WeiYa's Work Yard

A dog, who fell into the ocean of statistics, tries to write down his ideas and notes to save himself.

Chain-Structured Models

Posted on September 08, 2017 0 Comments

There is an important probability distribution used in many applications, which has the following form:

where $\mathbf x=(x_0, x_1,\ldots, x_d)$. This type of model can be seen as having a “Markovian structure” because the conditional distribution $\pi(x_i\mid \mathbf x_{[-i]})$, where

depends only on the two neighboring variables $x_{i-1}$ and $x_{i+1}$, that is,

Dynamic Programming

Suppose each $x_i$ in $\mathbf x$ only takes values in set $\cal S={s_1,\ldots, s_k}$. Maximizing the distribution $\pi(\mathbf x)$ is equivalent to minimizing its exponent

We can carry out the following recursive procedure:

  • Define $m_1(x) = \underset{s_i\in \cal S}{min}h_1(s_i, x),\; for\; x=s_1,\ldots, s_k$.
  • Recursively compute the function

The optimal value of $H(\mathbf x)$ is obtained by $\underset{s\in\cal S}{\mathrm{min}}\;m_d(s)$

Then we can find out which $\mathbf x$ gives rise to the global minimum of $H(\mathbf x)$ by tracing backward as follows:

  • Let $\hat x_d$ be the minimizer of $m_d(x)$; that is,
  • For $t=d-1,d-2,\ldots, 1$, we let

Configuration $\hat{\mathbf x}=(\hat x_1,\ldots,\hat x_d)$ obtained by this method is the minimizer of $H(\mathbf x)$.

Exact Simulation

In order to simulate, we can decompose the overall summation as

Then we can adopt the following recursions.

  • Define $V_1(x)=\sum_{x_0\in \cal S}exp(-h_1(x_0, x))$
  • Compute recursively for $t=2,\ldots,d$

Then, the partition function is $Z=\sum_{x\in\cal S}V_d(x)$ and the marginal distribution of $x_d$ is $\pi(x_d)=V_d(x_d)/Z$.

To simulate $\mathbf x$ from $\pi$, we can do the following:

  1. Draw $x_d$ from $\cal S$ with probability $V_d(x_d)/Z$
  2. For $t=d-1,d-2,\ldots, 1$, we draw $x_t$ from distribution

The random sample $\mathbf x=(x_1,\ldots,x_d)$ obtained in this way follows the distribution $\pi(\mathbf x)$.

References

Liu, Jun S. Monte Carlo strategies in scientific computing. Springer Science & Business Media, 2008.


Published in categories Monte Carlo