Discussion of "EQUI-energy sampler" by Kou, Zhou and Wong

Discussion of ``EQUI-energy sampler'' by Kou, Zhou and Wong [math.ST/0507080]Comment: Published at http://dx.doi.org/10.1214/009053606000000506 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Metropolized Randomized Maximum Likelihood for sampling from multimodal distributions

This article describes a method for using optimization to derive efficient independent transition functions for Markov chain Monte Carlo simulations. Our interest is in sampling from a posterior density $\pi(x)$ for problems in which the dimension of the model space is large, $\pi(x)$ is multimodal with regions of low probability separating the modes, and evaluation of the likelihood is expensive. We restrict our attention to the special case for which the target density is the product of a multivariate Gaussian prior and a likelihood function for which the errors in observations are additive and Gaussian

Bayesian meta-analysis for identifying periodically expressed genes in fission yeast cell cycle

The effort to identify genes with periodic expression during the cell cycle from genome-wide microarray time series data has been ongoing for a decade. However, the lack of rigorous modeling of periodic expression as well as the lack of a comprehensive model for integrating information across genes and experiments has impaired the effort for the accurate identification of periodically expressed genes. To address the problem, we introduce a Bayesian model to integrate multiple independent microarray data sets from three recent genome-wide cell cycle studies on fission yeast. A hierarchical model was used for data integration. In order to facilitate an efficient Monte Carlo sampling from the joint posterior distribution, we develop a novel Metropolis--Hastings group move. A surprising finding from our integrated analysis is that more than 40% of the genes in fission yeast are significantly periodically expressed, greatly enhancing the reported 10--15% of the genes in the current literature. It calls for a reconsideration of the periodically expressed gene detection problem.Comment: Published in at http://dx.doi.org/10.1214/09-AOAS300 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Semi-independent resampling for particle filtering

Among Sequential Monte Carlo (SMC) methods,Sampling Importance Resampling (SIR) algorithms are based on Importance Sampling (IS) and on some resampling-based)rejuvenation algorithm which aims at fighting against weight degeneracy. However %whichever the resampling technique used this mechanism tends to be insufficient when applied to informative or high-dimensional models. In this paper we revisit the rejuvenation mechanism and propose a class of parameterized SIR-based solutions which enable to adjust the tradeoff between computational cost and statistical performances

Parallel resampling in the particle filter

Modern parallel computing devices, such as the graphics processing unit (GPU), have gained significant traction in scientific and statistical computing. They are particularly well-suited to data-parallel algorithms such as the particle filter, or more generally Sequential Monte Carlo (SMC), which are increasingly used in statistical inference. SMC methods carry a set of weighted particles through repeated propagation, weighting and resampling steps. The propagation and weighting steps are straightforward to parallelise, as they require only independent operations on each particle. The resampling step is more difficult, as standard schemes require a collective operation, such as a sum, across particle weights. Focusing on this resampling step, we analyse two alternative schemes that do not involve a collective operation (Metropolis and rejection resamplers), and compare them to standard schemes (multinomial, stratified and systematic resamplers). We find that, in certain circumstances, the alternative resamplers can perform significantly faster on a GPU, and to a lesser extent on a CPU, than the standard approaches. Moreover, in single precision, the standard approaches are numerically biased for upwards of hundreds of thousands of particles, while the alternatives are not. This is particularly important given greater single- than double-precision throughput on modern devices, and the consequent temptation to use single precision with a greater number of particles. Finally, we provide auxiliary functions useful for implementation, such as for the permutation of ancestry vectors to enable in-place propagation.Comment: 21 pages, 6 figure