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Evaluating the Implicit Midpoint Integrator for Riemannian Manifold Hamiltonian Monte Carlo.

ABSTRACT: Riemannian manifold Hamiltonian Monte Carlo is traditionally carried out using the generalized leapfrog integrator. However, this integrator is not the only choice and other integrators yielding valid Markov chain transition operators may be considered. In this work, we examine the implicit midpoint integrator as an alternative to the generalized leapfrog integrator. We discuss advantages and disadvantages of the implicit midpoint integrator for Hamiltonian Monte Carlo, its theoretical properties, and an empirical assessment of the critical attributes of such an integrator for Hamiltonian Monte Carlo: energy conservation, volume preservation, and reversibility. Empirically, we find that while leapfrog iterations are faster, the implicit midpoint integrator has better energy conservation, leading to higher acceptance rates, as well as better conservation of volume and better reversibility, arguably yielding a more accurate sampling procedure.

SUBMITTER: Brofos JA

PROVIDER: S-EPMC9385161 | biostudies-literature | 2021 Jul

REPOSITORIES: biostudies-literature

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Evaluating the Implicit Midpoint Integrator for Riemannian Manifold Hamiltonian Monte Carlo.

Brofos James A JA Lederman Roy R RR

Proceedings of machine learning research 20210701

Riemannian manifold Hamiltonian Monte Carlo is traditionally carried out using the generalized leapfrog integrator. However, this integrator is not the only choice and other integrators yielding valid Markov chain transition operators may be considered. In this work, we examine the implicit midpoint integrator as an alternative to the generalized leapfrog integrator. We discuss advantages and disadvantages of the implicit midpoint integrator for Hamiltonian Monte Carlo, its theoretical propertie ...[more]

PMID: 35983520

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Project description:BackgroundParameter estimation for differential equation models of intracellular processes is a highly relevant bu challenging task. The available experimental data do not usually contain enough information to identify all parameters uniquely, resulting in ill-posed estimation problems with often highly correlated parameters. Sampling-based Bayesian statistical approaches are appropriate for tackling this problem. The samples are typically generated via Markov chain Monte Carlo, however such methods are computationally expensive and their convergence may be slow, especially if there are strong correlations between parameters. Monte Carlo methods based on Euclidean or Riemannian Hamiltonian dynamics have been shown to outperform other samplers by making proposal moves that take the local sensitivities of the system's states into account and accepting these moves with high probability. However, the high computational cost involved with calculating the Hamiltonian trajectories prevents their widespread use for all but the smallest differential equation models. The further development of efficient sampling algorithms is therefore an important step towards improving the statistical analysis of predictive models of intracellular processes.ResultsWe show how state of the art Hamiltonian Monte Carlo methods may be significantly improved for steady state dynamical models. We present a novel approach for efficiently calculating the required geometric quantities by tracking steady states across the Hamiltonian trajectories using a Newton-Raphson method and employing local sensitivity information. Using our approach, we compare both Euclidean and Riemannian versions of Hamiltonian Monte Carlo on three models for intracellular processes with real data and demonstrate at least an order of magnitude improvement in the effective sampling speed. We further demonstrate the wider applicability of our approach to other gradient based MCMC methods, such as those based on Langevin diffusions.ConclusionOur approach is strictly benefitial in all test cases. The Matlab sources implementing our MCMC methodology is available from https://github.com/a-kramer/ode_rmhmc.

Project description:BACKGROUND:Hamiltonian Monte Carlo is one of the algorithms of the Markov chain Monte Carlo method that uses Hamiltonian dynamics to propose samples that follow a target distribution. The method can avoid the random walk behavior to achieve a more effective and consistent exploration of the probability space and sensitivity to correlated parameters, which are shortcomings that plague many Markov chain Monte Carlo methods. However, the performance of Hamiltonian Monte Carlo is highly sensitive to two hyperparameters. The No-U-Turn Sampler, an extension of Hamiltonian Monte Carlo, was recently introduced to automate the tuning of these hyperparameters. Thus, this study compared the performances of Gibbs sampling, Hamiltonian Monte Carlo, and the No-U-Turn Sampler for estimating genetic parameters and breeding values as well as sampling qualities in both simulated and real pig data. For all datasets, we used a pedigree-based univariate linear mixed model. RESULTS:For all datasets, the No-U-Turn Sampler and Gibbs sampling performed comparably regarding the estimation of heritabilities and accuracies of breeding values. Compared with Gibbs sampling, the estimates of effective sample sizes for simulated and pig data with the No-U-Turn Sampler were 3.2 to 22.6 and 3.5 to 5.9 times larger, respectively. Autocorrelations decreased more quickly with the No-U-Turn Sampler than with Gibbs sampling. When true heritability was low in the simulated data, the skewness of the marginal posterior distributions with the No-U-Turn Sampler was smaller than that with Gibbs sampling. The performance of Hamiltonian Monte Carlo for sampling quality was inferior to that of No-U-Turn Sampler in the simulated data. Moreover, Hamiltonian Monte Carlo could not estimate genetic parameters because of difficulties with the hyperparameter settings with pig data. CONCLUSIONS:The No-U-Turn Sampler is a promising sampling method for animal breeding because of its good sampling qualities: large effective sample sizes, low autocorrelations, and low skewness of marginal posterior distributions, particularly when heritability is low. Meanwhile, Hamiltonian Monte Carlo failed to converge with a simple univariate model for pig data. Thus, it might be difficult to use Hamiltonian Monte Carlo for usual complex models in animal breeding.

Dataset Information

Evaluating the Implicit Midpoint Integrator for Riemannian Manifold Hamiltonian Monte Carlo.

Publications

Evaluating the Implicit Midpoint Integrator for Riemannian Manifold Hamiltonian Monte Carlo.

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