With Matt Moores and Kerrie Mengersen, from QUT, we wrote this short paper just in time for the MCMSki IV Special Issue of Statistics & Computing. And arXived it, as well. The global idea is to cut down on the cost of running an ABC experiment by removing the simulation of a humongous state-space vector, as in Potts and hidden Potts model, and replacing it by an approximate simulation of the 1-d sufficient (summary) statistics. In that case, we used a division of the 1-d parameter interval to simulate the distribution of the sufficient statistic for each of those parameter values and to compute the expectation and variance of the sufficient statistic. Then the conditional distribution of the sufficient statistic is approximated by a Gaussian with these two parameters. And those Gaussian approximations substitute for the true distributions within an ABC-SMC algorithm à la Del Moral, Doucet and Jasra (2012).
Across 20 125 × 125 pixels simulated images, Matt’s algorithm took an average of 21 minutes per image for between 39 and 70 SMC iterations, while resorting to pseudo-data and deriving the genuine sufficient statistic took an average of 46.5 hours for 44 to 85 SMC iterations. On a realistic Landsat image, with a total of 978,380 pixels, the precomputation of the mapping function took 50 minutes, while the total CPU time on 16 parallel threads was 10 hours 38 minutes. By comparison, it took 97 hours for 10,000 MCMC iterations on this image, with a poor effective sample size of 390 values. Regular SMC-ABC algorithms cannot handle this scale: It takes 89 hours to perform a single SMC iteration! (Note that path sampling also operates in this framework, thanks to the same precomputation: in that case it took 2.5 hours for 10⁵ iterations, with an effective sample size of 10⁴…)
Since my student’s paper on Seaman et al (2012) got promptly rejected by TAS for quoting too extensively from my post, we decided to include me as an extra author and submitted the paper to this special issue as well.
Filed under: R, Statistics, University life Tagged: ABC, Chamonix, image processing, MCMC, MCMSki IV, Monte Carlo Statistical Methods, path sampling, Potts model, QUT, simulation, SMC-ABC, Statistics and Computing, sufficient statistics, summary statistics