Optimal Approximate Sampling from Discrete Probability Distributions

This paper addresses a fundamental problem in random variate generation: given access to a random source that emits a stream of independent fair bits, what is the most accurate and entropy-efficient algorithm for sampling from a discrete probability distribution $(p_1, \dots, p_n)$, where the probabilities of the output distribution $(\hat{p}_1, \dots, \hat{p}_n)$ of the sampling algorithm must be specified using at most $k$ bits of precision? We present a theoretical framework for formulating this problem and provide new techniques for finding sampling algorithms that are optimal both statistically (in the sense of sampling accuracy) and information-theoretically (in the sense of entropy consumption). We leverage these results to build a system that, for a broad family of measures of statistical accuracy, delivers a sampling algorithm whose expected entropy usage is minimal among those that induce the same distribution (i.e., is "entropy-optimal") and whose output distribution $(\hat{p}_1, \dots, \hat{p}_n)$ is a closest approximation to the target distribution $(p_1, \dots, p_n)$ among all entropy-optimal sampling algorithms that operate within the specified $k$-bit precision. This optimal approximate sampler is also a closer approximation than any (possibly entropy-suboptimal) sampler that consumes a bounded amount of entropy with the specified precision, a class which includes floating-point implementations of inversion sampling and related methods found in many software libraries. We evaluate the accuracy, entropy consumption, precision requirements, and wall-clock runtime of our optimal approximate sampling algorithms on a broad set of distributions, demonstrating the ways that they are superior to existing approximate samplers and establishing that they often consume significantly fewer resources than are needed by exact samplers

Estimation in hidden Markov models via efficient importance sampling

Given a sequence of observations from a discrete-time, finite-state hidden Markov model, we would like to estimate the sampling distribution of a statistic. The bootstrap method is employed to approximate the confidence regions of a multi-dimensional parameter. We propose an importance sampling formula for efficient simulation in this context. Our approach consists of constructing a locally asymptotically normal (LAN) family of probability distributions around the default resampling rule and then minimizing the asymptotic variance within the LAN family. The solution of this minimization problem characterizes the asymptotically optimal resampling scheme, which is given by a tilting formula. The implementation of the tilting formula is facilitated by solving a Poisson equation. A few numerical examples are given to demonstrate the efficiency of the proposed importance sampling scheme.Comment: Published at http://dx.doi.org/10.3150/07--BEJ5163 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Perseus: Randomized Point-based Value Iteration for POMDPs

Partially observable Markov decision processes (POMDPs) form an attractive and principled framework for agent planning under uncertainty. Point-based approximate techniques for POMDPs compute a policy based on a finite set of points collected in advance from the agents belief space. We present a randomized point-based value iteration algorithm called Perseus. The algorithm performs approximate value backup stages, ensuring that in each backup stage the value of each point in the belief set is improved; the key observation is that a single backup may improve the value of many belief points. Contrary to other point-based methods, Perseus backs up only a (randomly selected) subset of points in the belief set, sufficient for improving the value of each belief point in the set. We show how the same idea can be extended to dealing with continuous action spaces. Experimental results show the potential of Perseus in large scale POMDP problems

Approximation Algorithms for Distributionally Robust Stochastic Optimization with Black-Box Distributions

Two-stage stochastic optimization is a framework for modeling uncertainty, where we have a probability distribution over possible realizations of the data, called scenarios, and decisions are taken in two stages: we make first-stage decisions knowing only the underlying distribution and before a scenario is realized, and may take additional second-stage recourse actions after a scenario is realized. The goal is typically to minimize the total expected cost. A criticism of this model is that the underlying probability distribution is itself often imprecise! To address this, a versatile approach that has been proposed is the {\em distributionally robust 2-stage model}: given a collection of probability distributions, our goal now is to minimize the maximum expected total cost with respect to a distribution in this collection. We provide a framework for designing approximation algorithms in such settings when the collection is a ball around a central distribution and the central distribution is accessed {\em only via a sampling black box}. We first show that one can utilize the {\em sample average approximation} (SAA) method to reduce the problem to the case where the central distribution has {\em polynomial-size} support. We then show how to approximately solve a fractional relaxation of the SAA (i.e., polynomial-scenario central-distribution) problem. By complementing this via LP-rounding algorithms that provide {\em local} (i.e., per-scenario) approximation guarantees, we obtain the {\em first} approximation algorithms for the distributionally robust versions of a variety of discrete-optimization problems including set cover, vertex cover, edge cover, facility location, and Steiner tree, with guarantees that are, except for set cover, within $O(1)$-factors of the guarantees known for the deterministic version of the problem

Monte Carlo Bayesian Reinforcement Learning

Bayesian reinforcement learning (BRL) encodes prior knowledge of the world in a model and represents uncertainty in model parameters by maintaining a probability distribution over them. This paper presents Monte Carlo BRL (MC-BRL), a simple and general approach to BRL. MC-BRL samples a priori a finite set of hypotheses for the model parameter values and forms a discrete partially observable Markov decision process (POMDP) whose state space is a cross product of the state space for the reinforcement learning task and the sampled model parameter space. The POMDP does not require conjugate distributions for belief representation, as earlier works do, and can be solved relatively easily with point-based approximation algorithms. MC-BRL naturally handles both fully and partially observable worlds. Theoretical and experimental results show that the discrete POMDP approximates the underlying BRL task well with guaranteed performance.Comment: Appears in Proceedings of the 29th International Conference on Machine Learning (ICML 2012