class: center, middle, inverse, title-slide # STA 360/602L: Module 7.1 ## The Metropolis algorithm ### Dr. Olanrewaju Michael Akande --- ## Introduction - As a refresher, suppose `\(y = (y_1,\ldots,y_n)\)` and each `\(y_i \sim p(y | \theta)\)`. Suppose we specify a prior `\(\pi(\theta)\)` on `\(\theta\)`. -- - Then as usual, we are interested in .block[ .small[ `$$\pi(\theta | y) = \frac{\pi(\theta)p(y,|\theta)}{\mathcal{p}(y)}.$$` ] ] -- - As we already know, it is often difficult to compute `\(\mathcal{p}(y)\)`. -- - Using the Monte Carlo method or Gibbs sampler, we have seen that we don't need to know `\(p(y)\)`. -- - As long as we have conjugate and semi-conjugate priors, we can generate samples directly from `\(\pi(\theta | y)\)`. -- - What happens if we cannot sample directly from `\(\pi(\theta | y)\)`? --- ## Motivating example - To motivate our discussions on the Metropolis algorithm, let's explore a simple example. -- - Suppose we wish to sample from the following density .block[ $$ `\begin{split} \pi(\theta | y) \propto \text{exp}^{-\dfrac{1}{2}\theta^2} + \dfrac{1}{2} \text{exp}^{-\dfrac{1}{2}(\theta-3)^2} \end{split}` $$ ] -- - This is a _mixture of two normal densities_, one with mode near 0 and the other with mode near 3. -- - _**Note**: we will cover finite mixture models properly soon_. -- - Anyway, let's use this density to explore the main ideas behind the Metropolis sampler. -- - <div class="question"> By the way, as you will see, we don't actually need to know the normalizing constant for Metropolis sampling but for this example, find it for practice! </div> --- ## Motivating example - Let's take a look at the (normalized) density: <img src="7-1-metropolis-I_files/figure-html/unnamed-chunk-2-1.png" style="display: block; margin: auto;" /> -- - There are other ways of sampling from this density, but let's focus specifically on the Metropolis algorithm here. --- ## Metropolis algorithm - From a sampling perspective, we need to have a large group of values, `\(\theta^{(1)}, \ldots, \theta^{(S)}\)` from `\(\pi(\theta | y)\)` whose empirical distribution approximates `\(\pi(\theta | y)\)`. -- - That means that for any two values `\(a\)` and `\(b\)`, we want .block[ .small[ `$$\dfrac{\# \theta^{(s)} = a}{S} \div \dfrac{\# \theta^{(s)} = b}{S} = \dfrac{\# \theta^{(s)} = a}{S} \times \dfrac{S}{\# \theta^{(s)} = b} = \dfrac{\# \theta^{(s)} = a}{\# \theta^{(s)} = b} \approx \dfrac{\pi(\theta = a | y)}{\pi(\theta = b | y)}$$` ] ] -- - Basically, we want to make sure that if `\(a\)` and `\(b\)` are plausible values in `\(\pi(\theta | y)\)`, the ratio of the number of the `\(\theta^{(1)}, \ldots, \theta^{(S)}\)` values equal to them properly approximates `\(\dfrac{\pi(\theta = a | y)}{\pi(\theta = b | y)}\)`. -- - How might we construct a group like this? --- ## Metropolis algorithm - Suppose we have a working group `\(\theta^{(1)}, \ldots, \theta^{(s)}\)` at iteration `\(s\)`, and need to add a new value `\(\theta^{(s+1)}\)`. -- - Consider a candidate value `\(\theta^\star\)` that is close to `\(\theta^{(s)}\)` _(we will get to how to generate the candidate value in a minute)_. Should we set `\(\theta^{(s+1)} = \theta^\star\)` or not? -- - Well, we should probably compute `\(\pi(\theta^\star | y)\)` and see if `\(\pi(\theta^\star | y) > \pi(\theta^{(s)} | y)\)`. Equivalently, look at `\(r = \dfrac{\pi(\theta^\star | y)}{\pi(\theta^{(s)} | y)}\)`. -- - By the way, notice that .block[ .small[ $$ `\begin{split} r & = \dfrac{\pi(\theta^\star | y)}{\pi(\theta^{(s)} | y)} = \dfrac{p(y | \theta^\star) \pi(\theta^\star)}{p(y)} \div \dfrac{p(y | \theta^{(s)}) \pi(\theta^{(s)})}{p(y)}\\ \\ & = \dfrac{p(y | \theta^\star) \pi(\theta^\star)}{p(y)} \times \dfrac{p(y)}{p(y | \theta^{(s)}) \pi(\theta^{(s)})} = \dfrac{p(y | \theta^\star) \pi(\theta^\star)}{p(y | \theta^{(s)}) \pi(\theta^{(s)})}, \end{split}` $$ ] ] which does not depend on the marginal likelihood we don't know! --- ## Metropolis algorithm - If `\(r > 1\)` + Intuition: `\(\theta^{(s)}\)` is already a part of the density we desire and the density at `\(\theta^\star\)` is even higher than the density at `\(\theta^{(s)}\)`. + Action: set `\(\theta^{(s+1)} = \theta^\star\)` -- - If `\(r < 1\)`, + Intuition: relative frequency of values on our group `\(\theta^{(1)}, \ldots, \theta^{(s)}\)` equal to `\(\theta^\star\)` should be `\(\approx r = \dfrac{\pi(\theta^\star | y)}{\pi(\theta^{(s)} | y)}\)`. For every `\(\theta^{(s)}\)`, include only a fraction of an instance of `\(\theta^\star\)`. + Action: set `\(\theta^{(s+1)} = \theta^\star\)` with probability `\(r\)` and `\(\theta^{(s+1)} = \theta^{(s)}\)` with probability `\(1-r\)`. --- ## Metropolis algorithm - This is the basic intuition behind the .hlight[Metropolis algorithm]. -- - Where should the proposed value `\(\theta^\star\)` come from? -- - Sample `\(\theta^\star\)` close to the current value `\(\theta^{(s)}\)` using a .hlight[symmetric proposal distribution] `\(g[\theta^\star | \theta^{(s)}]\)`. `\(g\)` is actually a "family of proposal distributions", indexed by the specific value of `\(\theta^{(s)}\)`. -- - Here, symmetric means that `\(g[\theta^\star | \theta^{(s)}] = g[\theta^{(s)} | \theta^\star]\)`. -- - The symmetric proposal is usually very simple with density concentrated near `\(\theta^{(s)}\)`, for example, `\(\mathcal{N}(\theta^\star; \theta^{(s)}, \delta^2)\)` or `\(\text{Unif}(\theta^\star; \theta^{(s)} - \delta, \theta^{(s)} + \delta)\)`. -- - After obtaining `\(\theta^\star\)`, either add it or add a copy of `\(\theta^{(s)}\)` to our current set of values, depending on the value of `\(r\)`. --- ## Metropolis algorithm - The algorithm proceeds as follows: 1. Given `\(\theta^{(1)}, \ldots, \theta^{(s)}\)`, generate a _candidate_ value `\(\theta^\star \sim g[\theta^\star | \theta^{(s)}]\)`. -- 2. Compute the acceptance ratio .block[ .small[ $$ `\begin{split} r & = \dfrac{\pi(\theta^\star | y)}{\pi(\theta^{(s)} | y)} = \dfrac{p(y | \theta^\star) \pi(\theta^\star)}{p(y | \theta^{(s)}) \pi(\theta^{(s)})}. \end{split}` $$ ] ] -- 3. Set .block[ .small[ `\begin{eqnarray*} \theta^{(s+1)} = \left\{ \begin{array}{ll} \theta^\star & \quad \text{with probability} \quad \text{min}(r,1) \\ \theta^{(s)} & \quad \text{with probability} \quad 1 - \text{min}(r,1) \\ \end{array} \right. \end{eqnarray*}` ] ] which can be accomplished by sampling `\(u \sim U(0,1)\)` independently and setting .block[ .small[ `\begin{eqnarray*} \theta^{(s+1)} = \left\{ \begin{array}{ll} \theta^\star & \quad \text{if} \quad u < r \\ \theta^{(s)} & \quad \text{if} \quad \text{otherwise} \\ \end{array} \right. . \end{eqnarray*}` ] ] --- ## Metropolis algorithm - Once we obtain the samples, then we are back to using Monte Carlo approximations for quantities of interest. -- - That is, we can again approximate posterior means, quantiles, and other quantities of interest using the empirical distribution of our sampled values. -- - _Some notes:_ + The Metropolis chain ALWAYS moves to the proposed `\(\theta^\star\)` at iteration `\(s+1\)` if `\(\theta^\star\)` has higher target density than the current `\(\theta^{(s)}\)`. -- + Sometimes, it also moves to a `\(\theta^\star\)` value with lower density in proportion to the density value itself. -- + This leads to a random, Markov process than naturally explores the space according to the probability defined by `\(\pi(\theta | y)\)`, and hence generates a sequence that, while dependent, eventually represents draws from `\(\pi(\theta | y)\)`. --- ## Metropolis algorithm: convergence - We will not cover the convergence theory behind Metropolis chains in detail, but below are a few notes for those interested: -- + The Markov process generated under this condition is .hlight[ergodic] and has a limiting distribution. -- + Here, think of ergodicity as meaning that the chain can move anywhere at each step, which is ensured, for example, if `\(g[\theta^\star | \theta^{(s)}] > 0\)` everywhere! -- + By construction, it turns out that the Metropolis chains are .hlight[reversible], so that convergence to `\(\pi(\theta | y)\)` is assured. -- + Think of reversibility as being equivalent to symmetry of the joint density of two consecutive `\(\theta^{(s)}\)` and `\(\theta^{(s+1)}\)` in the stationary process, which we do have by using a symmetric proposal distribution. -- - If you want to learn more about convergence of MCMC chains, consider taking one of the courses on stochastic processes, or Markov chain theory. --- ## Metropolis algorithm: tuning - Correlation between samples can be adjusted by selecting optimal `\(\delta\)` (i.e., spread of the distribution) in the proposal distribution -- - Decreasing correlation increases the effective sample size, increasing rate of convergence, and improving the Monte Carlo approximation to the posterior. -- - However, + `\(\delta\)` too small leads to `\(r \approx 1\)` for most proposed values, a high acceptance rate, but very small moves, leading to highly correlated chain. + `\(\delta\)` too large can get "stuck" at the posterior mode(s) because `\(\theta^\star\)` can get very far away from the mode, leading to a very low acceptance rate and again high correlation in the Markov chain. -- - Thus, good to implement several short runs of the algorithm varying `\(\delta\)` and settle on one that yields acceptance rate in the range of 25-50%. -- - Burn-in (and thinning) is even more important here! --- ## Metropolis in action Back to our example with .block[ $$ `\begin{split} \pi(\theta | y) \propto \text{exp}^{-\dfrac{1}{2}\theta^2} + \dfrac{1}{2} \text{exp}^{-\dfrac{1}{2}(\theta-3)^2} \end{split}` $$ ] <img src="7-1-metropolis-I_files/figure-html/unnamed-chunk-3-1.png" style="display: block; margin: auto;" /> --- class: center, middle # Move to the R script [here](https://sta-360-602l-su20.github.io/Course-Website/slides/Metropolis-I.R). --- class: center, middle # What's next? ### Move on to the readings for the next module!