Those are the slides of the invited talk I will give in Zurich on Fed. 05, 2011

1. ABC Methods for Bayesian Model Choice
ABC Methods for Bayesian Model Choice
Christian P. Robert
Universit´ Paris-Dauphine, IuF, & CREST
e
http://www.ceremade.dauphine.fr/~xian
February 5, 2011

2. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Approximate Bayesian computation
Approximate Bayesian computation
ABC basics
Alphabet soup
Calibration of ABC
ABC for model choice

3. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
Untractable likelihoods
Cases when the likelihood function f (y|θ) is unavailable and when
the completion step
f (y|θ) = f (y, z|θ) dz
Z
is impossible or too costly because of the dimension of z
c MCMC cannot be implemented!

4. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
Illustrations
Example
Stochastic volatility model: for Highest weight trajectories
t = 1, . . . , T,
0.4
0.2
yt = exp(zt ) t , zt = a+bzt−1 +σηt ,
0.0
−0.2
T very large makes it difficult to
−0.4
include z within the simulated 0 200 400
t
600 800 1000
parameters

5. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
Illustrations
Example
Potts model: if y takes values on a grid Y of size k n and
f (y|θ) ∝ exp θ Iyl =yi
l∼i
where l∼i denotes a neighbourhood relation, n moderately large
prohibits the computation of the normalising constant

6. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
Illustrations
Example
Inference on CMB: in cosmology, study of the Cosmic Microwave
Background via likelihoods immensely slow to computate (e.g
WMAP, Plank), because of numerically costly spectral transforms
[Data is a Fortran program]
[Kilbinger et al., 2010, MNRAS]

7. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
Illustrations
Example
Coalescence tree: in population
genetics, reconstitution of a common
ancestor from a sample of genes via
a phylogenetic tree that is close to
impossible to integrate out
[100 processor days with 4
parameters]
[Cornuet et al., 2009, Bioinformatics]

8. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
The ABC method
Bayesian setting: target is π(θ)f (x|θ)

9. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
The ABC method
Bayesian setting: target is π(θ)f (x|θ)
When likelihood f (x|θ) not in closed form, likelihood-free rejection
technique:

10. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
The ABC method
Bayesian setting: target is π(θ)f (x|θ)
When likelihood f (x|θ) not in closed form, likelihood-free rejection
technique:
ABC algorithm
For an observation y ∼ f (y|θ), under the prior π(θ), keep jointly
simulating
θ ∼ π(θ) , z ∼ f (z|θ ) ,
until the auxiliary variable z is equal to the observed value, z = y.
[Tavar´ et al., 1997]
e

11. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
Why does it work?!
The proof is trivial:
f (θi ) ∝ π(θi )f (z|θi )Iy (z)
z∈D
∝ π(θi )f (y|θi )
= π(θi |y) .
[Accept–Reject 101]

12. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
Earlier occurrence
‘Bayesian statistics and Monte Carlo methods are ideally
suited to the task of passing many models over one
dataset’
[Don Rubin, Annals of Statistics, 1984]
Note Rubin (1984) does not promote this algorithm for
likelihood-free simulation but frequentist intuition on posterior
distributions: parameters from posteriors are more likely to be
those that could have generated the data.

13. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
A as approximative
When y is a continuous random variable, equality z = y is replaced
with a tolerance condition,
(y, z) ≤
where is a distance

14. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
A as approximative
When y is a continuous random variable, equality z = y is replaced
with a tolerance condition,
(y, z) ≤
where is a distance
Output distributed from
π(θ) Pθ { (y, z) < } ∝ π(θ| (y, z) < )

15. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
ABC algorithm
Algorithm 1 Likelihood-free rejection sampler
for i = 1 to N do
repeat
generate θ from the prior distribution π(·)
generate z from the likelihood f (·|θ )
until ρ{η(z), η(y)} ≤
set θi = θ
end for
where η(y) defines a (maybe in-sufficient) statistic

16. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
Output
The likelihood-free algorithm samples from the marginal in z of:
π(θ)f (z|θ)IA ,y (z)
π (θ, z|y) = ,
A ,y ×Θ π(θ)f (z|θ)dzdθ
where A ,y = {z ∈ D|ρ(η(z), η(y)) < }.

17. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
Output
The likelihood-free algorithm samples from the marginal in z of:
π(θ)f (z|θ)IA ,y (z)
π (θ, z|y) = ,
A ,y ×Θ π(θ)f (z|θ)dzdθ
where A ,y = {z ∈ D|ρ(η(z), η(y)) < }.
The idea behind ABC is that the summary statistics coupled with a
small tolerance should provide a good approximation of the
posterior distribution:
π (θ|y) = π (θ, z|y)dz ≈ π(θ|y) .

18. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
MA example
Consider the MA(q) model
q
xt = t+ ϑi t−i
i=1
Simple prior: uniform prior over the identifiability zone, e.g.
triangle for MA(2)

19. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
MA example (2)
ABC algorithm thus made of
1. picking a new value (ϑ1 , ϑ2 ) in the triangle
2. generating an iid sequence ( t )−q<t≤T
3. producing a simulated series (xt )1≤t≤T

20. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
MA example (2)
ABC algorithm thus made of
1. picking a new value (ϑ1 , ϑ2 ) in the triangle
2. generating an iid sequence ( t )−q<t≤T
3. producing a simulated series (xt )1≤t≤T
Distance: basic distance between the series
T
ρ((xt )1≤t≤T , (xt )1≤t≤T ) = (xt − xt )2
t=1
or between summary statistics like the first q autocorrelations
T
τj = xt xt−j
t=j+1

21. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
Comparison of distance impact
Evaluation of the tolerance on the ABC sample against both
distances ( = 100%, 10%, 1%, 0.1%) for an MA(2) model

22. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
Comparison of distance impact
4
1.5
3
1.0
2
0.5
1
0.0
0
0.0 0.2 0.4 0.6 0.8 −2.0 −1.0 0.0 0.5 1.0 1.5
θ1 θ2
Evaluation of the tolerance on the ABC sample against both
distances ( = 100%, 10%, 1%, 0.1%) for an MA(2) model

23. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
Comparison of distance impact
4
1.5
3
1.0
2
0.5
1
0.0
0
0.0 0.2 0.4 0.6 0.8 −2.0 −1.0 0.0 0.5 1.0 1.5
θ1 θ2
Evaluation of the tolerance on the ABC sample against both
distances ( = 100%, 10%, 1%, 0.1%) for an MA(2) model

24. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
ABC advances
Simulating from the prior is often poor in efficiency

25. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
ABC advances
Simulating from the prior is often poor in efficiency
Either modify the proposal distribution on θ to increase the density
of x’s within the vicinity of y...
[Marjoram et al, 2003; Bortot et al., 2007, Sisson et al., 2007]

26. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
ABC advances
Simulating from the prior is often poor in efficiency
Either modify the proposal distribution on θ to increase the density
of x’s within the vicinity of y...
[Marjoram et al, 2003; Bortot et al., 2007, Sisson et al., 2007]
...or by viewing the problem as a conditional density estimation
and by developing techniques to allow for larger
[Beaumont et al., 2002]

27. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
ABC basics
ABC advances
Simulating from the prior is often poor in efficiency
Either modify the proposal distribution on θ to increase the density
of x’s within the vicinity of y...
[Marjoram et al, 2003; Bortot et al., 2007, Sisson et al., 2007]
...or by viewing the problem as a conditional density estimation
and by developing techniques to allow for larger
[Beaumont et al., 2002]
.....or even by including in the inferential framework [ABCµ ]
[Ratmann et al., 2009]

28. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
ABC-NP
Better usage of [prior] simulations by
adjustement: instead of throwing away
θ such that ρ(η(z), η(y)) > , replace
θs with locally regressed
θ∗ = θ − {η(z) − η(y)}T β
ˆ
[Csill´ry et al., TEE, 2010]
e
ˆ
where β is obtained by [NP] weighted least square regression on
(η(z) − η(y)) with weights
Kδ {ρ(η(z), η(y))}
[Beaumont et al., 2002, Genetics]

29. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
ABC-MCMC
Markov chain (θ(t) ) created via the transition function

θ ∼ Kω (θ |θ(t) ) if x ∼ f (x|θ ) is such that x = y


π(θ )Kω (t) |θ )
θ (t+1)
= and u ∼ U(0, 1) ≤ π(θ(t) )K (θ |θ(t) ) ,
 ω (θ
 (t)
θ otherwise,

30. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
ABC-MCMC
Markov chain (θ(t) ) created via the transition function

θ ∼ Kω (θ |θ(t) ) if x ∼ f (x|θ ) is such that x = y


π(θ )Kω (t) |θ )
θ (t+1)
= and u ∼ U(0, 1) ≤ π(θ(t) )K (θ |θ(t) ) ,
 ω (θ
 (t)
θ otherwise,
has the posterior π(θ|y) as stationary distribution
[Marjoram et al, 2003]

31. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
ABC-MCMC (2)
Algorithm 2 Likelihood-free MCMC sampler
Use Algorithm 1 to get (θ(0) , z(0) )
for t = 1 to N do
Generate θ from Kω ·|θ(t−1) ,
Generate z from the likelihood f (·|θ ),
Generate u from U[0,1] ,
π(θ )Kω (θ(t−1) |θ )
if u ≤ I
π(θ(t−1) Kω (θ |θ(t−1) ) A ,y (z ) then
set (θ(t) , z(t) ) = (θ , z )
else
(θ(t) , z(t) )) = (θ(t−1) , z(t−1) ),
end if
end for

32. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
Why does it work?
Acceptance probability that does not involve the calculation of the
likelihood and
π (θ , z |y) Kω (θ(t−1) |θ )f (z(t−1) |θ(t−1) )
×
π (θ(t−1) , z(t−1) |y) Kω (θ |θ(t−1) )f (z |θ )
π(θ ) f (z |θ ) IA ,y (z )
= (t−1) ) f (z(t−1) |θ (t−1) )I (t−1) )
π(θ A ,y (z
Kω (θ(t−1) |θ ) f (z(t−1) |θ(t−1) )
×
Kω (θ |θ(t−1) ) f (z |θ )
π(θ )Kω (θ(t−1) |θ )
= IA (z ) .
π(θ(t−1) Kω (θ |θ(t−1) ) ,y

33. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
ABCµ
[Ratmann, Andrieu, Wiuf and Richardson, 2009, PNAS]
Use of a joint density
f (θ, |y) ∝ ξ( |y, θ) × πθ (θ) × π ( )
where y is the data, and ξ( |y, θ) is the prior predictive density of
ρ(η(z), η(y)) given θ and x when z ∼ f (z|θ)

34. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
ABCµ
[Ratmann, Andrieu, Wiuf and Richardson, 2009, PNAS]
Use of a joint density
f (θ, |y) ∝ ξ( |y, θ) × πθ (θ) × π ( )
where y is the data, and ξ( |y, θ) is the prior predictive density of
ρ(η(z), η(y)) given θ and x when z ∼ f (z|θ)
Warning! Replacement of ξ( |y, θ) with a non-parametric kernel
approximation.

35. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
ABCµ details
Multidimensional distances ρk (k = 1, . . . , K) and errors
k = ρk (ηk (z), ηk (y)), with
ˆ 1
k ∼ ξk ( |y, θ) ≈ ξk ( |y, θ) = K[{ k −ρk (ηk (zb ), ηk (y))}/hk ]
Bhk
b
ˆ
then used in replacing ξ( |y, θ) with mink ξk ( |y, θ)

36. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
ABCµ details
Multidimensional distances ρk (k = 1, . . . , K) and errors
k = ρk (ηk (z), ηk (y)), with
ˆ 1
k ∼ ξk ( |y, θ) ≈ ξk ( |y, θ) = K[{ k −ρk (ηk (zb ), ηk (y))}/hk ]
Bhk
b
ˆ
then used in replacing ξ( |y, θ) with mink ξk ( |y, θ)
ABCµ involves acceptance probability
ˆ
π(θ , ) q(θ , θ)q( , ) mink ξk ( |y, θ )
ˆ
π(θ, ) q(θ, θ )q( , ) mink ξk ( |y, θ)

37. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
ABCµ multiple errors
[ c Ratmann et al., PNAS, 2009]

38. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
ABCµ for model choice
[ c Ratmann et al., PNAS, 2009]

39. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
Questions about ABCµ
For each model under comparison, marginal posterior on used to
assess the fit of the model (HPD includes 0 or not).

40. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
Questions about ABCµ
For each model under comparison, marginal posterior on used to
assess the fit of the model (HPD includes 0 or not).
Is the data informative about ? [Identifiability]
How is the prior π( ) impacting the comparison?
How is using both ξ( |x0 , θ) and π ( ) compatible with a
standard probability model? [remindful of Wilkinson]
Where is the penalisation for complexity in the model
comparison?
[X, Mengersen & Chen, 2010, PNAS]

41. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
A PMC version
Use of the same kernel idea as ABC-PRC but with IS correction
Generate a sample at iteration t by
N
(t) (t−1) (t−1)
πt (θ ) ∝
ˆ ωj Kt (θ(t) |θj )
j=1
modulo acceptance of the associated xt , and use an importance
(t)
weight associated with an accepted simulation θi
(t) (t) (t)
ωi ∝ π(θi ) πt (θi ) .
ˆ
c Still likelihood free
[Beaumont et al., Biometrika, 2009]

42. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
Sequential Monte Carlo
SMC is a simulation technique to approximate a sequence of
related probability distributions πn with π0 “easy” and πT target.
Iterated IS as PMC: particles moved from time n to time n via
kernel Kn and use of a sequence of extended targets πn˜
n
πn (z0:n ) = πn (zn )
˜ Lj (zj+1 , zj )
j=0
where the Lj ’s are backward Markov kernels [check that πn (zn ) is
a marginal]
[Del Moral, Doucet & Jasra, Series B, 2006]

43. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
ABC-SMC
True derivation of an SMC-ABC algorithm
Use of a kernel Kn associated with target π n and derivation of the
backward kernel
π n (z )Kn (z , z)
Ln−1 (z, z ) =
πn (z)
Update of the weights
M
m=1 IA n
(xm )
in
win ∝ wi(n−1) M
m=1 IA n−1
(xm
i(n−1) )
when xm ∼ K(xi(n−1) , ·)
in

44. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
Properties of ABC-SMC
The ABC-SMC method properly uses a backward kernel L(z, z ) to
simplify the importance weight and to remove the dependence on
the unknown likelihood from this weight. Update of importance
weights is reduced to the ratio of the proportions of surviving
particles
Major assumption: the forward kernel K is supposed to be
invariant against the true target [tempered version of the true
posterior]

45. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Alphabet soup
Properties of ABC-SMC
The ABC-SMC method properly uses a backward kernel L(z, z ) to
simplify the importance weight and to remove the dependence on
the unknown likelihood from this weight. Update of importance
weights is reduced to the ratio of the proportions of surviving
particles
Major assumption: the forward kernel K is supposed to be
invariant against the true target [tempered version of the true
posterior]
Adaptivity in ABC-SMC algorithm only found in on-line
construction of the thresholds t , slowly enough to keep a large
number of accepted transitions
[Del Moral, Doucet & Jasra, 2009]

46. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Calibration of ABC
Which summary statistics?
Fundamental difficulty of the choice of the summary statistic when
there is no non-trivial sufficient statistic [except when done by the
experimenters in the field]

47. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Calibration of ABC
Which summary statistics?
Fundamental difficulty of the choice of the summary statistic when
there is no non-trivial sufficient statistic [except when done by the
experimenters in the field]
Starting from a large collection of summary statistics is available,
Joyce and Marjoram (2008) consider the sequential inclusion into
the ABC target, with a stopping rule based on a likelihood ratio
test.

48. ABC Methods for Bayesian Model Choice
Approximate Bayesian computation
Calibration of ABC
Which summary statistics?
Fundamental difficulty of the choice of the summary statistic when
there is no non-trivial sufficient statistic [except when done by the
experimenters in the field]
Starting from a large collection of summary statistics is available,
Joyce and Marjoram (2008) consider the sequential inclusion into
the ABC target, with a stopping rule based on a likelihood ratio
test.
Does not taking into account the sequential nature of the tests
Depends on parameterisation
Order of inclusion matters.

49. ABC Methods for Bayesian Model Choice
ABC for model choice
ABC for model choice
Approximate Bayesian computation
ABC for model choice
Model choice
Gibbs random fields
Generic ABC model choice

50. ABC Methods for Bayesian Model Choice
ABC for model choice
Model choice
Bayesian model choice
Several models M1 , M2 , . . . are considered simultaneously for a
dataset y and the model index M is part of the inference.
Use of a prior distribution. π(M = m), plus a prior distribution on
the parameter conditional on the value m of the model index,
πm (θ m )
Goal is to derive the posterior distribution of M , challenging
computational target when models are complex.

51. ABC Methods for Bayesian Model Choice
ABC for model choice
Model choice
Generic ABC for model choice
Algorithm 3 Likelihood-free model choice sampler (ABC-MC)
for t = 1 to T do
repeat
Generate m from the prior π(M = m)
Generate θ m from the prior πm (θ m )
Generate z from the model fm (z|θ m )
until ρ{η(z), η(y)} <
Set m(t) = m and θ (t) = θ m
end for
[Toni, Welch, Strelkowa, Ipsen & Stumpf, 2009]

52. ABC Methods for Bayesian Model Choice
ABC for model choice
Model choice
ABC estimates
Posterior probability π(M = m|y) approximated by the frequency
of acceptances from model m
T
1
Im(t) =m .
T
t=1
Early issues with implementation:
should tolerances be the same for all models?
should summary statistics vary across models?
should the distance measure ρ vary as well?

53. ABC Methods for Bayesian Model Choice
ABC for model choice
Model choice
ABC estimates
Posterior probability π(M = m|y) approximated by the frequency
of acceptances from model m
T
1
Im(t) =m .
T
t=1
Early issues with implementation:
should tolerances be the same for all models?
should summary statistics vary across models?
should the distance measure ρ vary as well?
Extension to a weighted polychotomous logistic regression estimate
of π(M = m|y), with non-parametric kernel weights
[Cornuet et al., DIYABC, 2009]

54. ABC Methods for Bayesian Model Choice
ABC for model choice
Model choice
The Great ABC controversy [# 1?]
On-going controvery in phylogeographic genetics about the validity
of using ABC for testing
Against: Templeton, 2008,
2009, 2010a, 2010b, 2010c
argues that nested hypotheses
cannot have higher probabilities
than nesting hypotheses (!)

55. ABC Methods for Bayesian Model Choice
ABC for model choice
Model choice
The Great ABC controversy [# 1?]
On-going controvery in phylogeographic genetics about the validity
of using ABC for testing
Replies: Fagundes et al., 2008,
Against: Templeton, 2008, Beaumont et al., 2010, Berger et
2009, 2010a, 2010b, 2010c al., 2010, Csill`ry et al., 2010
e
argues that nested hypotheses point out that the criticisms are
cannot have higher probabilities addressed at [Bayesian]
than nesting hypotheses (!) model-based inference and have
nothing to do with ABC...

56. ABC Methods for Bayesian Model Choice
ABC for model choice
Gibbs random fields
Gibbs random fields
Gibbs distribution
The rv y = (y1 , . . . , yn ) is a Gibbs random field associated with
the graph G if
1
f (y) = exp − Vc (yc ) ,
Z
c∈C
where Z is the normalising constant, C is the set of cliques of G
and Vc is any function also called potential
U (y) = c∈C Vc (yc ) is the energy function

57. ABC Methods for Bayesian Model Choice
ABC for model choice
Gibbs random fields
Gibbs random fields
Gibbs distribution
The rv y = (y1 , . . . , yn ) is a Gibbs random field associated with
the graph G if
1
f (y) = exp − Vc (yc ) ,
Z
c∈C
where Z is the normalising constant, C is the set of cliques of G
and Vc is any function also called potential
U (y) = c∈C Vc (yc ) is the energy function
c Z is usually unavailable in closed form

58. ABC Methods for Bayesian Model Choice
ABC for model choice
Gibbs random fields
Potts model
Potts model
Vc (y) is of the form
Vc (y) = θS(y) = θ δyl =yi
l∼i
where l∼i denotes a neighbourhood structure

59. ABC Methods for Bayesian Model Choice
ABC for model choice
Gibbs random fields
Potts model
Potts model
Vc (y) is of the form
Vc (y) = θS(y) = θ δyl =yi
l∼i
where l∼i denotes a neighbourhood structure
In most realistic settings, summation
Zθ = exp{θ T S(x)}
x∈X
involves too many terms to be manageable and numerical
approximations cannot always be trusted

60. ABC Methods for Bayesian Model Choice
ABC for model choice
Gibbs random fields
Bayesian Model Choice
Comparing a model with energy S0 taking values in Rp0 versus a
model with energy S1 taking values in Rp1 can be done through
the Bayes factor corresponding to the priors π0 and π1 on each
parameter space
exp{θ T S0 (x)}/Zθ 0 ,0 π0 (dθ 0 )
0
Bm0 /m1 (x) =
exp{θ T S1 (x)}/Zθ 1 ,1 π1 (dθ 1 )
1

61. ABC Methods for Bayesian Model Choice
ABC for model choice
Gibbs random fields
Neighbourhood relations
Choice to be made between M neighbourhood relations
m
i∼i (0 ≤ m ≤ M − 1)
with
Sm (x) = I{xi =xi }
m
i∼i
driven by the posterior probabilities of the models.

62. ABC Methods for Bayesian Model Choice
ABC for model choice
Gibbs random fields
Model index
Computational target:
P(M = m|x) ∝ fm (x|θm )πm (θm ) dθm π(M = m) ,
Θm

63. ABC Methods for Bayesian Model Choice
ABC for model choice
Gibbs random fields
Model index
Computational target:
P(M = m|x) ∝ fm (x|θm )πm (θm ) dθm π(M = m) ,
Θm
If S(x) sufficient statistic for the joint parameters
(M, θ0 , . . . , θM −1 ),
P(M = m|x) = P(M = m|S(x)) .

64. ABC Methods for Bayesian Model Choice
ABC for model choice
Gibbs random fields
Sufficient statistics in Gibbs random fields

65. ABC Methods for Bayesian Model Choice
ABC for model choice
Gibbs random fields
Sufficient statistics in Gibbs random fields
Each model m has its own sufficient statistic Sm (·) and
S(·) = (S0 (·), . . . , SM −1 (·)) is also (model-)sufficient.

66. ABC Methods for Bayesian Model Choice
ABC for model choice
Gibbs random fields
Sufficient statistics in Gibbs random fields
Each model m has its own sufficient statistic Sm (·) and
S(·) = (S0 (·), . . . , SM −1 (·)) is also (model-)sufficient.
For Gibbs random fields,
1 2
x|M = m ∼ fm (x|θm ) = fm (x|S(x))fm (S(x)|θm )
1
= f 2 (S(x)|θm )
n(S(x)) m
where
n(S(x)) = {˜ ∈ X : S(˜ ) = S(x)}
x x
c S(x) is therefore also sufficient for the joint parameters

67. ABC Methods for Bayesian Model Choice
ABC for model choice
Gibbs random fields
ABC model choice Algorithm
ABC-MC
Generate m∗ from the prior π(M = m).
∗
Generate θm∗ from the prior πm∗ (·).
Generate x∗ from the model fm∗ (·|θm∗ ).
∗
Compute the distance ρ(S(x0 ), S(x∗ )).
Accept (θm∗ , m∗ ) if ρ(S(x0 ), S(x∗ )) < .
∗
Note When = 0 the algorithm is exact

68. ABC Methods for Bayesian Model Choice
ABC for model choice
Gibbs random fields
Toy example
iid Bernoulli model versus two-state first-order Markov chain, i.e.
n
f0 (x|θ0 ) = exp θ0 I{xi =1} {1 + exp(θ0 )}n ,
i=1
versus
n
1
f1 (x|θ1 ) = exp θ1 I{xi =xi−1 } {1 + exp(θ1 )}n−1 ,
2
i=2
with priors θ0 ∼ U(−5, 5) and θ1 ∼ U(0, 6) (inspired by “phase
transition” boundaries).

69. ABC Methods for Bayesian Model Choice
ABC for model choice
Gibbs random fields
Toy example (2)
10
5
5
BF01
BF01
0
^
^
0
−5
−5
−40 −20 0 10 −10 −40 −20 0 10
BF01 BF01
(left) Comparison of the true BF m0 /m1 (x0 ) with BF m0 /m1 (x0 )
(in logs) over 2, 000 simulations and 4.106 proposals from the
prior. (right) Same when using tolerance corresponding to the
1% quantile on the distances.

70. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Back to sufficiency
‘Sufficient statistics for individual models are unlikely to
be very informative for the model probability. This is
already well known and understood by the ABC-user
community.’
[Scott Sisson, Jan. 31, 2011, ’Og]

71. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Back to sufficiency
‘Sufficient statistics for individual models are unlikely to
be very informative for the model probability. This is
already well known and understood by the ABC-user
community.’
[Scott Sisson, Jan. 31, 2011, ’Og]
If η1 (x) sufficient statistic for model m = 1 and parameter θ1 and
η2 (x) sufficient statistic for model m = 2 and parameter θ2 ,
(η1 (x), η2 (x)) is not always sufficient for (m, θm )

72. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Back to sufficiency
‘Sufficient statistics for individual models are unlikely to
be very informative for the model probability. This is
already well known and understood by the ABC-user
community.’
[Scott Sisson, Jan. 31, 2011, ’Og]
If η1 (x) sufficient statistic for model m = 1 and parameter θ1 and
η2 (x) sufficient statistic for model m = 2 and parameter θ2 ,
(η1 (x), η2 (x)) is not always sufficient for (m, θm )
c Potential loss of information at the testing level

73. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Limiting behaviour of B12 (T → ∞)
ABC approximation
T
t=1 Imt =1 Iρ{η(zt ),η(y)}≤
B12 (y) = T
,
t=1 Imt =2 Iρ{η(zt ),η(y)}≤
where the (mt , z t )’s are simulated from the (joint) prior

74. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Limiting behaviour of B12 (T → ∞)
ABC approximation
T
t=1 Imt =1 Iρ{η(zt ),η(y)}≤
B12 (y) = T
,
t=1 Imt =2 Iρ{η(zt ),η(y)}≤
where the (mt , z t )’s are simulated from the (joint) prior
As T go to infinity, limit
Iρ{η(z),η(y)}≤ π1 (θ 1 )f1 (z|θ 1 ) dz dθ 1
B12 (y) =
Iρ{η(z),η(y)}≤ π2 (θ 2 )f2 (z|θ 2 ) dz dθ 2
η
Iρ{η,η(y)}≤ π1 (θ 1 )f1 (η|θ 1 ) dη dθ 1
= η ,
Iρ{η,η(y)}≤ π2 (θ 2 )f2 (η|θ 2 ) dη dθ 2
η η
where f1 (η|θ 1 ) and f2 (η|θ 2 ) distributions of η(z)

75. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Limiting behaviour of B12 ( → 0)
When goes to zero,
η
η π1 (θ 1 )f1 (η(y)|θ 1 ) dθ 1
B12 (y) = η ,
π2 (θ 2 )f2 (η(y)|θ 2 ) dθ 2

76. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Limiting behaviour of B12 ( → 0)
When goes to zero,
η
η π1 (θ 1 )f1 (η(y)|θ 1 ) dθ 1
B12 (y) = η ,
π2 (θ 2 )f2 (η(y)|θ 2 ) dθ 2
Bayes factor based on the sole observation of η(y)

77. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Limiting behaviour of B12 (under sufficiency)
If η(y) sufficient statistic for both models,
fi (y|θ i ) = gi (y)fiη (η(y)|θ i )
Thus
η
Θ1 π(θ 1 )g1 (y)f1 (η(y)|θ 1 ) dθ 1
B12 (y) = η
Θ2 π(θ 2 )g2 (y)f2 (η(y)|θ 2 ) dθ 2
η
g1 (y) π1 (θ 1 )f1 (η(y)|θ 1 ) dθ 1
= η
g2 (y) π2 (θ 2 )f2 (η(y)|θ 2 ) dθ 2
g1 (y) η
= B (y) .
g2 (y) 12
[Didelot, Everitt, Johansen & Lawson, 2011]

78. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Limiting behaviour of B12 (under sufficiency)
If η(y) sufficient statistic for both models,
fi (y|θ i ) = gi (y)fiη (η(y)|θ i )
Thus
η
Θ1 π(θ 1 )g1 (y)f1 (η(y)|θ 1 ) dθ 1
B12 (y) = η
Θ2 π(θ 2 )g2 (y)f2 (η(y)|θ 2 ) dθ 2
η
g1 (y) π1 (θ 1 )f1 (η(y)|θ 1 ) dθ 1
= η
g2 (y) π2 (θ 2 )f2 (η(y)|θ 2 ) dθ 2
g1 (y) η
= B (y) .
g2 (y) 12
[Didelot, Everitt, Johansen & Lawson, 2011]
No discrepancy only when cross-model sufficiency

79. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Poisson/geometric example
Sample
x = (x1 , . . . , xn )
from either a Poisson P(λ) or from a geometric G(p)
Sum
n
S= yi = η(x)
i=1
sufficient statistic for either model but not simultaneously
Discrepancy ratio
g1 (x) S!n−S / i yi !
=
g2 (x) 1 n+S−1
S

80. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Poisson/geometric discrepancy
η
Range of B12 (x) versus B12 (x) B12 (x): The values produced have
nothing in common.

81. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Formal recovery
Creating an encompassing exponential family
T T
f (x|θ1 , θ2 , α1 , α2 ) ∝ exp{θ1 η1 (x) + θ1 η1 (x) + α1 t1 (x) + α2 t2 (x)}
leads to a sufficient statistic (η1 (x), η2 (x), t1 (x), t2 (x))
[Didelot, Everitt, Johansen & Lawson, 2011]

82. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Formal recovery
Creating an encompassing exponential family
T T
f (x|θ1 , θ2 , α1 , α2 ) ∝ exp{θ1 η1 (x) + θ1 η1 (x) + α1 t1 (x) + α2 t2 (x)}
leads to a sufficient statistic (η1 (x), η2 (x), t1 (x), t2 (x))
[Didelot, Everitt, Johansen & Lawson, 2011]
In the Poisson/geometric case, if i xi ! is added to S, no
discrepancy

83. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Formal recovery
Creating an encompassing exponential family
T T
f (x|θ1 , θ2 , α1 , α2 ) ∝ exp{θ1 η1 (x) + θ1 η1 (x) + α1 t1 (x) + α2 t2 (x)}
leads to a sufficient statistic (η1 (x), η2 (x), t1 (x), t2 (x))
[Didelot, Everitt, Johansen & Lawson, 2011]
Only applies in genuine sufficiency settings...
c Inability to evaluate loss brought by summary statistics

84. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Meaning of the ABC-Bayes factor
‘This is also why focus on model discrimination typically
(...) proceeds by (...) accepting that the Bayes Factor
that one obtains is only derived from the summary
statistics and may in no way correspond to that of the
full model.’
[Scott Sisson, Jan. 31, 2011, ’Og]

85. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Meaning of the ABC-Bayes factor
‘This is also why focus on model discrimination typically
(...) proceeds by (...) accepting that the Bayes Factor
that one obtains is only derived from the summary
statistics and may in no way correspond to that of the
full model.’
[Scott Sisson, Jan. 31, 2011, ’Og]
In the Poisson/geometric case, if E[yi ] = θ0 > 0,
η (θ0 + 1)2 −θ0
lim B12 (y) = e
n→∞ θ0

86. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
MA(q) divergence
1.0
1.0
1.0
1.0
0.8
0.8
0.8
0.8
0.6
0.6
0.6
0.6
0.4
0.4
0.4
0.4
0.2
0.2
0.2
0.2
0.0
0.0
0.0
0.0
1 2 1 2 1 2 1 2
Evolution [against ] of ABC Bayes factor, in terms of frequencies of
visits to models MA(1) (left) and MA(2) (right) when equal to
10, 1, .1, .01% quantiles on insufficient autocovariance distances. Sample
of 50 points from a MA(2) with θ1 = 0.6, θ2 = 0.2. True Bayes factor
equal to 17.71.

87. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
MA(q) divergence
1.0
1.0
1.0
1.0
0.8
0.8
0.8
0.8
0.6
0.6
0.6
0.6
0.4
0.4
0.4
0.4
0.2
0.2
0.2
0.2
0.0
0.0
0.0
0.0
1 2 1 2 1 2 1 2
Evolution [against ] of ABC Bayes factor, in terms of frequencies of
visits to models MA(1) (left) and MA(2) (right) when equal to
10, 1, .1, .01% quantiles on insufficient autocovariance distances. Sample
of 50 points from a MA(1) model with θ1 = 0.6. True Bayes factor B21
equal to .004.

88. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Further comments
‘There should be the possibility that for the same model,
but different (non-minimal) [summary] statistics (so
∗
different η’s: η1 and η1 ) the ratio of evidences may no
longer be equal to one.’
[Michael Stumpf, Jan. 28, 2011, ’Og]
Using different summary statistics [on different models] may
indicate the loss of information brought by each set but agreement
does not lead to trustworthy approximations.

89. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
A population genetics evaluation
Population genetics example with
3 populations
2 scenari
15 individuals
5 loci
single mutation parameter

90. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
A population genetics evaluation
Population genetics example with
3 populations
2 scenari
15 individuals
5 loci
single mutation parameter
24 summary statistics
2 million ABC proposal
importance [tree] sampling alternative

91. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
A population genetics evaluation
Population genetics example with
3 populations
2 scenari
15 individuals
5 loci
single mutation parameter
24 summary statistics
2 million ABC proposal
importance [tree] sampling alternative

92. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Stability of importance sampling
1.0
1.0
1.0
1.0
1.0
q
q
0.8
0.8
0.8
0.8
0.8
0.6
0.6
0.6
0.6
0.6
q
0.4
0.4
0.4
0.4
0.4
0.2
0.2
0.2
0.2
0.2
0.0
0.0
0.0
0.0
0.0

93. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Comparison with ABC
Use of 24 summary statistics and DIY-ABC logistic correction
1.0
qq
qq
qq qq
qqq
qq q q
qq q q qq
q q
q
q q q q q
q
q qq q q
qq
q q q qq
qq qq
q q q q qq
q q
q q
q q
q q
q q
q
qq
q q q qq q
q
0.8
q q
q q q
q q
q q q
q
q qq q
q q
q q q q qq q
q
q q q qqq q q
qq
q
ABC direct and logistic
q
q qq
q q q q
q
q q
0.6
q q q qq
q q
qq
q q q q
q q q q
q q q
q q
q q q q q
q q q q q
q q
qq
qq
q q
qq
0.4
qq q
q q
q q
q q q
q q
q q
q q
q q q
0.2
q qq
q q
q
q
q q
q
q
q
q
0.0
qq
0.0 0.2 0.4 0.6 0.8 1.0
importance sampling

94. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Comparison with ABC
Use of 24 summary statistics and DIY-ABC logistic correction
6
4
q q
q q
q
q
q qq
2
q q
q q
qq
ABC direct
q q q qq q
qq q
q
q
q qq
qq q qq q
q q
q
q qq q q q
q q qq
q q qq
q qq q
q qq q q q qqq
q
q q q q
q q
q
0
qq qq q
q q q
qq qq
q q qq
q q q
q
q q
q
q
−2
−4
−4 −2 0 2 4 6
importance sampling

95. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Comparison with ABC
Use of 24 summary statistics and DIY-ABC logistic correction
qq
6
q
q
q
q
q
q
q q
q q q
4
q
qq q qq qq q
q q q
q q q
q q q qq
q q
q q q q q
ABC direct and logistic
q q q q q q
q qq q q
q q q q q qq
q
2
q q q
q q
qq q qq
q q q qq
qq q
qq qq q
q
q qq q q qq
qq qq q q
qqqq qq q q q
qqqqq
qq q q
q qq q
q q q qq q
qq q q qqq
q
q qqqqq q q
qq q
q qq q q q qq
0
qq qqq q q
qq q qqq
q
q
q q q
q q q q
q q q q
q
q q q
q q
q qq
q q
−2
q q
q
q
q
−4
q
q
q
−4 −2 0 2 4 6
importance sampling

96. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
Comparison with ABC
Use of 24 summary statistics and DIY-ABC logistic correction
q
2
q
q
1
q q q
q
q q
q
q q
q
log−ratio
q q q q
q qq
q q q qqq q
q q q q q q
qq q q q q q
qq qq q
qq q q qqqqqq q q qqqq qq
qq q qq qq q qq q qq
qq q q q qq q qq q q qqq
q
0
q q q q qq q q
q qq q
q q q q q qq q
qq q qq qq
q qq qqq qq qq q q q q qq q qqqq q
q q
q
q
q
q q qq
qqq q
qq qq q q qq
q q
q q qq q q qq q q
q q q q q q qq qqqq q
q q
q q q
q q
q
−1
q
q
q
q
−2
q
0 20 40 60 80 100
index

97. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
The only safe cases
Besides specific models like Gibbs random fields,
using distances over the data itself escapes the discrepancy...
[Toni & Stumpf, 2010;Sousa et al., 2009]

98. ABC Methods for Bayesian Model Choice
ABC for model choice
Generic ABC model choice
The only safe cases
Besides specific models like Gibbs random fields,
using distances over the data itself escapes the discrepancy...
[Toni & Stumpf, 2010;Sousa et al., 2009]
...and so does the use of more informal model fitting measures
[Ratmann, Andrieu, Richardson and Wiujf, 2009]