Sampling Hyperparameters in Hierarchical Models
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The Exponential Family 1 Definition
The Exponential Family David M. Blei Columbia University November 9, 2016 The exponential family is a class of densities (Brown, 1986). It encompasses many familiar forms of likelihoods, such as the Gaussian, Poisson, multinomial, and Bernoulli. It also encompasses their conjugate priors, such as the Gamma, Dirichlet, and beta. 1 Definition A probability density in the exponential family has this form p.x / h.x/ exp >t.x/ a./ ; (1) j D f g where is the natural parameter; t.x/ are sufficient statistics; h.x/ is the “base measure;” a./ is the log normalizer. Examples of exponential family distributions include Gaussian, gamma, Poisson, Bernoulli, multinomial, Markov models. Examples of distributions that are not in this family include student-t, mixtures, and hidden Markov models. (We are considering these families as distributions of data. The latent variables are implicitly marginalized out.) The statistic t.x/ is called sufficient because the probability as a function of only depends on x through t.x/. The exponential family has fundamental connections to the world of graphical models (Wainwright and Jordan, 2008). For our purposes, we’ll use exponential 1 families as components in directed graphical models, e.g., in the mixtures of Gaussians. The log normalizer ensures that the density integrates to 1, Z a./ log h.x/ exp >t.x/ d.x/ (2) D f g This is the negative logarithm of the normalizing constant. The function h.x/ can be a source of confusion. One way to interpret h.x/ is the (unnormalized) distribution of x when 0. It might involve statistics of x that D are not in t.x/, i.e., that do not vary with the natural parameter. -
1 Introduction to Bayesian Inference 2 Introduction to Gibbs Sampling
MCMC I: July 5, 2016 1 MCMC I 8th Summer Institute in Statistics and Modeling in Infectious Diseases Course Time Plan July 13-15, 2016 Instructors: Vladimir Minin, Kari Auranen, M. Elizabeth Halloran Course Description: This module is an introduction to Markov chain Monte Carlo methods with some simple applications in infectious disease studies. The course includes an introduction to Bayesian inference, Monte Carlo, MCMC, some background theory, and convergence diagnostics. Algorithms include Gibbs sampling and Metropolis-Hastings and combinations. Programming is in R. Familiarity with the R statistical package or other computing language is needed. Course schedule: The course is composed of 10 90-minute sessions, for a total of 15 hours of instruction. 1 Introduction to Bayesian Inference • Overview of the course. • Bayesian inference: Likelihood, prior, posterior, normalizing constant • Conjugate priors; Beta-binomial; Poisson-gamma; normal-normal • Posterior summaries, mean, mode, posterior intervals • Motivating examples: Chain binomial model (Reed-Frost), General Epidemic Model, SIS model. • Lab: – Goals: Warm-up with R for simple Bayesian computation – Example: Posterior distribution of transmission probability with a binomial sampling distribution using a conjugate beta prior distribution – Summarizing posterior inference (mean, median, posterior quantiles and intervals) – Varying the amount of prior information – Writing an R function 2 Introduction to Gibbs Sampling • Chain binomial model and data augmentation • Brief introduction -
Fast Bayesian Non-Negative Matrix Factorisation and Tri-Factorisation
Fast Bayesian Non-Negative Matrix Factorisation and Tri-Factorisation Thomas Brouwer Jes Frellsen Pietro Lio’ Computer Laboratory Department of Engineering Computer Laboratory University of Cambridge University of Cambridge University of Cambridge United Kingdom United Kingdom United Kingdom [email protected] [email protected] [email protected] Abstract We present a fast variational Bayesian algorithm for performing non-negative matrix factorisation and tri-factorisation. We show that our approach achieves faster convergence per iteration and timestep (wall-clock) than Gibbs sampling and non-probabilistic approaches, and do not require additional samples to estimate the posterior. We show that in particular for matrix tri-factorisation convergence is difficult, but our variational Bayesian approach offers a fast solution, allowing the tri-factorisation approach to be used more effectively. 1 Introduction Non-negative matrix factorisation methods Lee and Seung [1999] have been used extensively in recent years to decompose matrices into latent factors, helping us reveal hidden structure and predict missing values. In particular we decompose a given matrix into two smaller matrices so that their product approximates the original one. The non-negativity constraint makes the resulting matrices easier to interpret, and is often inherent to the problem – such as in image processing or bioinformatics (Lee and Seung [1999], Wang et al. [2013]). Some approaches approximate a maximum likelihood (ML) or maximum a posteriori (MAP) solution that minimises the difference between the observed matrix and the decomposition of this matrix. This gives a single point estimate, which can lead to overfitting more easily and neglects uncertainty. Instead, we may wish to find a full distribution over the matrices using a Bayesian approach, where we define prior distributions over the matrices and then compute their posterior after observing the actual data. -
Bayesian Inference in the Normal Linear Regression Model
Bayesian Inference in the Normal Linear Regression Model () Bayesian Methods for Regression 1 / 53 Bayesian Analysis of the Normal Linear Regression Model Now see how general Bayesian theory of overview lecture works in familiar regression model Reading: textbook chapters 2, 3 and 6 Chapter 2 presents theory for simple regression model (no matrix algebra) Chapter 3 does multiple regression In lecture, I will go straight to multiple regression Begin with regression model under classical assumptions (independent errors, homoskedasticity, etc.) Chapter 6 frees up classical assumptions in several ways Lecture will cover one way: Bayesian treatment of a particular type of heteroskedasticity () Bayesian Methods for Regression 2 / 53 The Regression Model Assume k explanatory variables, xi1,..,xik for i = 1, .., N and regression model: yi = b1 + b2xi2 + ... + bk xik + #i . Note xi1 is implicitly set to 1 to allow for an intercept. Matrix notation: y1 y2 y = 2 . 3 6 . 7 6 7 6 y 7 6 N 7 4 5 # is N 1 vector stacked in same way as y () Bayesian Methods for Regression 3 / 53 b is k 1 vector X is N k matrix 1 x12 .. x1k 1 x22 .. x2k X = 2 ..... 3 6 ..... 7 6 7 6 1 x .. x 7 6 N2 Nk 7 4 5 Regression model can be written as: y = X b + #. () Bayesian Methods for Regression 4 / 53 The Likelihood Function Likelihood can be derived under the classical assumptions: 1 2 # is N(0N , h IN ) where h = s . All elements of X are either fixed (i.e. not random variables). Exercise 10.1, Bayesian Econometric Methods shows that likelihood function can be written in -
Paradoxes and Priors in Bayesian Regression
Paradoxes and Priors in Bayesian Regression Dissertation Presented in Partial Fulfillment of the Requirements for the Degree Doctor of Philosophy in the Graduate School of The Ohio State University By Agniva Som, B. Stat., M. Stat. Graduate Program in Statistics The Ohio State University 2014 Dissertation Committee: Dr. Christopher M. Hans, Advisor Dr. Steven N. MacEachern, Co-advisor Dr. Mario Peruggia c Copyright by Agniva Som 2014 Abstract The linear model has been by far the most popular and most attractive choice of a statistical model over the past century, ubiquitous in both frequentist and Bayesian literature. The basic model has been gradually improved over the years to deal with stronger features in the data like multicollinearity, non-linear or functional data pat- terns, violation of underlying model assumptions etc. One valuable direction pursued in the enrichment of the linear model is the use of Bayesian methods, which blend information from the data likelihood and suitable prior distributions placed on the unknown model parameters to carry out inference. This dissertation studies the modeling implications of many common prior distri- butions in linear regression, including the popular g prior and its recent ameliorations. Formalization of desirable characteristics for model comparison and parameter esti- mation has led to the growth of appropriate mixtures of g priors that conform to the seven standard model selection criteria laid out by Bayarri et al. (2012). The existence of some of these properties (or lack thereof) is demonstrated by examining the behavior of the prior under suitable limits on the likelihood or on the prior itself. -
A Compendium of Conjugate Priors
A Compendium of Conjugate Priors Daniel Fink Environmental Statistics Group Department of Biology Montana State Univeristy Bozeman, MT 59717 May 1997 Abstract This report reviews conjugate priors and priors closed under sampling for a variety of data generating processes where the prior distributions are univariate, bivariate, and multivariate. The effects of transformations on conjugate prior relationships are considered and cases where conjugate prior relationships can be applied under transformations are identified. Univariate and bivariate prior relationships are verified using Monte Carlo methods. Contents 1 Introduction Experimenters are often in the position of having had collected some data from which they desire to make inferences about the process that produced that data. Bayes' theorem provides an appealing approach to solving such inference problems. Bayes theorem, π(θ) L(θ x ; : : : ; x ) g(θ x ; : : : ; x ) = j 1 n (1) j 1 n π(θ) L(θ x ; : : : ; x )dθ j 1 n is commonly interpreted in the following wayR. We want to make some sort of inference on the unknown parameter(s), θ, based on our prior knowledge of θ and the data collected, x1; : : : ; xn . Our prior knowledge is encapsulated by the probability distribution on θ; π(θ). The data that has been collected is combined with our prior through the likelihood function, L(θ x ; : : : ; x ) . The j 1 n normalized product of these two components yields a probability distribution of θ conditional on the data. This distribution, g(θ x ; : : : ; x ) , is known as the posterior distribution of θ. Bayes' j 1 n theorem is easily extended to cases where is θ multivariate, a vector of parameters. -
An Introduction to Markov Chain Monte Carlo Methods and Their Actuarial Applications
AN INTRODUCTION TO MARKOV CHAIN MONTE CARLO METHODS AND THEIR ACTUARIAL APPLICATIONS DAVID P. M. SCOLLNIK Department of Mathematics and Statistics University of Calgary Abstract This paper introduces the readers of the Proceed- ings to an important class of computer based simula- tion techniques known as Markov chain Monte Carlo (MCMC) methods. General properties characterizing these methods will be discussed, but the main empha- sis will be placed on one MCMC method known as the Gibbs sampler. The Gibbs sampler permits one to simu- late realizations from complicated stochastic models in high dimensions by making use of the model’s associated full conditional distributions, which will generally have a much simpler and more manageable form. In its most extreme version, the Gibbs sampler reduces the analy- sis of a complicated multivariate stochastic model to the consideration of that model’s associated univariate full conditional distributions. In this paper, the Gibbs sampler will be illustrated with four examples. The first three of these examples serve as rather elementary yet instructive applications of the Gibbs sampler. The fourth example describes a reasonably sophisticated application of the Gibbs sam- pler in the important arena of credibility for classifica- tion ratemaking via hierarchical models, and involves the Bayesian prediction of frequency counts in workers compensation insurance. 114 AN INTRODUCTION TO MARKOV CHAIN MONTE CARLO METHODS 115 1. INTRODUCTION The purpose of this paper is to acquaint the readership of the Proceedings with a class of simulation techniques known as Markov chain Monte Carlo (MCMC) methods. These methods permit a practitioner to simulate a dependent sequence of ran- dom draws from very complicated stochastic models. -
Accelerating Bayesian Inference on Structured Graphs Using Parallel Gibbs Sampling
Accelerating Bayesian Inference on Structured Graphs Using Parallel Gibbs Sampling Glenn G. Ko∗, Yuji Chai∗, Rob A. Rutenbary, David Brooks∗, Gu-Yeon Wei∗ ∗Harvard University, Cambridge, USA yUniversity of Pittsburgh, Pittsburgh, USA [email protected], [email protected], [email protected], fdbrooks, [email protected] Abstract—Bayesian models and inference is a class of machine with substantial uncertainty and noise is normally reserved for learning that is useful for solving problems where the amount Bayesian models and inference. of data is scarce and prior knowledge about the application Bayesian models pose challenges that are different from allows you to draw better conclusions. However, Bayesian models often requires computing high-dimensional integrals and finding deep learning. They tend to have more complex structure, the posterior distribution can be intractable. One of the most that may be hierarchical with dependencies between different commonly used approximate methods for Bayesian inference distributions Without an easily-defined common computational is Gibbs sampling, which is a Markov chain Monte Carlo kernel and hardware accelerators like GPU and TPU [5], and (MCMC) technique to estimate target stationary distribution. software frameworks such as Tensorflow [6] and PyTorch [7], The idea in Gibbs sampling is to generate posterior samples by iterating through each of the variables to sample from its it is hard to build and run models fast and efficiently. This conditional given all the other variables fixed. While Gibbs work explores hardware accelerators for Bayesian models and sampling is a popular method for probabilistic graphical models inference which has growing interest and demand. such as Markov Random Field (MRF), the plain algorithm is Probabilistic graphical models are Bayesian models described slow as it goes through each of the variables sequentially. -
Gibbs Sampling, Exponential Families and Orthogonal Polynomials
Statistical Science 2008, Vol. 23, No. 2, 151–178 DOI: 10.1214/07-STS252 c Institute of Mathematical Statistics, 2008 Gibbs Sampling, Exponential Families and Orthogonal Polynomials1 Persi Diaconis, Kshitij Khare and Laurent Saloff-Coste Abstract. We give families of examples where sharp rates of conver- gence to stationarity of the widely used Gibbs sampler are available. The examples involve standard exponential families and their conjugate priors. In each case, the transition operator is explicitly diagonalizable with classical orthogonal polynomials as eigenfunctions. Key words and phrases: Gibbs sampler, running time analyses, expo- nential families, conjugate priors, location families, orthogonal polyno- mials, singular value decomposition. 1. INTRODUCTION which has f as stationary density under mild con- ditions discussed in [4, 102]. The Gibbs sampler, also known as Glauber dy- The algorithm was introduced in 1963 by Glauber namics or the heat-bath algorithm, is a mainstay of [49] to do simulations for Ising models, and inde- scientific computing. It provides a way to draw sam- pendently by Turcin [103]. It is still a standard tool ples from a multivariate probability density f(x1,x2, of statistical physics, both for practical simulation ...,xp), perhaps only known up to a normalizing (e.g., [88]) and as a natural dynamics (e.g., [10]). constant, by a sequence of one-dimensional sampling The basic Dobrushin uniqueness theorem showing problems. From (X1,...,Xp) proceed to (X1′ , X2,..., existence of Gibbs measures was proved based on Xp), then (X1′ , X2′ , X3,...,Xp),..., (X1′ , X2′ ,...,Xp′ ) this dynamics (e.g., [54]). It was introduced as a where at the ith stage, the coordinate is sampled base for image analysis by Geman and Geman [46]. -
A Review of Bayesian Optimization
Taking the Human Out of the Loop: A Review of Bayesian Optimization The Harvard community has made this article openly available. Please share how this access benefits you. Your story matters Citation Shahriari, Bobak, Kevin Swersky, Ziyu Wang, Ryan P. Adams, and Nando de Freitas. 2016. “Taking the Human Out of the Loop: A Review of Bayesian Optimization.” Proc. IEEE 104 (1) (January): 148– 175. doi:10.1109/jproc.2015.2494218. Published Version doi:10.1109/JPROC.2015.2494218 Citable link http://nrs.harvard.edu/urn-3:HUL.InstRepos:27769882 Terms of Use This article was downloaded from Harvard University’s DASH repository, and is made available under the terms and conditions applicable to Open Access Policy Articles, as set forth at http:// nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of- use#OAP 1 Taking the Human Out of the Loop: A Review of Bayesian Optimization Bobak Shahriari, Kevin Swersky, Ziyu Wang, Ryan P. Adams and Nando de Freitas Abstract—Big data applications are typically associated with and the analytics company that sits between them. The analyt- systems involving large numbers of users, massive complex ics company must develop procedures to automatically design software systems, and large-scale heterogeneous computing and game variants across millions of users; the objective is to storage architectures. The construction of such systems involves many distributed design choices. The end products (e.g., rec- enhance user experience and maximize the content provider’s ommendation systems, medical analysis tools, real-time game revenue. engines, speech recognizers) thus involves many tunable config- The preceding examples highlight the importance of au- uration parameters. -
Gibbs Sampling
4 Modern Model Estimation Part 1: Gibbs Sampling The estimation of a Bayesian model is the most difficult part of undertaking a Bayesian analysis. Given that researchers may use different priors for any particular model, estimation must be tailored to the specific model under consideration. Classical analyses, on the other hand, often involve the use of standard likelihood functions, and hence, once an estimation routine is developed, it can be used again and again. The trade-off for the additional work required for a Bayesian analysis is that (1) a more appropriate model for the data can be constructed than extant software may allow, (2) more measures of model fit and outlier/influential case diagnostics can be produced, and (3) more information is generally available to summarize knowledge about model parameters than a classical analysis based on maximum likelihood (ML) estimation provides. Along these same lines, additional measures may be constructed to test hypotheses concerning parameters not directly estimated in the model. In this chapter, I first discuss the goal of model estimation in the Bayesian paradigm and contrast it with that of maximum likelihood estimation. Then, I discuss modern simulation/sampling methods used by Bayesian statisticians to perform analyses, including Gibbs sampling. In the next chapter, I discuss the Metropolis-Hastings algorithm as an alternative to Gibbs sampling. 4.1 What Bayesians want and why As the discussion of ML estimation in Chapter 2 showed, the ML approach finds the parameter values that maximize the likelihood function for the ob- served data and then produces point estimates of the standard errors of these estimates. -
Differentially Private Bayesian Inference for Exponential Families
Differentially Private Bayesian Inference for Exponential Families Garrett Bernstein College of Information and Computer Sciences University of Massachusetts Amherst Amherst, MA 01002 [email protected] Daniel Sheldon College of Information and Computer Sciences University of Massachusetts Amherst Amherst, MA 01002 [email protected] Abstract The study of private inference has been sparked by growing concern regarding the analysis of data when it stems from sensitive sources. We present the first method for private Bayesian inference in exponential families that properly accounts for noise introduced by the privacy mechanism. It is efficient because it works only with sufficient statistics and not individual data. Unlike other methods, it gives properly calibrated posterior beliefs in the non-asymptotic data regime. 1 Introduction Differential privacy is the dominant standard for privacy [1]. A randomized algorithm that satisfies differential privacy offers protection to individuals by guaranteeing that its output is insensitive to changes caused by the data of any single individual entering or leaving the data set. An algorithm can be made differentially private by applying one of several general-purpose mechanisms to randomize the computation in an appropriate way, for example, by adding noise calibrated to the sensitivity of the quantity being computed, where sensitivity captures how much the quantity depends on any individual’s data [1]. Due to the obvious importance of protecting individual privacy while drawing population level inferences from data, differentially private algorithms have been developed for a broad range of machine learning tasks [2–9]. There is a growing interest in private methods for Bayesian inference [10–14].