Sequential Monte Carlo


Arguably the core of QInfer, the qinfer.smc module implements the sequential Monte Carlo algorithm in a flexible and robust manner. At its most basic, using QInfer’s SMC implementation consists of specifying a model, a prior, and a number of SMC particles to use.

The main component of QInfer’s SMC support is the SMCUpdater class, which performs Bayesian updates on a given prior in response to new data. In doing so, SMCUpdater will also ensure that the posterior particles are properly resampled. For more details on the SMC algorithm as implemented by QInfer, please see [GFWC12].

Using SMCUpdater

Creating and Configuring Updaters

The most straightfoward way of creating an SMCUpdater instance is to provide a model, a number of SMC particles and a prior distribution to choose those particles from. Using the example of a SimplePrecessionModel, and a uniform prior \(\omega \sim \text{Uni}(0, 1)\):

>>> from qinfer.smc import SMCUpdater
>>> from qinfer.distributions import UniformDistribution
>>> from qinfer.test_models import SimplePrecessionModel
>>> model = SimplePrecessionModel()
>>> prior = UniformDistribution([0, 1])
>>> updater = SMCUpdater(model, 1000, prior)

Updating from Data

Once an updater has been created, one can then use it to update the prior distribution to a posterior conditioned on experimental data. For example,

>>> import numpy as np
>>> true_model = prior.sample()
>>> experiment = np.array([12.1], dtype=model.expparams_dtype)
>>> outcome = model.simulate_experiment(true_model, experiment)
>>> updater.update(outcome, experiment)

Drawing Posterior Samples and Estimates

Since SMCUpdater inherits from Distribution, it can be sampled in the same way described in Representing Probability Distributions.

>>> posterior_samples = updater.sample(n=100)
>>> print posterior_samples.shape
(100, 1)

More commonly, however, one will want to calculate estimates such as \(\hat{\vec{x}} = \mathbb{E}_{\vec{x}|\text{data}}[\vec{x}]\). These estimates are given methods such as est_mean() and est_covariance_mtx().

>>> est = updater.est_mean()
>>> print est 
[ 0.53147953]

Plotting Posterior Distributions


Advanced Usage

Custom Resamplers

By default, SMCUpdater uses the Liu and West resampling algorithm [LW01] with \(a = 0.98\). The resampling behavior can be controlled, however, by passing different instances of Resampler to SMCUpdater. For instance, if one wants to create an updater with \(a = 0.9\) as was suggested by [WGFC13a]:

>>> from qinfer.resamplers import LiuWestResampler
>>> updater = SMCUpdater(model, 1000, prior, resampler=LiuWestResampler(0.9))

Posterior Credible Regions

Posterior credible regions can be found by using the est_credible_region() method. This method returns a set of points \(\{\vec{x}_i'\}\) such that the sum \(\sum_i w_i'\) of the corresponding weights \(\{w_i'\}\) is at least a specified ratio of the total weight.

This does not admit a very compact description, however, such that it is useful to find region estimators \(\hat{X}\) containing all of the particles describing a credible region, as above.

The region_est_hull() method does this by finding a convex hull of the credible particles, while region_est_ellipsoid() finds the minimum-volume enclosing ellipse (MVEE) of the convex hull region estimator.

The derivation of these estimators, as well as a detailed discussion of their performances, can be found in [GFWC12] and [Fer14].

Cluster Analysis


Online Bayesian Cramer-Rao Bound Estimation


Model Selection with Bayes Factors

When considering which of two models \(A\) or \(B\) best explains a data record \(D\), the normalizations of SMC updates of the posterior conditoned on each provide the probabilities \(\Pr(D | A)\) and \(\Pr(D | B)\). The normalization records can be obtained from the normalization_record properties of each. As the probabilities of any individual data record quickly reach zero, however, it becomes numerically unstable to consider these probabilities directly. Instead, the property log_total_likelihood records the quantity

\[\ell(D | M) = \sum_i \log \Pr(d_i | M)\]

for \(M \in \{A, B\}\). This is related to the Bayes factor \(\text{f}\) by

\[f = \exp(\ell(D | A) - \ell(D | B)).\]

As discussed in [WGFC13b], the Bayes factor tells which of the two models under consideration is to be preferred as an explanation for the observed data.