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Sandwiching the marginal likelihood using bidirectional Monte Carlo | | Roger B. Grosse
; Zoubin Ghahramani
; Ryan P. Adams
; | | Date: |
9 Nov 2015 | | Abstract: | Computing the marginal likelihood (ML) of a model requires marginalizing out
all of the parameters and latent variables, a difficult high-dimensional
summation or integration problem. To make matters worse, it is often hard to
measure the accuracy of one’s ML estimates. We present bidirectional Monte
Carlo, a technique for obtaining accurate log-ML estimates on data simulated
from a model. This method obtains stochastic lower bounds on the log-ML using
annealed importance sampling or sequential Monte Carlo, and obtains stochastic
upper bounds by running these same algorithms in reverse starting from an exact
posterior sample. The true value can be sandwiched between these two stochastic
bounds with high probability. Using the ground truth log-ML estimates obtained
from our method, we quantitatively evaluate a wide variety of existing ML
estimators on several latent variable models: clustering, a low rank
approximation, and a binary attributes model. These experiments yield insights
into how to accurately estimate marginal likelihoods. | | Source: | arXiv, 1511.2543 | | Services: | Forum | Review | PDF | Favorites | |
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