Cs. Szepesvári. ECCV 2004 Local Importance Sampling Algorithm

Condensation M. Isard and A. Blake Int. J. Computer Vision, 1998

91 92 93 References

Many sentences, pictures, videos, etc are copied and pasted from the below sources:

• Michael Isard: http://www.robots.ox.ac.uk/~misard/condensation.html • C. Andrieu et. al.: An Introduction to MCMC for Machine Learning http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.13.7133

• David MacKay: Introduction to Monte Carlo methods http://www.inference.phy.cam.ac.uk/mackay/erice.pdf

• Sheldon M. Ross: Simulation

• Wikipedia 94 Thanks for the Attention! 

95 96 Attic

97 Arriving times

Questions:

 When does a Markov chain arrives at state j if it starts from state i?  When does it arrive there 1st?  What is the probability that it arrives there in the future?  Will it arrive there in finite time?

98 Arriving times

Theorem

99 Arriving times

Theorem

100