N-fold way simulated tempering for pairwise interaction point processes

Pairwise interaction point processes with strong interaction are usually difficult to sample. We discuss how Besag lattice processes can be used in a simulated tempering MCMC scheme to help with the simulation of such processes. We show how the N-fold way algorithm can be used to sample the lattice processes efficiently and introduce the N-fold way algorithm into our simulated tempering scheme. To calibrate the simulated tempering scheme we use the Wang-Landau algorithm

Scalable iterative methods for sampling from massive Gaussian random vectors

Sampling from Gaussian Markov random fields (GMRFs), that is multivariate Gaussian ran- dom vectors that are parameterised by the inverse of their covariance matrix, is a fundamental problem in computational statistics. In this paper, we show how we can exploit arbitrarily accu- rate approximations to a GMRF to speed up Krylov subspace sampling methods. We also show that these methods can be used when computing the normalising constant of a large multivariate Gaussian distribution, which is needed for both any likelihood-based inference method. The method we derive is also applicable to other structured Gaussian random vectors and, in particu- lar, we show that when the precision matrix is a perturbation of a (block) circulant matrix, it is still possible to derive O(n log n) sampling schemes.Comment: 17 Pages, 4 Figure

Meta-analysis of functional neuroimaging data using Bayesian nonparametric binary regression

In this work we perform a meta-analysis of neuroimaging data, consisting of locations of peak activations identified in 162 separate studies on emotion. Neuroimaging meta-analyses are typically performed using kernel-based methods. However, these methods require the width of the kernel to be set a priori and to be constant across the brain. To address these issues, we propose a fully Bayesian nonparametric binary regression method to perform neuroimaging meta-analyses. In our method, each location (or voxel) has a probability of being a peak activation, and the corresponding probability function is based on a spatially adaptive Gaussian Markov random field (GMRF). We also include parameters in the model to robustify the procedure against miscoding of the voxel response. Posterior inference is implemented using efficient MCMC algorithms extended from those introduced in Holmes and Held [Bayesian Anal. 1 (2006) 145--168]. Our method allows the probability function to be locally adaptive with respect to the covariates, that is, to be smooth in one region of the covariate space and wiggly or even discontinuous in another. Posterior miscoding probabilities for each of the identified voxels can also be obtained, identifying voxels that may have been falsely classified as being activated. Simulation studies and application to the emotion neuroimaging data indicate that our method is superior to standard kernel-based methods.Comment: Published in at http://dx.doi.org/10.1214/11-AOAS523 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Construction of weakly CUD sequences for MCMC sampling

In Markov chain Monte Carlo (MCMC) sampling considerable thought goes into constructing random transitions. But those transitions are almost always driven by a simulated IID sequence. Recently it has been shown that replacing an IID sequence by a weakly completely uniformly distributed (WCUD) sequence leads to consistent estimation in finite state spaces. Unfortunately, few WCUD sequences are known. This paper gives general methods for proving that a sequence is WCUD, shows that some specific sequences are WCUD, and shows that certain operations on WCUD sequences yield new WCUD sequences. A numerical example on a 42 dimensional continuous Gibbs sampler found that some WCUD inputs sequences produced variance reductions ranging from tens to hundreds for posterior means of the parameters, compared to IID inputs.Comment: Published in at http://dx.doi.org/10.1214/07-EJS162 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics (http://www.imstat.org

Average-Case Complexity

We survey the average-case complexity of problems in NP. We discuss various notions of good-on-average algorithms, and present completeness results due to Impagliazzo and Levin. Such completeness results establish the fact that if a certain specific (but somewhat artificial) NP problem is easy-on-average with respect to the uniform distribution, then all problems in NP are easy-on-average with respect to all samplable distributions. Applying the theory to natural distributional problems remain an outstanding open question. We review some natural distributional problems whose average-case complexity is of particular interest and that do not yet fit into this theory. A major open question whether the existence of hard-on-average problems in NP can be based on the P$\neq$NP assumption or on related worst-case assumptions. We review negative results showing that certain proof techniques cannot prove such a result. While the relation between worst-case and average-case complexity for general NP problems remains open, there has been progress in understanding the relation between different ``degrees'' of average-case complexity. We discuss some of these ``hardness amplification'' results

Kinetic energy choice in Hamiltonian/hybrid Monte Carlo

We consider how different choices of kinetic energy in Hamiltonian Monte Carlo affect algorithm performance. To this end, we introduce two quantities which can be easily evaluated, the composite gradient and the implicit noise. Results are established on integrator stability and geometric convergence, and we show that choices of kinetic energy that result in heavy-tailed momentum distributions can exhibit an undesirable negligible moves property, which we define. A general efficiency-robustness trade off is outlined, and implementations which rely on approximate gradients are also discussed. Two numerical studies illustrate our theoretical findings, showing that the standard choice which results in a Gaussian momentum distribution is not always optimal in terms of either robustness or efficiency.Comment: 15 pages (+7 page supplement, included here as an appendix), 2 figures (+1 in supplement