Gibbs sampling
Suppose our target density is
\[
p(\theta_1, \theta_2|X),
\]
for two univariate parameters \(\theta_1\) and \(\theta_2\). As we have already seen in class, MCMC methods like the Gibbs sampling, will move iteratively through the plane, transitioning from point to point and producing a set of \(S\) samples
\[
[\theta^{(1)}_1, \theta^{(1)}_2], \dots, [\theta^{(S)}_1, \theta^{(S)}_2].
\]
When the target density is nicely behaved, the exploration of a Gibbs sampler is also “nice.” Regions of high density are visited with higher frequency than regions of lower density. All regions of the plane are both in theory and in practice accessible within a finite (and relatively small) number of transition steps. An example of a nice density on \(\mathbb{R}^2\) is a bivariate normal with a modest degree of dependence between its two components \(\theta_1, \theta_2\):
What’s an example of a “not nice” density for moving through the plane with Gibbs transition steps? Let’s look at an example of a bivariate density that would likely give the Gibbs sampler some trouble:
The problem here is that there are regions with very high density (the red peaks in the middle) right next to regions of very low density. It will take many transition steps for the Markov Chain to reach the peaks, and will also take many transitions to get out of the neighborhood of the peaked regions once it moves near it.
While the asymptotic properties of the Markov chain still hold, the sticking behavior makes it difficult to get accurate posterior summaries without taking an infinite number of samples and waiting an infinitely long time for them. As with many other problems in statistics, this problem often gets worse as the number of dimensions in the parameter space increases.
Gibbs failure modes
Even less extreme examples than the one shown above will cause Gibbs samplers to explore the sample space more slowly than we’d like. Let’s look at a simpler case and write the code for our own Gibbs sampler. We will then compare it to Stan’s behavior on the same problem and discuss the benefits of using HMC.
Consider data generated from a bivariate normal distribution with mean parameter \(\boldsymbol{\theta} = (\theta_1, \theta_2)\) and known covariance matrix \(\Sigma\) and suppose we place independent normal priors on \(\theta_1, \theta_2\):
\[
\begin{aligned}
\boldsymbol{X}_1, \dots, \boldsymbol{X}_n &\sim N_2 \left(\boldsymbol{\theta}, \Sigma \right); \\
\theta_j &\sim N(0, 1)~~~~~~j=1,2.
\end{aligned}
\]
where each \(\boldsymbol{X}_i = (X_{i1},X_{i2})^T\). Suppose that the covariance matrix \(\Sigma\) is known and has the form
\[
\Sigma =
\left[\begin{array}{cc}
1 & \rho \\
\rho & 1
\end{array}\right],
\]
with known correlation parameter \(\rho\).
So far with the multivariate normal, we have derived the multivariate posterior density \(p(\boldsymbol{\theta} | \Sigma, \boldsymbol{X})\). However, for the purposes of this exercise, we will sample from the following univariate full conditional densities instead.
\[
p(\theta_1 | \boldsymbol{X}_1, \dots, \boldsymbol{X}_n, \rho, \theta_2) \\
p(\theta_2 | \boldsymbol{X}_1, \dots, \boldsymbol{X}_n, \rho, \theta_1).
\]
This way, we can explore a toy example of where Gibbs sampling faces issues, which provides an analogy to situations one might encounter in practice when direct sampling methods are not available.
Before building the Gibbs sampler to make inferences on \(\theta_1, \theta_2\), first answer these questions:
- What is the conditional density \(p(\theta_1 | \boldsymbol{X}_1, \dots, \boldsymbol{X}_n, \rho, \theta_2)\)?
- What is the conditional density \(p(\theta_2 | \boldsymbol{X}_1, \dots, \boldsymbol{X}_n, \rho, \theta_1)\)?
While you have derived similar conditional normal distributions a few times now, doing it yet again is very good practice!
Now that you have derived the full condition densities, write some code to implement a Gibbs sampler for this model.
Specifically, write a function called normal_gibbs_sampler that takes as arguments: (1) the number of samples desired (S), (2) an \(n \times 2\) matrix of data values (X), and (3) the given correlation parameter (rho).
Have this function return an \(S \times 2\) matrix of samples containing \([\theta^{(1)}_1, \theta^{(1)}_2], \dots, [\theta^{(S)}_1, \theta^{(S)}_2]\), your realizations from the joint posterior \(p(\boldsymbol{\theta} | \boldsymbol{X}_1, \dots, \boldsymbol{X}_n, \rho)\).
With the Gibbs sampling code in hand, let’s generate samples from the posterior distribution of \(\theta_1, \theta_2\) with \(\rho = 0.2\). We’ll do the same using Stan.
n <- 100
rho <- 0.2
X <- MASS::mvrnorm(n = n, mu = c(2, 4), Sigma = matrix(c(1, rho, rho, 1), nrow = 2))
Sigma_post <- matrix(((1-rho^2)/((n+1-rho^2)^2 - (n^2)*(rho^2)))*c(n+1-rho^2, n*rho, n*rho, n+1-rho^2), nrow = 2)
mu_post <- n*Sigma_post%*%matrix(c(1/(1-rho^2), -rho/(1-rho^2),
-rho/(1-rho^2), 1/(1-rho^2)),
nrow = 2)%*%colMeans(X)
norm_gibbs_samps <- normal_gibbs_sampler(600, X, rho)
#
true_post <- MASS::mvrnorm(n = 100000,
mu = mu_post,
Sigma = Sigma_post)
data.frame(norm_gibbs_samps) %>%
magrittr::set_colnames(c("theta_1", "theta_2")) %>%
dplyr::mutate(iter = 1:n()) %>%
dplyr::filter(iter > 100) %>%
dplyr::mutate(iter = 1:n()) %>%
ggplot2::ggplot() +
geom_density2d(data = data.frame(true_post) %>%
magrittr::set_colnames(c("true_1", "true_2")),
aes(x = true_1, y = true_2)) +
geom_path(aes(x = theta_1, y = theta_2, colour = iter), alpha = 0.2, size = 0.5) +
geom_point(aes(x = theta_1, y = theta_2, colour = iter), size = 0.5) +
scale_color_distiller(palette = "Spectral", name = "Iter") +
labs(x = expression(theta[1]), y = expression(theta[2])) +
xlim(c(mu_post[1] - 0.5, mu_post[1] + 0.5)) +
ylim(c(mu_post[2] - 0.5, mu_post[2] + 0.5))
#
stan_res <- rstan::stan("lab-07-hmc_norm_example.stan", data = list(X = X,
N = nrow(X),
Sigma = matrix(c(1, rho, rho, 1), nrow = 2)),
chains = 1, iter = 600, warmup = 100, verbose = F, refresh = 0) %>%
rstan::extract()
#
data.frame(stan_res$theta) %>%
magrittr::set_colnames(c("theta_1", "theta_2")) %>%
dplyr::mutate(iter = 1:n()) %>%
ggplot2::ggplot() +
geom_density2d(data = data.frame(true_post) %>%
magrittr::set_colnames(c("true_1", "true_2")),
aes(x = true_1, y = true_2)) +
geom_path(aes(x = theta_1, y = theta_2, colour = iter), alpha = 0.2, size = 0.5) +
geom_point(aes(x = theta_1, y = theta_2, colour = iter), size = 0.5) +
scale_color_distiller(palette = "Spectral", name = "Iter") +
labs(x = expression(theta[1]), y = expression(theta[2])) +
xlim(c(mu_post[1] - 0.5, mu_post[1] + 0.5)) +
ylim(c(mu_post[2] - 0.5, mu_post[2] + 0.5))
#
par(mfrow = c(1,2))
acf(norm_gibbs_samps[,1])
acf(norm_gibbs_samps[,2])
#
par(mfrow = c(1,2))
acf(stan_res$theta[,1])
acf(stan_res$theta[,2])
The Gibbs sampling results and the HMC results look pretty similar! What happens when \(\rho = 0.995\)?
n <- 100
rho <- 0.995
X <- MASS::mvrnorm(n = n, mu = c(2, 4), Sigma = matrix(c(1, rho, rho, 1), nrow = 2))
Sigma_post <- matrix(((1-rho^2)/((n+1-rho^2)^2 - (n^2)*(rho^2)))*c(n+1-rho^2, n*rho, n*rho, n+1-rho^2), nrow = 2)
mu_post <- n*Sigma_post%*%matrix(c(1/(1-rho^2), -rho/(1-rho^2),
-rho/(1-rho^2), 1/(1-rho^2)),
nrow = 2)%*%colMeans(X)
norm_gibbs_samps <- normal_gibbs_sampler(600, X, rho)
#
true_post <- MASS::mvrnorm(n = 100000,
mu = n*Sigma_post%*%(matrix(c(1/(1-rho^2), -rho/(1-rho^2),
-rho/(1-rho^2), 1/(1-rho^2)),
nrow = 2)%*%colMeans(X)),
Sigma = Sigma_post)
#
data.frame(norm_gibbs_samps) %>%
magrittr::set_colnames(c("theta_1", "theta_2")) %>%
dplyr::mutate(iter = 1:n()) %>%
dplyr::filter(iter > 100) %>%
dplyr::mutate(iter = 1:n()) %>%
ggplot2::ggplot() +
geom_density2d(data = data.frame(true_post) %>%
magrittr::set_colnames(c("true_1", "true_2")),
aes(x = true_1, y = true_2)) +
geom_path(aes(x = theta_1, y = theta_2, colour = iter), alpha = 0.2, size = 0.5) +
geom_point(aes(x = theta_1, y = theta_2, colour = iter), size = 0.5) +
scale_color_distiller(palette = "Spectral", name = "Iter") +
labs(x = expression(theta[1]), y = expression(theta[2])) +
xlim(c(mu_post[1] - 0.5, mu_post[1] + 0.5)) +
ylim(c(mu_post[2] - 0.5, mu_post[2] + 0.5))
#
stan_res <- rstan::stan("lab-07-hmc_norm_example.stan", data = list(X = X,
N = nrow(X),
Sigma = matrix(c(1, rho, rho, 1), nrow = 2)),
chains = 1, iter = 600, warmup = 100, verbose = F, refresh = 0) %>%
rstan::extract()
data.frame(stan_res$theta) %>%
magrittr::set_colnames(c("theta_1", "theta_2")) %>%
dplyr::mutate(iter = 1:n()) %>%
ggplot2::ggplot() +
geom_density2d(data = data.frame(true_post) %>%
magrittr::set_colnames(c("true_1", "true_2")),
aes(x = true_1, y = true_2)) +
geom_path(aes(x = theta_1, y = theta_2, colour = iter), alpha = 0.2, size = 0.5) +
geom_point(aes(x = theta_1, y = theta_2, colour = iter), size = 0.5) +
scale_color_distiller(palette = "Spectral", name = "Iter") +
labs(x = expression(theta[1]), y = expression(theta[2])) +
xlim(c(mu_post[1] - 0.5, mu_post[1] + 0.5)) +
ylim(c(mu_post[2] - 0.5, mu_post[2] + 0.5))
#
par(mfrow = c(1,2))
acf(norm_gibbs_samps[,1])
acf(norm_gibbs_samps[,2])
#
par(mfrow = c(1,2))
acf(stan_res$theta[,1])
acf(stan_res$theta[,2])
Please answer these questions:
- How do the results of the Gibbs sampler differ from those obtained from HMC?
- Why do the samples from the Gibbs sampler exhibit this behavior?
Hamiltonian Monte Carlo (HMC)
To learn the ins and outs of HMC, please read Michael Betancourt’s A Conceptual Introduction to Hamiltonian Monte Carlo. For now, we will limit ourselves to a few key details:
1. HMC encourages better Markov Transitions
Hamiltonian Monte Carlo methods are like other MCMC methods in that they create Markov Chains that converge to the target distribution. The difference lies in how transitions from state to state are chosen. HMC creates transitions that efficiently explore the parameter space by using concepts from Hamiltonian mechanics.
2. Hamilton’s equations and “phase space”
In Hamiltonian mechanics, a physical system is completely specified by positions (\(\mathbf{q}\)) and momenta (\(\mathbf{p}\)). A space defined by these coortinates is called “phase space.” If the parameters of interest in a typical MCMC method are denoted as \(q_1, \dots, q_K\), then HMC introduces auxiliary “momentum” parameters \(p_1, \dots, p_K\) such that the algorithm produces draws from the joint density:
\[
\pi(\mathbf{q}, \mathbf{p}) = \pi (\mathbf{p} | \mathbf{q}) \pi(\mathbf{q})
\]
Note that if we marginalize over the \(p_k\)’s, we recover the marginal distribution of the \(q_k\)’s. Therefore, if we create a Markov Chain that converges to \(\pi(\mathbf{q}, \mathbf{p})\), we have immediate access to samples from \(\pi(\mathbf{q})\), which is our target distribution.
At each iteration of the sampling algorithm, HMC implementations make draws from some distribution \(\pi(\mathbf{p} | \mathbf{q})\) (often it is actually independent of \(\mathbf{q}\); the choice of momentum distribution is important but not discussed here) and then evolve the system \((\mathbf{p}, \mathbf{q})\) to obtain the next sample of \(\mathbf{q}\). What does that mean?
Hamilton’s equations describe the time evolution of the system in terms of the Hamiltonian, \(\mathcal{H}\), which usually corresponds to the total energy of the system:
\[
\begin{align}
\frac{d \mathbf{p}}{dt} &= - \frac{\partial \mathcal{H}}{\partial \mathbf{q}} = -\frac{\partial K}{\partial \mathbf{q}} - \frac{\partial V}{\partial \mathbf{q}} \\
\frac{d \mathbf{q}}{dt} &= +\frac{\partial \mathcal{H}}{\partial \mathbf{p}} = +\frac{\partial K}{\partial \mathbf{p}} \\\\
\mathcal{H}(\mathbf{p},\mathbf{q}) &= K(\mathbf{p}, \mathbf{q}) + V(\mathbf{q})
\end{align}
\]
Here \(K(\mathbf{p}, \mathbf{q})\) represents the kinetic energy of the system and \(V(\mathbf{q})\) represents the potential energy of the system. HMC samplers set the kinetic energy component equal to the negative logarithm of the momentum distribution, and set the potential energy component equal to the negative logarithm of distribution over the target parameters.
To “evolve the system” is to move \((\mathbf{p}, \mathbf{q})\) forward in “time,” i.e. to change the values of \((\mathbf{p}, \mathbf{q})\) according to Hamilton’s differential equations. If one stares long enough, one can see that the first equation corresponds to saying:
“The differential change in momentum parameters over time is governed in part by the differential information of the density over the target parameters.”
In some sense, moving \((\mathbf{p}, \mathbf{q})\) forward in time according to Hamilton’s equations changes the parameters in a way that is “guided” by the gradient of the target distribution.
3. So what does Stan do?
Stan uses HMC sampling. So under the hood, it is
- Sampling parameters \(\mathbf{p}_t, \mathbf{q}_t\).
- Evolving \(\mathbf{p}_{t}, \mathbf{q}_t\) forward in time according to Hamilton’s equations to obtain \(\mathbf{p}_{t+1}, \mathbf{q}_{t+1}\).
- Repeating.
There are many more details to HMC, but this is the gist.