MONTE CARLO METHODS Hedibert Freitas...

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A bit of history Monte Carlo methods MC integration MC via IS Rejection method SIR method Examples 3-component mixture 2-component mixture References MONTE CARLO METHODS Hedibert Freitas Lopes The University of Chicago Booth School of Business 5807 South Woodlawn Avenue, Chicago, IL 60637 http://faculty.chicagobooth.edu/hedibert.lopes [email protected] 1 / 40

Transcript of MONTE CARLO METHODS Hedibert Freitas...

Page 1: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

MONTE CARLO METHODS

Hedibert Freitas Lopes

The University of Chicago Booth School of Business5807 South Woodlawn Avenue, Chicago, IL 60637

http://faculty.chicagobooth.edu/hedibert.lopes

[email protected]

1 / 40

Page 2: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Outline

1 A bit of history

2 Monte Carlo methods

3 MC integration

4 MC via IS

5 Rejection method

6 SIR method

7 Examples3-component mixture2-component mixture

8 References

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Page 3: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

MC in the 40s and 50s

Stan Ulam soon realized that computers could be used in thisfashion to answer questions of neutron diffusion andmathematical physics;

He contacted John Von Neumann and they developed manyMonte Carlo algorithms (importance sampling, rejectionsampling, etc);

In the 1940s Nick Metropolis and Klari Von Neumann designednew controls for the state-of-the-art computer (ENIAC);

Metropolis and Ulam (1949) The Monte Carlo method. Journal of the American Statistical Association.Metropolis et al. (1953) Equations of state calculations by fast computing machines. Journal of ChemicalPhysics.

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Page 4: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Monte Carlo methods

We introduce several Monte Carlo (MC) methods forintegrating and/or sampling from nontrivial densities.

β€’ MC integrationβ€’ Simple MC integrationβ€’ MC integration via importance sampling (IS)

β€’ MC samplingβ€’ Rejection methodβ€’ Sampling importance resampling (SIR)

β€’ Iterative MC samplingβ€’ Metropolis-Hastings algorithmsβ€’ Simulated annealingβ€’ Gibbs sampler

Based on the book by Gamerman and Lopes (1996).

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Page 5: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

A few references

β€’ MC integration (Geweke, 1989)

β€’ Rejection methods (Gilks and Wild, 1992)

β€’ SIR (Smith and Gelfand, 1992)

β€’ Metropolis-Hastings algorithm (Hastings, 1970)

β€’ Simulated annealing (Metropolis et al., 1953)

β€’ Gibbs sampler (Gelfand and Smith, 1990)

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Page 6: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Two main tasks

1 Compute high dimensional integrals:

EΟ€[h(ΞΈ)] =

∫h(ΞΈ)Ο€(ΞΈ)dΞΈ

2 Obtain

a sample {ΞΈ1, . . . , ΞΈn} from Ο€(ΞΈ)

when only

a sample {ΞΈΜƒ1, . . . , ΞΈΜƒm} from q(ΞΈ)

is available.

q(ΞΈ) is known as the proposal/auxiliary density.

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Page 7: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Bayes via MCMC methods appear frequently, but not exclusively, in modernBayesian statistics.

Posterior and predictive densities are hard to sample from:

Posterior : Ο€(ΞΈ) =f (x |ΞΈ)p(ΞΈ)

f (x)

Predictive : f (x) =

∫f (x |θ)p(θ)dθ

Other important integrals and/or functionals of the posteriorand predictive densities are:

β€’ Posterior modes: maxΞΈ Ο€(ΞΈ);

β€’ Posterior moments: EΟ€[g(ΞΈ)];

β€’ Density estimation: Ο€Μ‚(g(ΞΈ));

β€’ Bayes factors: f (x |M0)/f (x |M1);

β€’ Decision: maxd

∫U(d , ΞΈ)Ο€(ΞΈ)dΞΈ.

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Page 8: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

MC integrationThe objective here is to compute moments

EΟ€[h(ΞΈ)] =

∫h(ΞΈ)Ο€(ΞΈ)dΞΈ

If ΞΈ1, . . . , ΞΈn is a random sample from Ο€(Β·) then

hΜ„mc =1

n

nβˆ‘i=1

h(ΞΈi )β†’ EΟ€[h(ΞΈ)] as nβ†’βˆž.

If, additionally, EΟ€[h2(ΞΈ)] <∞, then

VΟ€[hΜ„mc ] =1

n

∫{h(ΞΈ)βˆ’ EΟ€[h(ΞΈ)]}2Ο€(ΞΈ)dΞΈ

and

vmc =1

n2

nβˆ‘i=1

(h(ΞΈi )βˆ’ hΜ„mc)2 β†’ VΟ€[hΜ„mc ] as nβ†’βˆž.

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Page 9: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Example i.

The objective here is to compute1

p =

∫ 1

0[cos(50ΞΈ) + sin(20ΞΈ)]2dΞΈ

by noticing that the above integral can be rewritten as

EΟ€[h(ΞΈ)] =

∫h(ΞΈ)Ο€(ΞΈ)dΞΈ

where h(ΞΈ) = [cos(50ΞΈ) + sin(20ΞΈ)]2 and Ο€(ΞΈ) = 1 is thedensity of a U(0, 1). Therefore

pΜ‚ =1

n

nβˆ‘i=1

h(ΞΈi )

where ΞΈ1, . . . , ΞΈn are i.i.d. from U(0, 1).1True value is 0.965.

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Page 10: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

ΞΈΞΈ

h((ΞΈΞΈ))

0.0 0.2 0.4 0.6 0.8 1.0

01

23

4

●

●

●

●●

●●

● ●●

● ● ● ● ● ● ● ●● ● ● ● ● ● ● ● ●● ● ● ● ● ● ● ● ●● ● ● ● ● ● ● ● ●●

Sample size (log10)

p

0.0

0.4

0.8

1.2

1 2 3 4 5 6

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A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

MC via IS

The objective is still the same, ie to compute

EΟ€[h(ΞΈ)] =

∫h(ΞΈ)Ο€(ΞΈ)dΞΈ

by noticing that

EΟ€[h(ΞΈ)] =

∫h(ΞΈ)Ο€(ΞΈ)

q(ΞΈ)q(ΞΈ)dΞΈ

where q(Β·) is an importance function.

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Page 12: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

If ΞΈ1, . . . , ΞΈn is a random sample from q(Β·) then

β‡’ hΜ„is =1

n

nβˆ‘i=1

h(ΞΈi )Ο€(ΞΈi )

q(ΞΈi )β†’ EΟ€[h(ΞΈ)]

as nβ†’βˆž.

Ideally, q(Β·) should be

β€’ As close as possible to h(Β·)Ο€(Β·), and

β€’ Easy to sample from.

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Page 13: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Example ii.

The objective here is to estimate

p = Pr(ΞΈ > 2) =

∫ ∞2

1

Ο€(1 + ΞΈ2)dΞΈ = 0.1475836

where ΞΈ is a standard Cauchy random variable.

A natural MC estimator of p is

pΜ‚1 =1

n

nβˆ‘i=1

I{θi ∈ (2,∞)}

where θ1, . . . , θn ∼ Cauchy(0,1).

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Page 14: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

A more elaborated estimator based on a change of variablesfrom ΞΈ to u = 1/ΞΈ is

pΜ‚2 =1

n

nβˆ‘i=1

uβˆ’2i

2Ο€[1 + uβˆ’2i ]

where u1, . . . , un ∼ U(0, 1/2).

14 / 40

Page 15: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

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MC via IS

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Examples

3-componentmixture

2-componentmixture

References

The true value is p = 0.147584.

n pΜ‚1 pΜ‚2 v1/21 v

1/22

100 0.100000 0.1467304 0.030000 0.0010041000 0.137000 0.1475540 0.010873 0.00030510000 0.148500 0.1477151 0.003556 0.000098100000 0.149100 0.1475591 0.001126 0.0000311000000 0.147711 0.1475870 0.000355 0.000010

With only n = 1000 draws, pΜ‚2 has roughly the same precisionthat pΜ‚1, which is based on 1000n draws, ie. three orders ofmagnitude.

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Page 16: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Rejection method

The objective is to draw from a target density

Ο€(ΞΈ) = cππ̃(ΞΈ)

when only draws from an auxiliary density

q(θ) = cqq̃(θ)

is available, for normalizing constants cΟ€ and cq.

If there exist a constant A <∞ such that

0 ≀ Ο€Μƒ(ΞΈ)

AqΜƒ(ΞΈ)≀ 1 for all ΞΈ

then q(ΞΈ) becomes a blanketing density or an envelope and Athe envelope constant.

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Page 17: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

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MC via IS

Rejectionmethod

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Examples

3-componentmixture

2-componentmixture

References

Blanket distribution

βˆ’6 βˆ’4 βˆ’2 0 2 4 6

0.0

0.1

0.2

0.3

0.4

0.5

pi (target)q (proposal)Aq

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A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Bad draw

βˆ’6 βˆ’4 βˆ’2 0 2 4 6

0.0

0.1

0.2

0.3

0.4

0.5

pi (target)q (proposal)Aq

●

●pi/Aq=0.41

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A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Good draw

βˆ’6 βˆ’4 βˆ’2 0 2 4 6

0.0

0.1

0.2

0.3

0.4

0.5

pi (target)q (proposal)Aq

●

●pi/Aq=0.89

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A bit ofhistory

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MCintegration

MC via IS

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Examples

3-componentmixture

2-componentmixture

References

Acceptance probability

βˆ’6 βˆ’4 βˆ’2 0 2 4 6

0.0

0.2

0.4

0.6

0.8

ΞΈΞΈ

Acc

epta

nce

prob

abili

ty

20 / 40

Page 21: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

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Examples

3-componentmixture

2-componentmixture

References

Algorithm

Drawing from Ο€(ΞΈ).

1 Draw ΞΈβˆ— from q(Β·);

2 Draw u from U(0, 1);

3 Accept ΞΈβˆ— if u ≀ Ο€Μƒ(ΞΈβˆ—)AqΜƒ(ΞΈβˆ—) ;

4 Repeat 1, 2 and 3 until n draws are accepted.

Normalizing constants cΟ€ and cq are not needed.

The theoretical acceptance rate iscq

AcΟ€.

The smaller the A, the larger the acceptance rate.

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Page 22: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

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Examples

3-componentmixture

2-componentmixture

References

Example iii.

Enveloping the standard normal density

Ο€(ΞΈ) =1√2Ο€

exp{βˆ’0.5ΞΈ2}

by a Cauchy density qC (ΞΈ) = 1/(Ο€(1 + ΞΈ2)), or a uniformdensity qU(ΞΈ) = 0.05 for ΞΈ ∈ (βˆ’10, 10).

Bad proposal:The maximum of Ο€(ΞΈ)/qU(ΞΈ) is roughlyAU = 7.98 for ΞΈ ∈ (βˆ’10, 10). The theoretical acceptance rateis 12.53%.

Good proposal: The max of Ο€(ΞΈ)/qC (ΞΈ) is equal toAC =

√2Ο€/e β‰ˆ 1.53. The theoretical acceptance rate is

65.35%.

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A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

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Examples

3-componentmixture

2-componentmixture

References

UNIFORM PROPOSAL

βˆ’4 βˆ’2 0 2 4

0.0

0.1

0.2

0.3

0.4

CAUCHY PROPOSAL

βˆ’4 βˆ’2 0 2 4

0.0

0.1

0.2

0.3

0.4

Empirical rates: 0.1265 (Uniform) and 0.6483 (Cauchy)Theoretical rates: 0.1253 (Uniform) and 0.6535 (Cauchy)

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A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

SIR method

No need to rely on the existance of A!

Algorithm

1 Draw ΞΈβˆ—1, . . . , ΞΈβˆ—n from q(Β·)

2 Compute (unnormalized) weights

Ο‰i = Ο€(ΞΈβˆ—i )/q(ΞΈβˆ—i ) i = 1, . . . , n

3 Sample ΞΈ from {ΞΈβˆ—1, . . . , ΞΈβˆ—n} such that

Pr(ΞΈ = ΞΈβˆ—i ) ∝ Ο‰i i = 1, . . . , n.

4 Repeat m times step 3.

Rule of thumb: n/m = 20.Ideally, Ο‰i = 1/n and Var(Ο‰) = 0.

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A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

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Examples

3-componentmixture

2-componentmixture

References

Example iii. revisited

UNIFORM PROPOSAL

βˆ’4 βˆ’2 0 2 4

0.0

0.1

0.2

0.3

0.4

CAUCHY PROPOSAL

βˆ’4 βˆ’2 0 2 4

0.0

0.1

0.2

0.3

0.4

Fraction of redraws: 0.391 (Uniform) and 0.1335 (Cauchy)Variance of weights: 4.675 (Uniform) and 0.332 (Cauchy)

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A bit ofhistory

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MC via IS

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Examples

3-componentmixture

2-componentmixture

References

Example iv. 3-component mixture

Assume that we are interested in sampling from

Ο€(ΞΈ) = Ξ±1pN(ΞΈ;Β΅1,Ξ£1) + Ξ±2pN(ΞΈ;Β΅2,Ξ£2) + Ξ±3pN(ΞΈ;Β΅3,Ξ£3)

where pN(Β·;Β΅,Ξ£) is the density of a bivariate normaldistribution with mean vector Β΅ and covariance matrix Ξ£. Themean vectors are

Β΅1 = (1, 4)β€² Β΅2 = (4, 2)β€² Β΅3 = (6.5, 2),

the covariance matrices are

Ξ£1 =

(1.0 βˆ’0.9βˆ’0.9 1.0

)and Ξ£2 = Ξ£3 =

(1.0 βˆ’0.5βˆ’0.5 1.0

),

and weights Ξ±1 = Ξ±2 = Ξ±3 = 1/3.

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A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Target Ο€(ΞΈ)

ΞΈΞΈ1

ΞΈΞΈ 2

βˆ’2 0 2 4 6 8 10

02

46

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A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Target Ο€(ΞΈ)

theta1

βˆ’5

0

5

10

15

thet

a2

βˆ’10

βˆ’5

0

5

10

15

f(theta)

0.00

0.02

0.04

0.06

0.08

0.10

0.12

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A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Proposal q(ΞΈ)

βˆ’5 0 5 10 15

βˆ’10

βˆ’5

05

1015

ΞΈΞΈ1

ΞΈΞΈ 2

q(θ) ∼ N(¡,Σ) where

Β΅2 = (4, 2)β€² and Ξ£ = 9

(1.0 βˆ’0.25βˆ’0.25 1.0

)29 / 40

Page 30: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Rejection method

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βˆ’5 0 5 10 15

βˆ’10

βˆ’5

05

1015

ΞΈΞΈ1

ΞΈΞΈ 2

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βˆ’5 0 5 10 15

βˆ’10

βˆ’5

05

1015

ΞΈΞΈ1

ΞΈΞΈ 2

Acceptance rate: 9.91% of n = 10, 000 draws.

30 / 40

Page 31: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

SIR method

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βˆ’5 0 5 10 15

βˆ’10

βˆ’5

05

1015

ΞΈΞΈ1

ΞΈΞΈ 2

Fraction of redraws: 29.45% of (n = 10, 000,m = 2, 000).

31 / 40

Page 32: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Rejection & SIR

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βˆ’2 0 2 4 6 8

02

46

ΞΈΞΈ1

ΞΈΞΈ 2

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βˆ’2 0 2 4 6 8 10

02

46

ΞΈΞΈ1

ΞΈΞΈ 2

32 / 40

Page 33: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Example v. 2-component mixture

Let us now assume that

Ο€(ΞΈ) = Ξ±1pN(ΞΈ;Β΅1,Ξ£1) + Ξ±3pN(ΞΈ;Β΅3,Ξ£3)

where mean vectors are

Β΅1 = (1, 4)β€² Β΅3 = (6.5, 2),

the covariance matrices are

Ξ£1 =

(1.0 βˆ’0.9βˆ’0.9 1.0

)and Ξ£3 =

(1.0 βˆ’0.5βˆ’0.5 1.0

),

and weights Ξ±1 = 1/3 and Ξ±3 = 2/3.

33 / 40

Page 34: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Target Ο€(ΞΈ)

ΞΈΞΈ1

ΞΈΞΈ 2

βˆ’2 0 2 4 6 8 10

02

46

34 / 40

Page 35: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Target Ο€(ΞΈ)

theta1

βˆ’5

0

5

10

15

thet

a2

βˆ’10

βˆ’5

0

5

10

15

f(theta)

0.00

0.02

0.04

0.06

0.08

0.10

0.12

35 / 40

Page 36: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Proposal q(ΞΈ)

βˆ’5 0 5 10 15

βˆ’10

βˆ’5

05

1015

ΞΈΞΈ1

ΞΈΞΈ 2

36 / 40

Page 37: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Rejection method

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βˆ’5 0 5 10 15

βˆ’10

βˆ’5

05

1015

ΞΈΞΈ1

ΞΈΞΈ 2

Acceptance rate: 10.1% of n = 10, 000 draws.

37 / 40

Page 38: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

SIR method

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βˆ’5 0 5 10 15

βˆ’10

βˆ’5

05

1015

ΞΈΞΈ1

ΞΈΞΈ 2

Fraction of redraws: 37.15% of (n = 10, 000,m = 2, 000).

38 / 40

Page 39: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

Rejection & SIR

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βˆ’2 0 2 4 6 8 10

02

46

ΞΈΞΈ1

ΞΈΞΈ 2

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βˆ’2 0 2 4 6 8 10

02

46

ΞΈΞΈ1

ΞΈΞΈ 2

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Page 40: MONTE CARLO METHODS Hedibert Freitas Lopeshedibert.org/.../uploads/2014/01/montecarlomethods.pdfMetropolis and Ulam (1949)The Monte Carlo method. Journal of the American Statistical

A bit ofhistory

Monte Carlomethods

MCintegration

MC via IS

Rejectionmethod

SIR method

Examples

3-componentmixture

2-componentmixture

References

References1 Metropolis and Ulam (1949) The Monte Carlo method. JASA, 44, 335-341.

2 Metropolis, Rosenbluth, Rosenbluth, Teller and Teller (1953) Equation of state calculations by fastcomputing machines. Journal of Chemical Physics, Number 21, 1087-1092.

3 Hastings (1970) Monte Carlo sampling methods using Markov chains and their applications.Biometrika, 57, 97-109.

4 Peskun (1973) Optimum Monte-Carlo sampling using Markov chains. Biometrika, 60, 607-612.

5 Besag (1974) Spatial interaction and the statistical analysis of lattice systems. Journal of the RoyalStatistical Society, Series B, 36, 192-236.

6 Geman and Geman (1984) Stochastic relaxation, Gibbs distributions and the Bayesian restoration ofimages. IEEE Transactions on Pattern Analysis and Machine Intelligence, 6, 721-741.

7 Jennison (1993) Discussion of the meeting on Gibbs sampling and other Markov chain Monte Carlomethods. JRSS-B, 55, 54-6.

8 Kirkpatrick, Gelatt and Vecchi (1983) Optimization by simulated annealing. Science, 220, 671-80.

9 Pearl (1987) Evidential reasoning using stochastic simulation. Articial Intelligence, 32, 245-257.

10 Tanner and Wong (1987) The calculation of posterior distributions by data augmentation. JASA, 82,528-550.

11 Geweke (1989) Bayesian inference in econometric models using Monte Carlo integration.Econometrica, 57, 1317-1339.

12 Gelfand and Smith (1990) Sampling-based approaches to calculating marginal densities, JASA, 85,398-409.

13 Casella and George (1992) Explaining the Gibbs sampler. The American Statistician,46,167-174.

14 Smith and Gelfand (1992) Bayesian statistics without tears: a sampling-resampling perspective.American Statistician, 46, 84-88.

15 Gilks and Wild (1992) Adaptive rejection sampling for Gibbs sampling. Applied Statistics, 41, 337-48.

16 Chib and Greenberg (1995) Understanding the Metropolis-Hastings algorithm. The AmericanStatistician, 49, 327-335.

17 Dongarra and Sullivan (2000) Guest editors’ introduction: The top 10 algorithms. Computing inScience and Engineering, 2, 22-23.

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