maximium cmc
DESCRIPTION
Bayes recursion method, Maximium LikelihoodTRANSCRIPT
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Bayesian Techniques for Parameter Estimation
“He has Van Gogh’s ear for music,” Billy Wilder
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Statistical Inference
Goal: The goal in statistical inference is to make conclusions about aphenomenon based on observed data.
Frequentist: Observations made in the past are analyzed with a specifiedmodel. Result is regarded as confidence about state of real world.
• Probabilities defined as frequencies with which an event occurs ifexperiment is repeated several times.
• Parameter Estimation:
o Relies on estimators derived from different data sets and a specificsampling distribution.
o Parameters may be unknown but are fixed
Bayesian: Interpretation of probability is subjective and can be updated withnew data.
• Parameter Estimation: Parameters described as density
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Bayesian Inference
Framework:
• Prior Distribution: Quantifies prior knowledge of parameter values.
• Likelihood: Probability of observing a data if we have a certain set ofparameter values.
• Posterior Distribution: Conditional probability distribution of unknownparameters given observed data.
Joint PDF: Quantifies all combination of data and observations
Bayes’ Relation: Specifies posterior in terms of likelihood, prior, andnormalization constant
Problem: Evaluation of normalization constant typically requires highdimensional integration.
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Bayesian Inference
Uninformative Prior: No a priori information parameters
Informative Prior: Use conjugate priors; prior and posterior from samedistribution
Evaluation Strategies:
• Analytic integration --- Rare
• Classical quadrature; e.g., p = 2
• Monte Carlo quadrature Techniques
• Markov Chains
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Bayesian Inference
Example:
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Bayesian Inference
Example:
1 Head, 0 Tails 5 Heads, 9 Tails 49 Heads, 51 Tails
Note:
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Bayesian Inference
Example: Now consider
Note: Poor informative prior incorrectly influences results for a long time.
50 Heads, 50 Tails5 Heads, 5 Tails
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Likelihood:
Assumption:
Note:
Parameter Estimation Problem
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Parameter Estimation: Example
Example: Consider the spring model
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Parameter Estimation: Example
Ordinary Least Squares: Here
Sample Distribution
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Parameter Estimation: Example
Bayesian Inference: The likelihood is
Strategy: Create Markov chain usingrandom sampling so that created chainhas the posterior distribution as itslimiting (stationary) distribution.
Posterior Distribution:
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Markov Chains
Definition:
Note: A Markov chain is characterized by three components: a state space, aninitial distribution, and a transition kernel.
State Space:
Initial Distribution: (Mass)
Transition Probability: (Markov Kernel)
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Markov Chains
Example:
Chapman-Kolmogorov Equations:
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Markov Chains: Limiting Distribution
Example: Raleigh weather -- Tomorrow’s weather conditioned on today’sweather
rain sun
Question:
Definition: This is the limiting distribution (invariant measure)
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Markov Chains: Limiting Distribution
Example: Raleigh weather
rain sunSolve
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Irreducible Markov Chains
Irreducible:
Reducible Markov Chain:
p1 p2
Note: Limiting distribution notunique if chain is reducible.
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Periodic Markov Chains
Example:
Periodicity: A Markov chain is periodic if parts of the state space are visited atregular intervals. The period k is defined as
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Periodic Markov Chains
Example:
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Stationary Distribution
Theorem: A finite, homogeneous Markov chain that is irreducible and aperiodichas a unique stationary distribution and the .chain will converge in the sense ofdistributions from any initial distribution .
Recurrence (Persistence):
Example: State 3 is transient
Ergodicity: A state is termed ergodic if it is aperiodic and recurrent. If all statesof an irreducible Markov chain are ergodic, the chain is said to be ergodic.
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Matrix Theory
Definition:
Lemma:
Example:
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Matrix Theory
Theorem (Perron-Frobenius):
Corollary 1:
Proposition:
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Stationary Distribution
Corollary:
Proof:
Convergence: Express
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Stationary Distribution
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Detailed Balance Conditions
Reversible Chains: A Markov chain determined by the transition matrixis reversible if there is a distribution that satisfies the detailed balanceconditions
Proof: We need to show that
Example:
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Markov Chain Monte Carlo Methods
Strategy: Markov chain simulation used when it is impossible, orcomputationally prohibitive, to sample directly from
Note:
• In Markov chain theory, we are given a Markov chain, P, and weconstruct its equilibrium distribution.
• In MCMC theory, we are “given” a distribution and we want to constructa Markov chain that is reversible with respect to it.
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Markov Chain Monte Carlo Methods
General Strategy:
Intuition: Recall that
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Markov Chain Monte Carlo MethodsIntuition:
Note: Narrower proposal distribution yields higher probability of acceptance.
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Metropolis Algorithm
Metropolis Algorithm: [Metropolis and Ulam, 1949]
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Metropolis-Hastings Algorithm
Metropolis-Hastings Algorithm:
Examples:
Note: Considered one of top 10 algorithms of 20th century
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Proposal Distribution
Proposal Distribution: Significantly affects mixing
• Too wide: Too many points rejected and chain stays still for long periods;
• Too narrow: Acceptance ratio is high but algorithm is slow to exploreparameter space
• Ideally, it should have similar “shape” to posterior (target) distribution.
• Anisotropic posterior,isotropic proposal;
• Efficiency nonuniform fordifferent parameters
Problem:Result:
• Recovers efficiency ofunivariate case
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Proposal Distribution and Acceptance Probability
Proposal Distribution: Two basic approaches
• Choose a fixed proposal function
o Independent Metropolis
• Random walk (local Metropolis)
o Two (of several) choices:
Acceptance Probability:
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Random Walk Metropolis Algorithm for Parameter Estimation
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Random Walk Metropolis Algorithm for Parameter Estimation
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Markov Chain Monte Carlo: Example
Example: Consider the spring model
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Markov Chain Monte Carlo: ExampleExample: Single parameter c
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Markov Chain Monte Carlo: Example
Example: Consider the spring model
Case i:
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Markov Chain Monte Carlo: Example
Case i:
Note:
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Markov Chain Monte Carlo: Example
Case i:
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Markov Chain Monte Carlo: Example
Example: SMA-driven bending actuator -- talk with John Crews
Model: Estimated Parameters:
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Markov Chain Monte Carlo: Example
Example: SMA-driven bending actuator -- talk with John Crews
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Markov Chain Monte Carlo: Example
Example: SMA-driven bending actuator -- talk with John Crews
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Markov Chain Monte Carlo: Example
Example: SMA-driven bending actuator -- talk with John Crews
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Transition Kernel and Detailed Balance Condition
Transition Kernel: Recall that
Detailed Balance Condition:
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Transition Kernel and Detailed Balance Condition
Detailed Balance Condition: Here
Note:
Transition Kernel: Definition
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Sampling Error Variance
Strategy: Treat error variance as parameter to be estimated.
Recall: Assumption that errors
are normally distributed yields
Goal: Determine posterior distribution
Strategy:
• Choose prior so that posterior is from same family --- termed conjugate prior.
• For normal distribution with unknown variance, conjugate prior is inverseGamma distribution which is equivalent to inverse
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Definition:
Sampling Error Variance
Strategy:
Note:
Note:
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Sampling Error Variance
Example: Consider the spring model
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Related TopicsNote: This is an active research area and there are a number of related topics
• Burn in and convergence
• Adaptive algorithms
• Population Monte Carlo methods
• Sequential Monte Carlo methods and particle filters
• Gaussian mixture models
• Development of metamodels, surrogates and emulators to improveimplementation speeds
References:• A. Solonen, “Monte Carlo Methods in Parameter Estimation of Nonlinear Models,”Masters Thesis, 2006.
• H. Haario, E. Saksman, J. Tamminen, “An adaptive Metropolis algorithm,” Bernoulli,7(2), pp. 223-242, 2001.
• C. Andrieu and J. Thomas, “A tutorial on adaptive MCMC,” Statistics andComputing, 18, pp. 343-373, 2008.
• M. Vihola, “Robust adaptive Metropolis algorithm with coerced acceptance rate,”arXiv:1011.4381v2.