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author = {Aki Vehtari and Daniel Simpson and Andrew Gelman and Yuling Yao and Jonah Gabry},
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title = {Pareto smoothed importance sampling},
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journal = {Journal of Machine Learning Research},
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year = {2024},
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volume = {25},
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number = {72},
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pages = {1--58}
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}
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@article{Gelman:etal:2020:workflow,
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title={Bayesian workflow},
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author={Gelman, Andrew and Vehtari, Aki and Simpson, Daniel and Margossian, Charles C and Carpenter, Bob and Yao, Yuling and Kennedy, Lauren and Gabry, Jonah and B{\"u}rkner, Paul-Christian and Modr{\'a}k, Martin},
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journal={arXiv preprint arXiv:2011.01808},
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year={2020}
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}
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@article{Magnusson+etal:2024:posteriordb,
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title={posteriordb: Testing, benchmarking and developing {Bayesian} inference algorithms},
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author={Magnusson, M{\aa}ns and Torgander, Jakob and B{\"u}rkner, Paul-Christian and Zhang, Lu and Carpenter, Bob and Vehtari, Aki},
Copy file name to clipboardExpand all lines: src/reference-manual/pathfinder.qmd
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# Pathfinder
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Stan supports the Pathfinder algorithm @zhang_pathfinder:2022.
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Stan supports the Pathfinder algorithm [@zhang_pathfinder:2022].
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Pathfinder is a variational method for approximately
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sampling from differentiable log densities. Starting from a random
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initialization, Pathfinder locates normal approximations to the target
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Compared to ADVI and short dynamic HMC runs, Pathfinder
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requires one to two orders of magnitude fewer log density and gradient
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evaluations, with greater reductions for more challenging posteriors.
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While the evaluations in @zhang_pathfinder:2022 found that
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single-path and multi-path Pathfinder outperform ADVI for most of the models in the PosteriorDB evaluation set,
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While the evaluations by @zhang_pathfinder:2022 found that
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single-path and multi-path Pathfinder outperform ADVI for most of the models in the PosteriorDB [@Magnusson+etal:2024:posteriordb]evaluation set,
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we recognize the need for further experiments on a wider range of models.
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## Diagnosing Pathfinder
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Pathfinder diagnoses the accuracy of the approximation by computing the density ratio of the true posterior and
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the approximation and using Pareto-$\hat{k}$ diagnostic (Vehtari et al., 2024) to assess whether these ratios can
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be used to improve the approximation via resmapling. /, the
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normalization for the posterior can be estimated reliably (Section 3, Vehtari et al., 2024), which is the
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the approximation and using Pareto-$\hat{k}$ diagnostic [@Vehtari+etal:2024:PSIS] to assess whether these ratios can
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be used to improve the approximation via resampling. The
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normalization for the posterior can be estimated reliably [@Vehtari+etal:2024:PSIS, Section 3], which is the
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first requirement for reliable resampling. If estimated Pareto-$\hat{k}$ for the ratios is smaller than 0.7,
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there is still need to further diagnose importance sampling estimates by taking into account also the expetant
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function (Section 2.2, Vehtari et al., 2024). If estimated Pareto-$\hat{k}$ is larger than 0.7, then the
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estimate for the normalization is unreliable and any Mote Carlo estimate may have a big error. The resampled draws
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there is still need to further diagnose reliability of importance sampling estimate for all quantities of interest [@Vehtari+etal:2024:PSIS, Section 2.2]. If estimated Pareto-$\hat{k}$ is larger than 0.7, then the
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estimate for the normalization is unreliable and any Monte Carlo estimate may have a big error. The resampled draws
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can still contain some useful information about the location and shape of the posterior which can be used in early
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parts of Bayesian workflow (Gelman et al, 2020).
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parts of Bayesian workflow [@Gelman:etal:2020:workflow].
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## Using Pathfinder for initializing MCMC
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If estimated Pareto-$\hat{k}$ for the ratios is smaller than 0.7, the resampled posterior draws are almost as
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good for initializing MCMC as would indepepent draws from the posterior be. If estimated Pareto-$\hat{k}$ for the
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good for initializing MCMC as would independent draws from the posterior be. If estimated Pareto-$\hat{k}$ for the
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ratios is larger than 0.7, the Pathfinder draws are not reliable for posterior inference directly, but they are still
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very likely better for initializing MCMC than random draws from an arbitrary pre-defined distribution (e.g. uniform from
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-2 to 2 used by Stan by default). If Pareto-$\hat{k}$ is larger than 0.7, it is likely that one of the ratios is much bigger
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