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arXiv 2204.06313stat.MEstat.CO
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贝叶斯计算中离散参数边缘化的效率研究

Investigating the efficiency of marginalising over discrete parameters in Bayesian computations

Wen Zhang, Jeffrey Pullin, Lyle Gurrin, Damjan Vukcevic

摘要:

贝叶斯分析方法通常使用某种形式的迭代模拟,如蒙特卡罗计算。涉及离散变量的模型有时会带来挑战,因为所使用的方法不支持此类变量(例如哈密顿蒙特卡罗),或者因为此类变量的存在会减慢计算速度。一个常见的解决方法是将离散变量边缘化。虽然可以合理地预期这种边缘化也会导致更节省时间的计算,但据我们所知,除了一些专门的模型之外,这还没有得到证明。我们探讨了边际化对几个简单的统计模型的计算效率的影响。具体来说,我们考虑了两个和三个组成部分的高斯混合模型,以及Dawid-Skene模型的分类评级。我们用两种马尔可夫链蒙特卡罗技术的软件实现:JAGS和Stan对每种方法进行了探索。我们使用同一软件上的采样器直接比较了同一模型的边缘化和非边缘化版本。我们的研究结果表明,边缘化本身并不一定会提高性能。尽管如此,最好的表现通常是与斯坦,这需要边缘化。我们的结论是,没有简单的答案是否边缘化是有益的。这并不一定是这样的情况,即当“打开”时,可以确保该技术提供独立于其他因素的计算益处,也不可能是对计算效率具有最大影响的模型组件。

英文摘要:

Bayesian analysis methods often use some form of iterative simulation such as Monte Carlo computation. Models that involve discrete variables can sometime pose a challenge, either because the methods used do not support such variables (e.g. Hamiltonian Monte Carlo) or because the presence of such variables can slow down the computation. A common workaround is to marginalise the discrete variables out of the model. While it is reasonable to expect that such marginalisation would also lead to more time-efficient computations, to our knowledge this has not been demonstrated beyond a few specialised models. We explored the impact of marginalisation on the computational efficiency for a few simple statistical models. Specifically, we considered two- and three-component Gaussian mixture models, and also the Dawid-Skene model for categorical ratings. We explored each with two software implementations of Markov chain Monte Carlo techniques: JAGS and Stan. We directly compared marginalised and non-marginalised versions of the same model using the samplers on the same software. Our results show that marginalisation on its own does not necessarily boost performance. Nevertheless, the best performance was usually achieved with Stan, which requires marginalisation. We conclude that there is no simple answer to whether or not marginalisation is helpful. It is not necessarily the case that, when turned 'on', this technique can be assured to provide computational benefit independent of other factors, nor is it likely to be the model component that has the largest impact on computational efficiency.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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